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作者：Rusmevichientong, Paat; Shen, Zuo-Jun Max; Shmoys, David B.
作者单位：Cornell University; Cornell University; University of California System; University of California Berkeley
摘要：We consider an assortment optimization problem where a retailer chooses an assortment of products that maximizes the profit subject to a capacity constraint. The demand is represented by a multinomial logit choice model. We consider both the static and dynamic optimization problems. In the static problem, we assume that the parameters of the logit model are known in advance; we then develop a simple algorithm for computing a profit-maximizing assortment based on the geometry of lines in the pl...
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作者：Cont, Rama; Stoikov, Sasha; Talreja, Rishi
作者单位：Columbia University
摘要：We propose a continuous-time stochastic model for the dynamics of a limit order book. The model strikes a balance between three desirable features: it can be estimated easily from data, it captures key empirical properties of order book dynamics, and its analytical tractability allows for fast computation of various quantities of interest without resorting to. simulation. We describe a simple parameter estimation procedure based on high-frequency observations of the order book and illustrate t...
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作者：Chu, Leon Yang; Shen, Zuo-Jun Max
作者单位：University of Southern California; University of California System; University of California Berkeley
摘要：We study a two-echelon supply chain with one warehouse and N (nonidentical) retailers facing stochastic demand. An easy-to-implement inventory policy, the so-called power-of-two (POT) policy, is proposed to manage inventory for the system. To maintain a certain service level, safety stocks are kept at the warehouse and each retailer outlet to buffer random demand. Our analysis highlights the important role of the warehouse safety stock level, which, in addition to the length of the warehouse o...
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作者：Huh, Woonghee Tim; Janakiraman, Ganesh
作者单位：Columbia University; New York University
摘要：We study a periodically reviewed, serial inventory system in which excess demand from external customers is lost. We derive elementary properties of the vector of optimal order quantities in this system. In particular, we derive bounds on the sensitivity (or, more mathematically, the derivative) of the optimal order quantity at each stage to the vector of the current inventory levels. Our analysis uses the concept of L-natural-convexity, which was studied in discrete convex analysis and recent...
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作者：Hwang, Hark-Chin
作者单位：Chosun University
摘要：In this study, improved and new algorithms are developed for economic lot-sizing problems with integrated production and transportation operations. To model the economies of scale in production with the effect of shipment consolidation in transportation, we assume concave production costs and stepwise transportation costs. More specifically, we consider concave/fixed-charge/nonspeculative cost functions in production, and nonstationary/stationary delivery cost functions in transportation. The ...
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作者：Chou, Mabel C.; Chua, Geoffrey A.; Teo, Chung-Piaw; Zheng, Huan
作者单位：National University of Singapore; Nanyang Technological University; Shanghai Jiao Tong University
摘要：The concept of chaining, or in more general terms, sparse process structure, has been extremely influential in the process flexibility area, with many large automakers already making this the cornerstone of their business strategies to remain competitive in the industry. The effectiveness of the process strategy, using chains or other sparse structures, has been validated in numerous empirical studies. However, to the best of our knowledge, there have been relatively few concrete analytical re...
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作者：Ntaimo, Lewis
作者单位：Texas A&M University System; Texas A&M University College Station
摘要：This paper introduces disjunctive decomposition for two-stage mixed 0-1 stochastic integer programs (SIPs) with random recourse. Disjunctive decomposition allows for cutting planes based on disjunctive programming to be generated for each scenario subproblem under a temporal decomposition setting of the SIP problem. A new class of valid inequalities for mixed 0-1 SIP with random recourse is presented. In particular, we derive valid inequalities that allow for scenario subproblems for SIP with ...
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作者：Dobson, Gregory; Lee, Hsiao-Hui; Pinker, Edieal
作者单位：University of Rochester; University of Connecticut
摘要：Many intensive care units (ICUs) face overcrowding. One response to this overcrowding is to bump ICU patients to other departments of the hospital to make room for new patient arrivals. Such bumping clearly has the potential to reduce quality of care. In this paper we develop a stochastic model of a single ICU with patient bumping. The purpose of this model is to enable planners to predict performance, in terms of bumping, under differing arrival patterns and capacity. We develop a Markov chai...
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作者：Boyaci, Tamer; Oezer, Oezalp
作者单位：McGill University; University of Texas System; University of Texas Dallas
摘要：This paper investigates a capacity planning strategy that collects commitments to purchase before the capacity decision and uses the acquired advance sales information to decide on the capacity. In particular, we study a profit-maximization model in which a manufacturer collects advance sales information periodically prior to the regular sales season for a capacity decision. Customer demand is stochastic and price sensitive. Once the capacity is set, the manufacturer produces and satisfies cus...
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作者：Murphy, Frederic; Smeers, Yves
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; Universite Catholique Louvain
摘要：Allaz and Vila made the seminal contribution that forward contracts mitigate market power on the spot market. This result is widely quoted and elaborated in studies of restructured power markets, where generators can potentially exploit the special characteristics of this industry in order to extract higher prices. Allaz-Vila established their result under/the assumption that the production capacities of the players are infinite. We show that the Allaz-Vila result does not hold when capacities...
