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作者：Wang, Liao; Yao, David D.
作者单位：University of Hong Kong; Columbia University
摘要：A central problem in planning production capacity is how to effectively manage demand risk. We develop a model that integrates capacity planning and risk hedging decisions under a popular risk measure, conditional value at risk (CVaR). The CVaR objective generalizes the usual risk-neutral objective (such as the expected payoff) and allows for explicit modeling of the degree of aversion to downside risk (associated with low demand). The starting point of our model is to incorporate the impact o...
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作者：Baldacci, Bastien; Manziuk, Iuliia; Mastrolia, Thibaut; Rosenbaum, Mathieu
作者单位：Institut Polytechnique de Paris; Ecole Polytechnique; University of California System; University of California Berkeley
摘要：We consider the issue of a market maker acting at the same time in the lit and dark pools of an exchange. The exchange wishes to establish a suitable make-take fee policy to attract transactions on its venues. We first solve the stochastic control problem of the market maker without the intervention of the exchange. Then, we derive the equations defining the optimal contract to be set between the market maker and the exchange. This contract depends on the trading flows generated by the market ...
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作者：Ashlagi, Itai; Daskalakis, Constantinos; Haghpanah, Nima
作者单位：Stanford University; Massachusetts Institute of Technology (MIT); Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We study optimal mechanisms for selling multiple products to a buyer who learns her values for those products sequentially. A mechanism may use static prices or adjust them over time, and it may sell the products separately or as bundles. We study mechanisms that provide the buyer a nonnegative ex post utility. We show that there exists an optimal mechanism that determines the allocation of each product as soon as the buyer learns her value for that product. This observation allows us to solve...
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作者：Lamas-Fernandez, Carlos; Bennell, Julia A.; Martinez-Sykora, Antonio
作者单位：Solent University; University of Southampton; University of Leeds
摘要：Research on the three-dimensional (3D) packing problem has largely focused on packing boxes for the transportation of goods. As a result, there has been little focus on packing irregular shapes in the operational research literature. New technologies have raised the practical importance of 3D irregular packing problems and the need for efficient solutions. In this work, we address the variant of the problem where the aim is to place a set of 3D irregular items in a container, while minimizing ...
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作者：Baldick, Ross; Chen, Yonghong; Huang, Bing
作者单位：University of Texas System; University of Texas Austin
摘要：We consider a storage device, such as a pumped storage hydroelectric generator, that has a state of charge together with mutually exclusive and disjoint charging and generating modes. We develop valid inequalities for a storage model that uses binary variables to represent the charging and generating modes. To investigate the model, we consider two contexts, stand-alone and large-scale. The stand-alone context involves the hydroelectric generator purchasing or selling electricity based on know...
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作者：Musalem, Andres; Olivares, Marcelo; Yung, Daniel
作者单位：Universidad de Chile
摘要：In many service industries, the speed of service and support by experienced employees are two major drivers of service quality. When demand for a service is variable and the staffing requirements cannot be adjusted quickly, choosing capacity levels requires making a tradeoff between service speed and operating costs, both of which depend on worker utilization. However, recent business models have enabled service systems to access a large pool of employees with flexible working hours that are c...
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作者：Cui, Zheng; Long, Daniel Zhuoyu; Qi, Jin; Zhang, Lianmin
作者单位：Zhejiang University; Chinese University of Hong Kong; Hong Kong University of Science & Technology; Nanjing University; Shenzhen Research Institute of Big Data
摘要：We study an uncertain inventory routing problem with a finite horizon. The supplier acts as a central planner who determines the replenishment quantities and also, the delivery times and routes to all retailers. We allow ambiguity in the probability distribution of each retailer's uncertain demand. Adopting a service-level viewpoint, we minimize the risk of uncertain inventory levels violating a prespecified acceptable range. We quantify that risk using a novel decision criterion, the service ...
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作者：Glasserman, Paul; de Larrea, Enrique Lelo
作者单位：Columbia University; Columbia University
摘要：We study the problem of sampling uniformly from discrete or continuous product sets subject to linear constraints. This family of problems includes sampling weighted bipartite, directed, and undirected graphs with given degree sequences. We analyze two candidate distributions for sampling from the target set. The first one maximizes entropy subject to satisfying the constraints in expectation. The second one is the distribution from an exponential family that maximizes the minimum probability ...
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作者：Long, Daniel Zhuoyu; Sim, Melvyn; Zhou, Minglong
作者单位：Chinese University of Hong Kong; National University of Singapore; Fudan University
摘要：We present a general framework for robust satisficing that favors solutions for which a risk-aware objective function would best attain an acceptable target even when the actual probability distribution deviates from the empirical distribution. The satisficing decision maker specifies an acceptable target, or loss of optimality compared with the empirical optimization model, as a trade-off for the model's ability to withstand greater uncertainty. We axiomatize the decision criterion associated...
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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...
