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作者：Ye, Heng-Qing; Yao, David D.
作者单位：Hong Kong Polytechnic University; Columbia University
摘要：We study a stochastic network that consists of two servers shared by two classes of jobs. Class 1 jobs require a concurrent. occupancy of both servers while class 2 jobs use only one server. The traffic intensity is such that both servers are bottlenecks, meaning the service capacity is equal to the offered workload. The real-time allocation of the service capacity among the job classes takes the form of a solution to an optimization problem that maximizes a utility function. We derive the dif...
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作者：Altuzarra, Alfredo; Maria Moreno-Jimenez, Jose; Salvador, Manuel
作者单位：University of Zaragoza
摘要：This paper examines consensus building in AHP-group decision making from a Bayesian perspective. In accordance with the multicriteria procedural rationality paradigm, the methodology employed in this study permits the automatic identification, in a local context, of agreement and disagreement zones among the actors involved. This approach is based on the analysis of the pairwise comparison matrices provided by the actors themselves. In addition, the study integrates the attitudes of the actors...
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作者：Glasserman, Paul; Liu, Zongjian
作者单位：Columbia University; Columbia University
摘要：The likelihood ratio method (LRM) is a technique for estimating derivatives of expectations through simulation. LRM estimators are constructed from the derivatives of probability densities of inputs to a simulation. We investigate the application of the likelihood ratio method for sensitivity estimation when the relevant densities for the underlying model are known only through their characteristic functions or Laplace transforms. This problem arises in financial applications, where sensitivit...
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作者：Zhang, Hao; Nagarajan, Mahesh; Sosic, Greys
作者单位：University of Southern California; University of British Columbia
摘要：In this paper, we examine a supply chain in which a single supplier sells to a downstream retailer. We consider a multiperiod model with the following sequence of events. In period t the supplier offers a contract to the retailer, and the retailer makes her purchasing decision in anticipation of the random demand. The demand then unravels, and the retailer carries over any excess inventory to the next period (unmet demand is lost). In period t + 1 the supplier designs a new contract based on h...
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作者：Lichtendahl, Kenneth C., Jr.; Bodily, Samuel E.
作者单位：University of Virginia
摘要：Lifetime financial decisions often require a decision analyst to elicit a decision maker's preferences for consumption streams. In assessing such preferences, the analyst might look for a set of reasonable conditions to check when selecting a utility form. We provide such a set of conditions and show that they lead to the multiplicative-expo-power (MEP) utility form. Some of our conditions involve trade-offs under certainty and others relate to choices under uncertainty. In the deterministic s...
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作者：Vaidyanathan, Balachandran; Ahuja, Ravindra K.
作者单位：State University System of Florida; University of Florida
摘要：The objective of the classical minimum cost flow problem is to send units of a good that reside at one or more points in a network (sources or supply nodes) with arc capacities to one or more other points in the network (sinks or demand nodes), incurring minimum cost. We develop fast algorithms for previously unstudied specially structured minimum cost flow problems that have applications in many areas, such as locomotive and airline scheduling, repositioning of empty rail freight cars, highwa...
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作者：Dunkel, Joern; Weber, Stefan
作者单位：University of Oxford; Leibniz University Hannover
摘要：Reliable risk measurement is a key problem for financial institutions and regulatory authorities. The current industry standard Value-at-Risk has several deficiencies. Improved risk measures have been suggested and analyzed in the recent literature, but their computational implementation has largely been neglected so far. We propose and investigate stochastic approximation algorithms for the convex risk measure Utility-Based Shortfall Risk. Our approach combines stochastic root-finding schemes...
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作者：Kaplan, Edward H.
作者单位：Yale University
摘要：This article presents the first models developed specifically for understanding the infiltration and interdiction of ongoing terror plots by undercover intelligence agents, and does so via novel application of ideas from queueing theory and Markov population processes. The resulting terror queue models predict the number of undetected terror threats in an area from agent activity/utilization data, and also estimate the rate with which such threats can be detected and interdicted. The models tr...
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作者：Lai, Guoming; Margot, Francois; 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 natural gas is a practically important problem that entails dynamic optimization of inventory trading decisions with capacity constraints in the face of uncertain natural gas price dynamics. Stochastic dynamic programming is a natural approach to this valuation problem, but it does not seem to be widely used in practice because it is at odds with the high-dimensional natural gas price evolution models that are widespread among traders. According to the...
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作者：Chhatwal, Jagpreet; Alagoz, Oguzhan; Burnside, Elizabeth S.
作者单位：Merck & Company; University of Wisconsin System; University of Wisconsin Madison; University of Wisconsin System; University of Wisconsin Madison
摘要：Breast cancer is the most common non-skin cancer affecting women in the United States, where every year more than 20 million mammograms are performed. Breast biopsy is commonly performed on the suspicious findings on mammograms to confirm the presence of cancer. Currently, 700,000 biopsies are performed annually in the U. S.; 55%-85% of these biopsies ultimately are found to be benign breast lesions, resulting in unnecessary treatments, patient anxiety, and expenditures. This paper addresses t...
