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作者：Pritchard, Geoffrey; Zakeri, Golbon; Philpott, Andrew
作者单位：University of Auckland; University of Auckland
摘要：We discuss a stochastic-programming-based method for scheduling electric power generation subject to uncertainty. Such uncertainty may arise from either imperfect forecasting or moment-to-moment fluctuations, and on either the supply or the demand side. The method gives a system of locational marginal prices that reflect the uncertainty, and these may be used in a market settlement scheme in which payment is for energy only. We show that this scheme is revenue adequate in expectation.
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作者：Lan, Hai; Nelson, Barry L.; Staum, Jeremy
作者单位：Shanghai Jiao Tong University; Northwestern University
摘要：We develop and evaluate a two-level simulation procedure that produces a confidence interval for expected shortfall. The outer level of simulation generates financial scenarios, whereas the inner level estimates expected loss conditional on each scenario. Our procedure uses the statistical theory of empirical likelihood to construct a confidence interval. It also uses tools from the ranking-and-selection literature to make the simulation efficient.
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作者：Shang, Kevin H.; Zhou, Sean X.
作者单位：Duke University; Chinese University of Hong Kong
摘要：This paper studies a periodic-review, serial inventory system in which echelon (r, nQ,T) policies are implemented. Under such a policy, each stage reviews its inventory in every T period and orders according to an echelon (r,nQ) policy. Two types of fixed costs are considered: one is associated with each order batch Q, and the other is incurred for each inventory review. The objective is to find the policy parameters such that the average total cost per period is minimized. This paper provides...
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作者：Chung, William; Fuller, J. David
作者单位：City University of Hong Kong; University of Waterloo
摘要：We present a modification to Dantzig-Wolfe decomposition of variational inequality (VI) problems that allows for approximation of the VI mapping in the subproblem. The approximation is parameterized by the most recent master problem solution, and it must satisfy two simple requirements. In an electronic companion (online appendix), we show that the proofs of convergence and other important properties go through with subproblem approximation. The approximation procedure is illustrated by an app...
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作者：Sheopuri, Anshul; Janakiraman, Ganesh; Seshadri, Sridhar
作者单位：International Business Machines (IBM); IBM USA; University of Texas System; University of Texas Dallas; University of Texas System; University of Texas Austin
摘要：We study an inventory system under periodic review in the presence of two suppliers (or delivery modes). The emergency supplier has a shorter lead-time than the regular supplier, but the unit price he offers is higher. Excess demand is backlogged. We generalize the recently studied class of dual index policies [Veeraraghavan, S., A. Scheller-Wolf. 2008. Now or later: Dual index policies for capacitated dual sourcing systems. Oper Res. 56(4) 850-864] by proposing two classes of policies. The fi...
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作者：Yunes, Tallys; Aron, Ionut D.; Hooker, J. N.
作者单位：University of Miami; Carnegie Mellon University
摘要：One of the central trends in the optimization community over the past several years has been the steady improvement of general-purpose solvers. A logical next step in this evolution is to combine mixed-integer linear programming, constraint programming, and global optimization in a single system. Recent research in the area of integrated problem solving suggests that the right combination of different technologies can simplify modeling and speed up computation substantially. Nevertheless, inte...
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作者：Lane, David C.
作者单位：University of London; London School Economics & Political Science
摘要：This paper has two aims. First, to present cases in which scientists developed a defensive system for their homeland: Blackett and the air defense of Britain in WWII, Forrester and the SAGE system for North America in the Cold War, and Archimedes' work defending Syracuse during the Second Punic War. In each case the historical context and the individual's other achievements are outlined, and a description of the contribution's relationship to OR/MS is given. The second aim is to consider some ...
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作者：Cavusoglu, Huseyin; Koh, Byungwan; Raghunathan, Srinivasan
作者单位：University of Texas System; University of Texas Dallas
摘要：The proponents of airline passenger profiling claim that profiling will reduce the cost of security, improve the detection of attackers, increase the reliability of signals from screening devices, and reduce the inconvenience to normal passengers. In this paper we show that if the Transportation Security Administration (TSA) manually inspects all those passengers classified as likely attackers and sends others through a screening system, as it did when it deployed the Computer Assisted Passeng...
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作者：Chod, Jiri; Pyke, David; Rudi, Nils
作者单位：Boston College; University of San Diego; INSEAD Business School
摘要：We consider a manufacturer of mass-customized modular products who orders components under demand uncertainty, and sets prices, produces to order, and trades excess components in a secondary market after this uncertainty is resolved. The sequence of events reflects, in a parsimonious fashion, the considerable reduction in demand uncertainty between the procurement stage and the selling season, typical of industries with long supply lead times and short product life cycles. We prove that, in co...
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作者：Cominetti, Roberto; Correa, Jose R.; Rothvoss, Thomas; San Martin, Jaime
作者单位：Universidad de Chile; Universidad de Chile; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Universidad de Chile
摘要：We analyze a short-term revenue optimization problem involving the targeting of customers for a promotion in which a finite number of perishable items are sold on a last-minute offer. The goal is to select the subset of customers to whom the offer will be made available in order to maximize the expected return. Each client replies with a certain probability and reports a specific value that might depend on the customer type, so that the selected subset has to balance the risk of not selling al...
