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作者：Federgruen, Awi; Yang, Nan
作者单位：Columbia University; Washington University (WUSTL)
摘要：We propose and analyze a general periodic-review model in which the firm has access to a set of potential suppliers, each with specific yield and price characteristics. Assuming that unsatisfied demand is backlogged, the firm incurs three types of costs: (i) procurement costs, (ii) inventory-carrying costs for units carried over from one period to the next, and (iii) backlogging costs. A procurement strategy requires the specification, in each period, of (i) the set of suppliers to be retained...
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作者：Huh, Woonghee Tim; Janakiraman, Ganesh; Muharremoglu, Alp; Sheopuri, Anshul
作者单位：University of British Columbia; University of Texas System; University of Texas Dallas; Columbia University; International Business Machines (IBM); IBM USA
摘要：We study a single-stage inventory system with a generalized shortage penalty cost that includes the following three components: (i) a cost that is an increasing function of the number of backordered units in a period, (ii) a fixed cost incurred for each period in which there is a backorder irrespective of how many units are backordered, and finally (iii) a cost that is an increasing function of the number of periods a customer is backordered. We show the problem can be transformed into one in ...
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作者：Sherali, Hanif D.; Dalkiran, Evrim; Glickman, Theodore S.
作者单位：Virginia Polytechnic Institute & State University; George Washington University
摘要：In this paper we conduct a quantitative analysis for a strategic risk management problem that involves allocating certain available failure-mitigating and consequence-alleviating resources to reduce the failure probabilities of system safety components and subsequent losses, respectively, together with selecting optimal strategic decision alternatives, to minimize the risk or expected loss in the event of a hazardous occurrence. Using a novel decision tree optimization approach to represent th...
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作者：Adida, Elodie; DeMiguel, Victor
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; University of London; London Business School
摘要：We study competition in a supply chain where multiple manufacturers compete in quantities to supply a set of products to multiple risk-averse retailers who compete in quantities to satisfy the uncertain consumer demand. For the symmetric supply chain, we give closed-form expressions for the unique equilibrium. We find that, provided there is a sufficiently large number of manufacturers and retailers, the supply chain efficiency (the ratio of the aggregate utility in the decentralized and centr...
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作者：Johari, Ramesh; Weintraub, Gabriel Y.; Van Roy, Benjamin
作者单位：Stanford University; Columbia University
摘要：We analyze investment incentives and market structure under oligopoly competition in industries with congestion effects. Our results are particularly focused on models inspired by modern technology-based services such as telecommunications and computing services. We consider situations where firms compete by simultaneously choosing prices and investments; increasing investment reduces the congestion disutility experienced by consumers. We define a notion of returns to investment, according to ...
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作者：Ben-Tal, Aharon; Bertsimas, Dimitris; Brown, David B.
作者单位：Technion Israel Institute of Technology; Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Duke University
摘要：In this paper, we propose a framework for robust optimization that relaxes the standard notion of robustness by allowing the decision maker to vary the protection level in a smooth way across the uncertainty set. We apply our approach to the problem of maximizing the expected value of a payoff function when the underlying distribution is ambiguous and therefore robustness is relevant. Our primary objective is to develop this framework and relate it to the standard notion of robustness, which d...
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作者：Hirade, Ryo; Osogami, Takayuki
作者单位：International Business Machines (IBM); IBM Japan
摘要：The performance of storage systems and database systems depends significantly on the page replacement policies. Although many page replacement policies have been discussed in the literature, their performances are not fully understood. We introduce analytical techniques for evaluating the performances of page replacement policies including two queue (2Q), which manages two buffers to capture both the recency and frequency of requests. We derive an exact expression for the probability that a re...
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作者：Zhao, Jinye; Hobbs, Benjamin F.; Pang, Jong-Shi
作者单位：Johns Hopkins University; Johns Hopkins University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Carbon dioxide allowance trading systems for electricity generators are in place in the European Union and in several U.S. states. An important question in the design of such systems is how allowances are to be initially allocated: by auction, by giving away fixed amounts (grandfathering), or by allocating based on present or recent output, investment, or other decisions. The latter system can bias investment, operations, and product pricing decisions and increase costs relative to the other s...
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作者：Breton, Michele; de Frutos, Javier
作者单位：Universite de Montreal; Universite de Montreal; HEC Montreal; Universidad de Valladolid
摘要：In this paper, we propose a partial differential equation formulation for the value of an option when the underlying asset price is described by a discrete-time GARCH process. Our numerical approach involves a spectral Fourier-Chebyshev interpolation. Numerical illustrations are provided, and the results are compared with other available valuation methods. Our numerical procedure converges exponentially fast and allows for the efficient computation of option prices, achieving a high level of p...
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作者：Chen, Xin; Zhang, Yuhan; Zhou, Sean X.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Chinese University of Hong Kong
摘要：In this paper, we establish a new preservation property of quasi-K-concavity under certain optimization operations. One important application of the result is to analyze joint inventory-pricing models for single-product periodic-review inventory systems with concave ordering costs. At each period, an ordering quantity and a selling price of the product are determined simultaneously. Demand is random but sensitive to the price. The objective is to maximize the total expected discounted profit o...
