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作者：Chen, Wenqing; Sim, Melvyn; Sun, Jie; Teo, Chung-Piaw
作者单位：National University of Singapore; National University of Singapore
摘要：We review and develop different tractable approximations to individual chance-constrained problems in robust optimization on a variety of uncertainty sets and show their interesting connections with bounds on the conditional-value-at-risk (CVaR) measure. We extend the idea to joint chance-constrained problems and provide a new formulation that improves upon the standard approach. Our approach builds on a classical worst-case bound for order statistics problems and is applicable even if the con...
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作者：Gurvich, Itai; Whitt, Ward
作者单位：Northwestern University; Columbia University
摘要：Motivated by telephone call centers, we study large-scale service systems with multiple customer classes and multiple agent pools, each with many agents. To minimize staffing costs subject to service-level constraints, where we delicately balance the service levels (SLs) of the different classes, we propose a family of routing rules called fixed-queue-ratio (FQR) rules. With FQR, a newly available agent next serves the customer from the head of the queue of the class (from among those he is el...
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作者：Muharremoglu, Alp; Yang, Nan
作者单位：Columbia University; Cornell University
摘要：We study single and multistage inventory systems with stochastic lead times. We study a class of stochastic lead time processes, which we refer to as exogenous lead times. This class of lead time processes includes as special cases all lead time models from existing literature (such as Kaplan's lead times with no order crossing or independent and identically distributed lead times with order crossing, among others) but is a substantially broader class. For a system with an exogenous lead time ...
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作者：Dai, J. G.; Glynn, Peter W.; Xu, Yaosheng
作者单位：Cornell University; Stanford University; University of Chicago
摘要：We prove that under a multiscale heavy traffic condition, the stationary distribution of the scaled queue length vector process in any generalized Jackson network has a product-form limit. Each component in the product form follows an exponential distribution, corresponding to the Brownian approximation of a single station queue. The single station can be constructed precisely, and its parameters have a good intuitive interpretation.
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作者：Miao, Sentao; Wang, Yining; Zhang, Tiawei
作者单位：University of Colorado System; University of Colorado Boulder; University of Texas System; University of Texas Dallas; New York University
摘要：This paper proposes an approach that can be applied to solve several important revenue management (RM) problems with demand learning and potentially large action space constrained by initial unreplenishable resources. This approach combines the technique of the primal-dual method in optimization and upper confidence bound algorithm in learning. Three important RM problems are studied in this paper: network revenue management, dynamic assortment selection with a multinomial-logit choice model, ...
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作者：Aflaki, Arian; Zhang(Ken), Qian
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; California State University System; California State Polytechnic University Pomona
摘要：We study a firm setting prices for a product with limited inventories sold over two periods to heterogeneous customers. The firm is uncertain about customer valuations and learns from their purchasing behavior. This information can be used for future personalized pricing (P-Pricing). The firm can be of two types; a P-type firm may implement P-Pricing, whereas a U-type firm must set uniform prices for all customers. Customers are uncertain about the firm type and inventory. Upon observing the f...
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作者：Berczi, Kristof; Codazzi, Laura; Golak, Julian; Grigoriev, Alexander
作者单位：Eotvos Lorand University; Eotvos Lorand University; Hamburg University of Technology; University of Hamburg; Maastricht University
摘要：In combinatorial markets, the goal is typically to determine a pair of pricing and allocation of items that results in an efficient distribution of resources or maximizes the seller's profit. In dynamic pricing schemes, agents arrive in an unspecified sequential order, and the prices can be updated between agent arrivals, which makes the concept fairness of dynamic prices highly nontrivial. In markets with expected price deflation, typical agent follows the prices prior to their purchase and b...
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作者：Yang, Mingwei; Yu, Sophie H.
作者单位：Stanford University; University of Pennsylvania
摘要：We study the online metric matching problem. There are m servers and n requests located in a metric space, where all servers are available up front and requests arrive one at a time. Upon the arrival of a new request, it needs to be immediately and irrevocably matched to an available server, resulting in a cost of their distance. The objective is to minimize the total matching cost. When servers are adversarial and requests are independently drawn from a known distribution, we reduce the probl...
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作者：Veraart, Luitgard Anna Maria; Zhang, Yuliang
作者单位：University of London; London School Economics & Political Science
摘要：We analyse how post-trade netting in over-the-counter derivatives markets affects systemic risk. In particular, we focus on two post-trade netting services that rely on multilateral netting techniques: portfolio rebalancing and portfolio compression. First, we provide mathematical characterisations of their netting mechanisms and explain their relationship. Then, we analyse the effects of post-trade netting from a network perspective by considering contagion arising from defaults on variation ...
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作者：Erazo, Ignacio; Toriello, Alejandro
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：Motivated by applications in e-commerce logistics where orders or items arrive at different times and must be dispatched or processed in batches, we propose the subadditive dispatching problem (SAD), a strongly NP-hard problem defined by a set of orders with release times and a nondecreasing subadditive dispatch time function. A single uncapacitated vehicle must dispatch orders in batches to minimize the makespan, the time at which all orders have been dispatched. We propose a mixed-integer li...
