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作者：Chan, Timothy C. Y.; Fernandes, Craig; Puterman, Martin L.
作者单位：University of Toronto; University of British Columbia
摘要：To develop a novel approach for performance assessment, this paper considers the problem of computing value functions in professional American football. We provide a theoretical justification for using a dynamic programming approach to estimating value functions in sports by formulating the problem as a Markov chain for two asymmetric teams. We show that the Bellman equation has a unique solution equal to the bias of the underlying infinite horizon Markov reward process. This result provides, ...
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作者：Wu, Manxi; Amin, Saurabh; Ozdaglar, Asuman E.
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：We study a routing game in an environment with multiple heterogeneous information systems and an uncertain state that affects edge costs of a congested network. Each information system sends a noisy signal about the state to its subscribed traveler population. Travelers make route choices based on their private beliefs about the state and other populations' signals. The question then arises, How does the presence of asymmetric and incomplete information affect the travelers' equilibrium route ...
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作者：Stolyar, Alexander L.; Wang, Qiong
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We study the classical single-item inventory system in which unsatisfied demands are backlogged. Replenishment lead times are random, independent identically distributed, causing orders to cross in time. We develop a new inventory policy to exploit implications of lead time randomness and order crossover, and evaluate its performance by asymptotic analysis and simulations. Our policy does not follow the basic principle of constant base stock (CBS) policy, or more generally, (s, S) and (R, q) p...
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作者：Liu, Yan; Sun, Yacheng; Zhang, Dan
作者单位：Hong Kong Polytechnic University; Tsinghua University; University of Colorado System; University of Colorado Boulder
摘要：We study the effects of redemption hurdles on reward program members' decision making and firm profitability. We focus on the popular Buy X, Get One Free (BXGO) programs, which set a redemption threshold (X) and possibly, an expiration term for the reward. In our model, forward-looking consumers interact with a monopolistic firm and strategically make purchase and redemption decisions over an infinite time horizon. Our analysis leads to the following results. First, a consumer's purchase utili...
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作者：Gotoh, Jun-ya; Kim, Michael Jong; Lim, Andrew E. B.
作者单位：Chuo University; University of British Columbia; National University of Singapore; National University of Singapore; National University of Singapore
摘要：We study the out-of-sample properties of robust empirical optimization problems with smooth phi-divergence penalties and smooth concave objective functions, and we develop a theory for data-driven calibration of the nonnegative robustness parameter delta that controls the size of the deviations from the nominal model. Building on the intuition that robust optimization reduces the sensitivity of the expected reward to errors in the model by controlling the spread of the reward distribution, we ...
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作者：Ma, Will; Simchi-Levi, David; Teo, Chung-Piaw
作者单位：Columbia University; Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); National University of Singapore
摘要：In this paper, we study the single-item revenue management problem, with no information given about the demand trajectory over time. When the item is sold through accepting/rejecting different fare classes, the tight competitive ratio for this problem has been established by Ball and Queyranne through booking limit policies, which raise the acceptance threshold as the remaining inventory dwindles. However, when the item is sold through dynamic pricing instead, there is the additional challenge...
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作者：Subramanyam, Anirudh; Mufalli, Frank; Lainez-Aguirre, Jose M.; Pinto, Jose M.; Gounaris, Chrysanthos E.
作者单位：Carnegie Mellon University; Carnegie Mellon University; Linde plc; Linde US; Linde plc; Linde US
摘要：In this paper, we study multiperiod vehicle routing problems where the aim is to determine a minimum cost visit schedule and associated routing plan for each period using capacity-constrained vehicles. In our setting, we allow for customer service requests that are received dynamically over the planning horizon. In order to guarantee the generation of routing plans that can flexibly accommodate potential service requests that have not yet been placed, we model future potential service requests...
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作者：Lam, Henry; Qian, Huajie
作者单位：Columbia University
摘要：In stochastic simulation, input uncertainty refers to the output variability arising from the statistical noise in specifying the input models. This uncertainty can be measured by a variance contribution in the output, which, in the nonparametric setting, is commonly estimated via the bootstrap. However, due to the convolution of the simulation noise and the input noise, the bootstrap consists of a two-layer sampling and typically requires substantial simulation effort. This paper investigates...
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作者：Ferris, Michael; Philpott, Andy
作者单位：University of Wisconsin System; University of Wisconsin Madison; University of Wisconsin System; University of Wisconsin Madison; University of Auckland
摘要：We study a competitive partial equilibrium in markets where risk-averse agents solve multistage stochastic optimization problems formulated in scenario trees. The agents trade a commodity that is produced from an uncertain supply of resources. Both resources and the commodity can be stored for later consumption. Several examples of a multistage risked equilibrium are outlined, including aspects of battery and hydroelectric storage in electricity markets, distributed ownership of competing tech...
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作者：Hwang, Dawsen; Jaillet, Patrick; Manshadi, Vahideh
作者单位：Alphabet Inc.; Google Incorporated; Massachusetts Institute of Technology (MIT); Yale University
摘要：For online resource allocation problems, we propose a new demand arrival model where the sequence of arrivals contains both an adversarial component and a stochastic one. Our model requires no demand forecasting; however, because of the presence of the stochastic component, we can partially predict future demand as the sequence of arrivals unfolds. Under the proposed model, we study the problem of the online allocation of a single resource to two types of customers and design online algorithms...
