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作者：Bensoussan, Alain; Liu, John J.; Yuan, Jiguang
作者单位：University of Texas System; University of Texas Dallas; Hong Kong Polytechnic University
摘要：In this paper, we develop a splitting solution method for two-sided impulse control of Brownian motion, which leads to an expanding range of band control applications and studies, such as monetary reserves (including the previously studied cash management problem, exchange rate control in central banks, and marine mutual insurance reserves), inventory systems, and lately natural resources and energy reservation. It has been shown since earlier studies in 1970s that the optimal two-sided impuls...
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作者：Feng, Yinbo; Hu, Ming
作者单位：Shanghai University of Finance & Economics; University of Toronto
摘要：We consider a three-stage game in which, first, a large number of potential firms make entry decisions, then those who choose to stay in the market decide on the investment (quality) level in each product, and last, customers with heterogeneous preferences arrive sequentially to make (random) purchase decisions based on product quality and historical sales under the network effect according to a discrete choice model. We characterize such a random purchase process and show that a growing netwo...
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作者：Han, Jinhui; Li, Xiaolong; Sethi, Suresh P.; Siu, Chi Chung; Yam, Sheung Chi Phillip
作者单位：Peking University; University of Hong Kong; University of Texas System; University of Texas Dallas; Hang Seng University of Hong Kong; Chinese University of Hong Kong
摘要：We consider continuous -review, single -product inventory systems with a constant replenishment rate, Levy demand, general inventory holding cost, and general lostsales penalty. The Levy demand encompasses various demand dynamics used in the inventory literature. We obtain optimal replenishment rates that minimize the timeaverage cost and expected discounted costs. We can solve this problem explicitly for the optimal replenishment rate by utilizing the renewal theorem for the time -average cos...
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作者：Chen, Xinyun; Liu, Yunan; Hong, Guiyu
作者单位：The Chinese University of Hong Kong, Shenzhen; North Carolina State University
摘要：We study a dynamic pricing and capacity sizing problem in a GI/GI/1 queue, in which the service provider's objective is to obtain the optimal service fee p and service capacity mu so as to maximize the cumulative expected profit (the service revenue minus the staffing cost and delay penalty). Because of the complex nature of the queueing dynamics, such a problem has no analytic solution so that previous research often resorts to heavy-traffic analysis in which both the arrival and service rate...
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作者：Sutter, Tobias; Van Parys, Bart P. G.; Kuhn, Daniel
作者单位：University of Konstanz; Massachusetts Institute of Technology (MIT); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：We propose a statistically optimal approach to construct data-driven decisions for stochastic optimization problems. Fundamentally, a data-driven decision is simply a function that maps the available training data to a feasible action. It can always be expressed as the minimizer of a surrogate optimization model constructed from the data. The quality of a data-driven decision is measured by its out-of-sample risk. An additional quality measure is its out-of-sample disappointment, which we defi...
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作者：Keskin, N. Bora; Li, Meng
作者单位：Duke University; University of Houston System; University of Houston
摘要：In this paper, we study a firm's dynamic pricing problem in the presence of unknown and time-varying heterogeneity in customers' preferences for quality. The firm offers a standard product as well as a premium product to deal with this heterogeneity. First, we consider a benchmark case in which the transition structure of customer heterogeneity is known. In this case, we analyze the firm's optimal pricing policy and characterize its key structural properties. Thereafter, we investigate the cas...
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作者：Khorasani, Sina; Korpeoglu, Ersin; Krishnan, Vish V.
作者单位：University System of Ohio; University of Dayton; University of London; University College London; University of California System; University of California San Diego
摘要：Public, private, and not-for-profit organizations find advanced technology and product development projects challenging to manage due to the time and budget pressures, and turn to their development partners and suppliers to address their development needs. We study how dynamic development contests with enriched rank-based incentives and carefully tailored information design can help these organizations leverage their suppliers for their development projects while seeking to minimize project le...
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作者：Bimpikis, Kostas; Morgenstern, Ilan; Saban, Daniela
作者单位：Stanford University
摘要：We explore the welfare implications of data-tracking technologies that enable firms to collect consumer data and use it for price discrimination. The model we develop centers around two features: competition between firms and consumers' level of sophistication. Our baseline environment features a firm that can collect information about the consumers it transacts with in a duopoly market, which it can then use in a second, monopoly market. We characterize and compare the equilibrium outcomes in...
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作者：van der Laan, Niels; Romeijnders, Ward
作者单位：University of Groningen
摘要：We propose a new solution method for two-stage mixed-integer recourse models. In contrast to existing approaches, we can handle general mixed-integer variables in both stages. Our solution method is a Benders' decomposition, in which we iteratively construct tighter approximations of the expected second stage cost function using a new family of optimality cuts. We derive these optimality cuts by parametrically solving extended formulations of the second stage problems using deterministic mixed...
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作者：Delorme, Maxence; Garcia, Sergio; Gondzio, Jacek; Kalcsics, Jörg; Manlove, David; Pettersson, William
作者单位：Tilburg University; University of Edinburgh; University of Glasgow
摘要：Many kidney exchange programs (KEPs) use integer linear programming (ILP) based on a hierarchical set of objectives to determine optimal sets of transplants. We propose innovative techniques to remove barriers in existing mathematical models, vastly reducing solution times and allowing significant increases in potential KEP pool sizes. Our techniques include two methods to avoid unnecessary variables, and a diving algorithm that reduces the need to solve multiple complex ILP models while still...
