Operations Research

最新文章

• Efficient Simulation of Value at Risk with Heavy-Tailed Risk Factors AI翻译
  作者：Fuh, Cheng-Der; Hu, Inchi; Hsu, Ya-Hui; Wang, Ren-Her
  作者单位：National Central University; Hong Kong University of Science & Technology; Abbott Laboratories; Tamkang University
  摘要：Simulation of small probabilities has important applications in many disciplines. The probabilities considered in value-at-risk (VaR) are moderately small. However, the variance reduction techniques developed in the literature for VaR computation are based on large-deviations methods, which are good for very small probabilities. Modeling heavy-tailed risk factors using multivariate t distributions, we develop a new method for VaR computation. We show that the proposed method minimizes the vari...
• The Impact of Delaying the Delay Announcements AI翻译
  作者：Allon, Gad; Bassamboo, Achal
  作者单位：Northwestern University
  摘要：Many service providers use delay announcements to inform customers of anticipated delays. However, this information is usually not provided immediately but after a short period of time (spent either waiting or occupied by the system). The focus of this paper is on the impact of this postponement on the ability of the firm to influence customer behavior by communicating nonverifiable congestion information to its customers, as well as on the profits and utilities for the firm and the customers,...
• Network Cargo Capacity Management AI翻译
  作者：Levina, Tatsiana; Levin, Yuri; McGill, Jeff; Nediak, Mikhail
  作者单位：Queens University - Canada
  摘要：We consider the problem faced by an airline that is flying both passengers and cargo over a network of locations on a fixed periodic schedule. Bookings for many classes of cargo shipments between origin-destination pairs in this network are made in advance, but the weight and volume of aircraft capacity available for cargo as well as the exact weight and volume of each shipment are not known at the time of booking. The problem is to control cargo accept/reject decisions to maximize expected pr...
• Managing a Noncooperative Supply Chain with Limited Capacity AI翻译
  作者：Parker, Rodney P.; Kapuscinski, Roman
  作者单位：University of Chicago; University of Michigan System; University of Michigan
  摘要：We consider a two-stage serial supply chain with capacity limits, where each installation is operated by managers attempting to minimize their own costs. A multiple-period model is necessitated by the multiple stages, capacity limits, stochastic demand, and the explicit consideration of inventories. With appropriate salvage value functions, a Markov equilibrium policy is found. Intuitive profit dominance allows for existence of a unique equilibrium solution, which is shown to be a modified ech...
• Efficient Nested Simulation for Estimating the Variance of a Conditional Expectation AI翻译
  作者：Sun, Yunpeng; Apley, Daniel W.; Staum, Jeremy
  作者单位：Northwestern University
  摘要：In a two-level nested simulation, an outer level of simulation samples scenarios, while the inner level uses simulation to estimate a conditional expectation given the scenario. Applications include financial risk management, assessing the effects of simulation input uncertainty, and computing the expected value of gathering more information in decision theory. We show that an ANOVA-like estimator of the variance of the conditional expectation is unbiased under mild conditions, and we discuss ...
• Identifying Good Nursing Levels: A Queuing Approach AI翻译
  作者：Yankovic, Natalia; Green, Linda V.
  作者单位：Columbia University
  摘要：Nursing care is arguably the single biggest factor in both the cost of hospital care and patient satisfaction. Inadequate inpatient nursing levels have also been cited as a significant factor in medical errors and emergency room overcrowding. Yet, there is widespread dissatisfaction with the current methods of determining nurse staffing levels, including the most common one of using minimum nurse-to-patient ratios. In this paper, we represent the nursing system as a variable finite-source queu...
• Structured Replacement Policies for Components with Complex Degradation Processes and Dedicated Sensors AI翻译
  作者：Elwany, Alaa H.; Gebraeel, Nagi Z.; Maillart, Lisa M.
  作者单位：Eindhoven University of Technology; University System of Georgia; Georgia Institute of Technology; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
  摘要：Failure of many engineering systems usually results from a gradual and irreversible accumulation of damage, a degradation process. Most degradation processes can be monitored using sensor technology. The resulting degradation signals are usually correlated with the degradation process. A system is considered to have failed once its degradation signal reaches a prespecified failure threshold. This paper considers a replacement problem for components whose degradation process can be monitored us...
• Sourcing Flexibility, Spot Trading, and Procurement Contract Structure AI翻译
  作者：Pei, Pamela Pen-Erh; Simchi-Levi, David; Tunca, Tunay I.
  作者单位：United Biosource Corporation; Massachusetts Institute of Technology (MIT); Stanford University
  摘要：We analyze the structure and pricing of option contracts for an industrial good in the presence of spot trading. We combine the analysis of spot trading and buyers' disparate private valuations for different suppliers' products, and we jointly endogenize the determination of three major dimensions in contract design: (i) sales contracts versus options contracts, (ii) flat-price versus volume-dependent contracts, and (iii) volume discounts versus volume premia. We build a model in which a suppl...
• Refining Square-Root Safety Staffing by Expanding Erlang C AI翻译
  作者：Janssen, A. J. E. M.; van Leeuwaarden, J. S. H.; Zwart, Bert
  作者单位：Eindhoven University of Technology; University System of Georgia; Georgia Institute of Technology
  摘要：We apply a new corrected diffusion approximation for the Erlang C formula to determine staffing levels in cost minimization and constraint satisfaction problems. These problems are motivated by large customer contact centers that are modeled as an M/M/s queue with s the number of servers or agents. The proposed staffing levels are refinements of the celebrated square-root safety-staffing rule and have the appealing property that they are as simple as the conventional square-root safety-staffin...
• Heavy-Traffic Analysis of a Multiple-Phase Network with Discriminatory Processor Sharing AI翻译
  作者：Verloop, I. M.; Ayesta, U.; Nunez-Queija, R.
  作者单位：Basque Center for Applied Mathematics (BCAM); Centrum Wiskunde & Informatica (CWI); Basque Foundation for Science; University of Amsterdam
  摘要：We analyze a generalization of the discriminatory processor-sharing (DPS) queue in a heavy-traffic setting. Customers present in the system are served simultaneously at rates controlled by a vector of weights. We assume that customers have phase-type distributed service requirements and allow that customers have different weights in various phases of their service. In our main result we establish a state-space collapse for the queue-length vector in heavy traffic. The result shows that in the ...