An extended formulation for two-stage stochastic unit commitment with reserves
We derive extended formulations for the two-stage stochastic unit commitment with reserves. Our approach can capture most physical characteristics of a complicated thermal generator including min-up/-down time limit, time-dependent ...
Adapting the ng-path relaxation for bike balancing problems
This paper deals with a static bike relocation problem that deploys a fleet of vehicles to redistribute shared bicycles. To solve the problem to optimality, we present a branch-price-and-cut algorithm. In particular, a new path ...
Robust risk-taking under a sustainable constraint
We consider a model in which the representative investor makes optimal portfolio and consumption choices robust to ambiguity with a sustainable constraint. We find that the influences of ambiguity on risk-taking are two ways. Those are ...
On the asymptotic optimality of the cμ-rule in queueing networks
Although the cμ-rule is proven to be exactly or asymptotically optimal in various parallel queueing networks, its performance in non-parallel queueing networks is relatively unexplored. We study the performance of the cμ-rule (that is, ...
Detecting stock market regimes from option prices
Equity market returns alternate between periods of calm and crises. Researchers commonly employ regime switching models to capture this behaviour. We show that forward-looking information extracted from option prices improves regime ...
Fatigue accumulation in dynamic contests
We study a dynamic contest model where efforts exerted in previous periods accumulate as fatigue. As an individual's fatigue level increases, it becomes more costly to exert one unit of effort in the future. This creates a trade-off ...
A branch-and-bound method for the minimum k−enclosing ball problem
The minimum k-enclosing ball problem seeks the ball with smallest radius that contains at least k of m given points. This problem is NP-hard. We present a branch-and-bound algorithm on the tree of the subsets of k points to solve this ...
Two dimensional maximum weight matching using Manhattan topology
Let V be a finite set of points embedded in a plane. Consider a complete graph on the points in V and use Manhattan topology to measure the weight of all edges. A maximum weight perfect matching finds disjoint edges that cover all ...
The transient blended queue
This study aims to determine the transient behavior of the blended queue. Priority customers arrive over time and benefit from a threshold reservation policy, while non-priority ones can be contacted at any time. We show how to compute ...
Optimal pricing and inventory control strategy for a continuous-review system with product return
- Consider joint pricing and inventory control in the presence of product return.
We consider joint pricing and inventory control strategies for a stochastic inventory system with product return. Customer's demand and product return follow independent point processes with demand rate being price-dependent. Using a ...
On the equivalence of two competing affirmative actions in school choice
This note analyzes the outcome equivalence conditions of two popular affirmative action policies, majority quota and minority reserve, under the student optimal stable mechanism. These two affirmative actions generate an identical ...
Computing k-centers of uncertain points on a real line
In this paper we study the one-dimensional k-center problem on uncertain points. Given a set of n uncertain points each represented by a segment of its appearance on a real line, the k-center problem is computing a set Q of k points (...
Managing inventory in a network: Performance bounds for simple policies
We consider the joint optimization of rebalancing/sourcing inventory on a graph. We focus on the lost-sales setting with customer induced relocations. Through a coupling analysis, we provide worst-case performance bounds, with tight ...
Online load balancing with general reassignment cost
We investigate a semi-online variant of load balancing with restricted assignment. In this problem, we are given n jobs, which need to be processed by m machines with the goal to minimize the maximum machine load. Since strong lower ...
Approximating Nash equilibrium for production control with sticky price
We study a mean field game problem arising from the production control for multiple firms with price stickiness in the commodity market. The price dynamics for each firm is described as a (controlled) jump-diffusion process with mean-...
To wait or not to wait: Strategic behaviors in an observable batch-service queueing system
This paper deals with an observable batch service queueing system in which customers rationally choose whether to form a batch with another customer or not, in addition to deciding whether or not to join the queue. When choosing ...
Iteratively sampling scheme for stochastic optimization with variable number sample path
Optimal search methods are proposed for solving optimization problems with analytically unobtainable objectives. This paper proposes a method by incorporating sampling schemes into the directional direct search with variable number ...
On the exactness of the ε-constraint method for biobjective nonlinear integer programming
The ε-constraint method is a well-known scalarization technique used for multiobjective optimization. We explore how to properly define the step size parameter of the method in order to guarantee its exactness when dealing with ...
Asymptotically optimal idling in the GI/GI/N+GI queue
We formulate a control problem for a GI/GI/N+GI queue, whose objective is to trade off the long-run average operational costs with server utilization costs. To solve the control problem, we consider an asymptotic regime in which the ...
A parameterized view to the robust recoverable base problem of matroids under structural uncertainty
We study a robust recoverable version of the matroid base problem where the uncertainty is imposed on combinatorial structures rather than on weights as studied in the literature. We prove that the problem is NP-hard even when a given ...