Operations Research

最新文章

• An Integer Optimization Approach to Large-Scale Air Traffic Flow Management AI翻译
  作者：Bertsimas, Dimitris; Lulli, Guglielmo; Odoni, Amedeo
  作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); University of Milano-Bicocca; Massachusetts Institute of Technology (MIT)
  摘要：This paper presents a new integer programming (IP) model for large-scale instances of the air traffic flow management (ATFM) problem. The model covers all the phases of each flight-i.e., takeoff, en route cruising, and landing-and solves for an optimal combination of flow management actions, including ground-holding, rerouting, speed control, and airborne holding on a flight-by-flight basis. A distinguishing feature of the model is that it allows for rerouting decisions. This is achieved throu...
• Find-and-Fetch Search on a Tree AI翻译
  作者：Alpern, Steve
  作者单位：University of London; London School Economics & Political Science; University of London; London School Economics & Political Science
  摘要：We introduce a new type of search game called the find-and-fetch game F(Q, O). The Hider simply picks any point H in the network Q. The Searcher starts at time zero at a given point O of Q, moving at unit speed until he reaches H (finds the Hider). Then he returns at a given speed rho along the shortest path back to O, arriving at time R, the payoff. This models the problem faced in many types of search, including search-and-rescue problems and foraging problems of animals (where food must be ...
• Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection AI翻译
  作者：Chen, Li; He, Simai; Zhang, Shuzhong
  作者单位：Chinese University of Hong Kong; City University of Hong Kong; University of Minnesota System; University of Minnesota Twin Cities
  摘要：In this paper we develop tight bounds on the expected values of several risk measures that are of interest to us. This work is motivated by the robust optimization models arising from portfolio selection problems. Indeed, the whole paper is centered around robust portfolio models and solutions. The basic setting is to find a portfolio that maximizes (respectively, minimizes) the expected utility (respectively, disutility) values in the midst of infinitely many possible ambiguous distributions ...
• Valuation of Storage at a Liquefied Natural Gas Terminal AI翻译
  作者：Lai, Guoming; Wang, Mulan X.; Kekre, Sunder; Scheller-Wolf, Alan; Secomandi, Nicola
  作者单位：University of Texas System; University of Texas Austin; Carnegie Mellon University
  摘要：The valuation of the real option to store liquefied natural gas (LNG) at the downstream terminal of an LNG value chain is an important problem in practice. Because the exact valuation of this real option is computationally intractable, we develop a novel and tractable heuristic model for its strategic valuation that integrates models of LNG shipping, natural gas price evolution, and inventory control and sale into the wholesale natural gas market. We incorporate real and estimated data to quan...
• Fault Reporting in Partially Known Networks and Folk Theorems AI翻译
  作者：Tomala, Tristan
  作者单位：Hautes Etudes Commerciales (HEC) Paris
  摘要：We consider a group of players who perform tasks repeatedly. The players are nodes of a communication network and observe their neighbors' actions. Players have partial knowledge of the network and only know their set of neighbors. We study the existence of protocols for fault reporting: whenever a player chooses a faulty action, the communication protocol starts and the output publicly reveals the identity of the faulty player. We consider two setups. In the first one, players do not share au...
• A Top-Down Approach to Multiname Credit AI翻译
  作者：Giesecke, Kay; Goldberg, Lisa R.; Ding, Xiaowei
  作者单位：Stanford University; MSCI Inc.; Morgan Stanley
  摘要：A multiname credit derivative is a security that is tied to an underlying portfolio of corporate bonds and has payoffs that depend on the loss due to default in the portfolio. The value of a multiname derivative depends on the distribution of portfolio loss at multiple horizons. Intensity-based models of the loss point process that are specified without reference to the portfolio constituents determine this distribution in terms of few economically meaningful parameters and lead to computation...
• Routing and Staffing in Large-Scale Service Systems: The Case of Homogeneous Impatient Customers and Heterogeneous Servers AI翻译
  作者：Armony, Mor; Mandelbaum, Avishai
  作者单位：New York University; Technion Israel Institute of Technology
  摘要：Motivated by call centers, we study large-scale service systems with homogeneous impatient customers and heterogeneous servers; the servers differ with respect to their speed of service. For this model, we propose staffing and routing rules that are jointly asymptotically optimal in the heavy-traffic many-server QED, ED, and ED + QED regimes, respectively. For the QED regime, our proposed routing rule is FSF, that assigns customers to the fastest server available first. In the ED and ED + QED ...
• Acquisition of Project-Specific Assets with Bayesian Updating AI翻译
  作者：Kwon, H. Dharma; Lippman, Steven A.
  作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of California System; University of California Los Angeles
  摘要：We study the impact of learning on the optimal policy and the time-to-decision in an infinite-horizon Bayesian sequential decision model with two irreversible alternatives: exit and expansion. In our model, a firm undertakes a small-scale pilot project to learn, via Bayesian updating, about the project's profitability, which is known to be in one of two possible states. The firm continuously observes the project's cumulative profit, but the true state of the profitability is not immediately re...
• Clique Relaxations in Social Network Analysis: The Maximum k-Plex Problem AI翻译
  作者：Balasundaram, Balabhaskar; Butenko, Sergiy; Hicks, Illya V.
  作者单位：Oklahoma State University System; Oklahoma State University - Stillwater; Texas A&M University System; Texas A&M University College Station; Rice University
  摘要：This paper introduces and studies the maximum k-plex problem, which arises in social network analysis and has wider applicability in several important areas employing graph-based data mining. After establishing NP-completeness of the decision version of the problem on arbitrary graphs, an integer programming formulation is presented, followed by a polyhedral study to identify combinatorial valid inequalities and facets. A branch-and-cut algorithm is implemented and tested on proposed benchmark...
• Integration of Inventory and Pricing Decisions with Costly Price Adjustments AI翻译
  作者：Chen, Xin; Zhou, Sean X.; Chen, Youhua (Frank)
  作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Chinese University of Hong Kong
  摘要：Motivated by the widespread adoption of dynamic pricing in industry and the empirical evidence of costly price adjustments, in this paper we consider a periodic-review inventory model with price adjustment costs that consist of both fixed and variable components. In each period, demand is stochastic and price-dependent. The firm needs to coordinate the pricing and inventory replenishment decisions in each period to maximize its total discounted profit over a finite planning horizon. We develop...