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作者：Kardes, Erim; Ordonez, Fernando; Hall, Randolph W.
作者单位：University of Southern California; Universidad de Chile
摘要：This paper presents a robust optimization model for n-person finite state/action stochastic games with incomplete information. We consider nonzero sum discounted stochastic games in which none of the players knows the true data of a game, and each player adopts a robust optimization approach to address the uncertainty. We call these games discounted robust stochastic games. Such games allow us to use simple uncertainty sets for the unknown data and eliminate the need to have an a-priori probab...
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作者：Morrow, W. Ross; Skerlos, Steven J.
作者单位：Iowa State University; University of Michigan System; University of Michigan
摘要：This article describes numerical methods that exploit fixed-point equations equivalent to the first-order condition for Bertrand-Nash equilibrium prices in a class of differentiated product market models based on the mixed-logit model of demand. One fixed-point equation is already prevalent in the literature, and one is novel. Equilibrium prices are computed for the calendar year 2005 new-vehicle market under two mixed-logit models using (i) a state-of-the-art variant of Newton's method applie...
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作者：Ehrenmann, Andreas; Smeers, Yves
作者单位：Engie; Universite Catholique Louvain; Universite Catholique Louvain
摘要：We cast models of the generation capacity expansion type formally developed for the monopoly regime into equilibrium models better adapted for a competitive environment. We focus on some of the risks faced today by investors in generation capacity and thus pose the problem as a stochastic equilibrium model. We illustrate the approach on the problem of the incentive to invest. Agents can be risk neutral or risk averse. We model risk aversion through the CVaR of plants' profit. The CVaR induces ...
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作者：Chockalingam, Arun; Muthuraman, Kumar
作者单位：Purdue University System; Purdue University; University of Texas System; University of Texas Austin
摘要：The problem of pricing an American option written on an underlying asset with constant price volatility has been studied extensively in literature. Real-world data, however, demonstrate that volatility is not constant, and stochastic volatility models are used to account for dynamic volatility changes. Option pricing methods that have been developed in literature for pricing under stochastic volatility focus mostly on European options. We consider the problem of pricing American options under ...
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作者：Benjaafar, Saif; ElHafsi, Mohsen; Lee, Chung-Yee; Zhou, Weihua
作者单位：University of Minnesota System; University of Minnesota Twin Cities; University of California System; University of California Riverside; Hong Kong University of Science & Technology; Zhejiang University
摘要：We consider an assembly system with multiple stages, multiple items, and multiple customer classes. The system consists of m production facilities, each producing a different item. Items are produced in variable batch sizes, one batch at a time, with exponentially distributed batch production times. Demand from each class takes place continuously over time according to a compound Poisson process. At each decision epoch, we must determine whether or not to produce an item and, should demand fro...
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作者：Bikhchandani, Sushil; de Vries, Sven; Schummer, James; Vohra, Rakesh V.
作者单位：University of California System; University of California Los Angeles; Universitat Trier; Northwestern University
摘要：Consider selling bundles of indivisible goods to buyers with concave utilities that are additively separable in money and goods. We propose an ascending auction for the case when the seller is constrained to sell bundles whose elements form a basis of a matroid. It extends easily to polymatroids. Applications include scheduling, allocation of homogeneous goods, and spatially distributed markets, among others. Our ascending auction induces buyers to bid truthfully and returns the economically e...
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作者：Amaldi, Edoardo; Bosio, Sandro; Malucelli, Federico; Yuan, Di
作者单位：Polytechnic University of Milan; Swiss Federal Institutes of Technology Domain; ETH Zurich; Linkoping University
摘要：Wireless local area networks (WLANs) are widely used for cable replacement and wireless Internet access. Because the medium access control (MAC) scheme of WLANs has a strong influence on network performance, it should be accounted for in WLAN design. This paper presents AP location models that optimize a network performance measure specifically for the MAC scheme of WLANs that represents the efficiency in sharing the wireless medium. For these models, we propose a solution framework based on a...
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作者：Borgonovo, E.; Smith, C. L.
作者单位：Bocconi University; Bocconi University; United States Department of Energy (DOE); Idaho National Laboratory
摘要：Risk managers are often confronted with the evaluation of operational policies in which two or more system components are simultaneously affected by a change. In these instances, the decision-making process should be informed by the relevance of interactions. However, because of system and model complexity, a rigorous study for determining whether and how interactions quantitatively impact operational choices has not been developed yet. In light of the central role played by the multilinearity...
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作者：Baldacci, Roberto; Bartolini, Enrico; Mingozzi, Aristide
作者单位：University of Bologna; University of Bologna; University of Bologna
摘要：The pickup and delivery problem with time windows (PDPTW) is a generalization of the vehicle routing problem with time windows. In the PDPTW, a set of identical vehicles located at a central depot must be optimally routed to service a set of transportation requests subject to capacity, time window, pairing, and precedence constraints. In this paper, we present a new exact algorithm for the PDPTW based on a set-partitioning-like integer formulation, and we describe a bounding procedure that fin...
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作者：Ryzhov, Ilya O.; Powell, Warren B.
作者单位：Princeton University
摘要：We derive a knowledge gradient policy for an optimal learning problem on a graph, in which we use sequential measurements to refine Bayesian estimates of individual edge values in order to learn about the best path. This problem differs from traditional ranking and selection in that the implementation decision (the path we choose) is distinct from the measurement decision (the edge we measure). Our decision rule is easy to compute and performs competitively against other learning policies, inc...
