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Bayesian Inventory Control: Accelerated Demand Learning via Exploration Boosts 贝叶斯库存控制:通过探索加速需求学习
IF 0.7 4区 管理学 Q3 Engineering Pub Date : 2023-05-10 DOI: 10.1287/opre.2023.2467
Ya-Tang Chuang, Michael Jong Kim
In the Bayesian newsvendor problem, it is known that the optimal decision is always greater than or equal to the myopic decision. As a result, the optimal decision can be expressed as the sum of the myopic decision plus a nonnegative “exploration boost.” In “Bayesian Inventory Control: Accelerated Demand Learning via Exploration Boosts,” Chuang and Kim characterize the form of the exploration boost in terms of basic statistical measures of uncertainty. This characterization expresses in clear terms the way in which the statistical learning and inventory control are jointly optimized; when there is a high degree of parameter uncertainty, inventory levels are boosted to induce a higher chance of observing more sales data to more quickly resolve statistical uncertainty, and as parameter uncertainty resolves, the exploration boost is reduced.
在贝叶斯报贩问题中,已知最优决策总是大于或等于近视眼决策。因此,最优决策可以表示为短视决策加上非负的“探索推动”的总和。在《贝叶斯库存控制:通过探索提升加速需求学习》一书中,Chuang和Kim根据不确定性的基本统计度量来描述探索提升的形式。这一特征清晰地表达了统计学习和库存控制共同优化的方式;当存在高度参数不确定性时,库存水平将被提升,从而更有可能观察到更多的销售数据,从而更快地解决统计不确定性,而随着参数不确定性的解决,探索的提升将被降低。
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引用次数: 0
On Hiring Secretaries with Stochastic Departures 关于聘用随机离职的秘书
IF 0.7 4区 管理学 Q3 Engineering Pub Date : 2023-05-10 DOI: 10.1287/opre.2023.2476
Thomas Kesselheim, Alexandros Psomas, Shai Vardi
The paper studies generalization of the secretary problem, where decisions do not have to be made immediately upon applicants’ arrivals. After arriving, each applicant stays in the system for some (random) amount of time and then leaves, whereupon the algorithm has to decide irrevocably whether to select this applicant or not. The arrival and waiting times are drawn from known distributions, and the decision maker’s goal is to maximize the probability of selecting the best applicant overall. The paper characterizes the optimal policy for this setting, showing that when deciding whether to select an applicant, it suffices to know only the time and the number of applicants that have arrived so far. Furthermore, the policy is monotone nondecreasing in the number of applicants seen so far, and, under certain natural conditions, monotone nonincreasing in time. Furthermore, when the number of applicants is large, a single threshold policy is almost optimal.
本文研究了秘书问题的泛化,在秘书问题中,决定不必在申请人到达时立即做出。到达后,每个申请人在系统中停留一段(随机)时间,然后离开,因此算法必须不可撤销地决定是否选择该申请人。到达和等待时间是从已知分布中提取的,决策者的目标是最大化选择最佳申请人的概率。本文描述了这种情况下的最优策略,表明在决定是否选择申请人时,只知道到目前为止已经到达的申请人的时间和数量就足够了。此外,到目前为止,该政策在申请人数量上是单调的,不减少,并且在某些自然条件下,单调的不随时间增加。此外,当申请人数量很大时,单一阈值策略几乎是最优的。
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引用次数: 1
New Mixed-Integer Nonlinear Programming Formulations for the Unit Commitment Problems with Ramping Constraints 带斜坡约束的机组承诺问题的新混合整数非线性规划公式
IF 0.7 4区 管理学 Q3 Engineering Pub Date : 2023-05-09 DOI: 10.1287/opre.2023.2435
T. Bacci, A. Frangioni, C. Gentile, Kostas Tavlaridis-Gyparakis
Mixed-Integer Formulations for Power Production Problems The unit commitment problem is a complex mixed-integer nonlinear program that originates in the field of power production. Although it arises in a monopolistic system, there is still great attention to this problem even in a free-market regime, where it constitutes only a subproblem of larger ones. Historically, it was usually solved by Lagrangian relaxation methods. However, the advances achieved by commercial solvers of mixed-integer (linear and convex) programming problems have made such approaches an attractive option. T. Bacci, A. Frangioni, C. Gentile, and K. Tavlaridis-Gyparakis present the first mixed-integer nonlinear programming formulation with a polynomial number of both variables and constraints that describes the convex hull of the feasible solutions of the unit commitment problem with a single thermal generation unit, comprising all typical constraints and convex power generation costs. Proving that the formulation is exact requires a new result about the convex envelope of specially structured functions that can have independent interest. This new formulation for a single power generation unit is used to derive three new formulations for the general unit commitment problem whose effectiveness has been tested against the state-of-art formulation.
机组承诺问题是一个复杂的混合整数非线性规划问题,起源于电力生产领域。虽然它出现在垄断制度中,但即使在自由市场制度中,这个问题仍然受到高度重视,它只是大问题中的一个子问题。历史上,它通常是用拉格朗日松弛法求解的。然而,混合整数(线性和凸)规划问题的商业求解器所取得的进步使这种方法成为一种有吸引力的选择。T. Bacci, a . Frangioni, C. Gentile和K. Tavlaridis-Gyparakis提出了第一个混合整数非线性规划公式,该公式包含变量和约束的多项式数,描述了包含所有典型约束和凸发电成本的单个火力发电机组的机组承诺问题可行解的凸包。要证明这个公式是精确的,需要一个关于具有独立兴趣的特殊结构函数的凸包络的新结果。利用这一单一发电机组的新公式推导出一般机组承诺问题的三个新公式,并与现有的新公式进行了有效性测试。
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引用次数: 0
Optimal Procurement in Remanufacturing Systems with Uncertain Used-Item Condition 不确定用件条件下再制造系统的最优采购
IF 0.7 4区 管理学 Q3 Engineering Pub Date : 2023-05-08 DOI: 10.1287/opre.2023.2483
Emre Nadar, Mustafa Akan, L. Debo, Alan Scheller-Wolf
The Importance of Considering System Congestion When Acquiring Used Items for Remanufacturing The condition of used items obtained by remanufacturers often varies widely and may only be truly known after an inspection. In “Technical Note–Optimal Procurement in Remanufacturing Systems with Uncertain Used-Item Condition,” Nadar, Akan, Debo, and Scheller-Wolf study the procurement problem by taking into account this pre-inspection uncertainty as well as the quantities of available used items of different quality levels. The authors provide a novel optimal policy structure for a Markov decision process representation of this problem. They prove that the optimal acquisition decision depends on the system congestion level — the total remanufacturing load weighted by the quality levels. Their results show that it becomes less desirable to acquire a used item as the number of available items or the quality level of any available item increases. To prove their results, the authors introduce a new functional characterization that is a relaxation of supermodularity and discrete convexity.
再制造企业获得的二手物品的状况往往变化很大,只有经过检查才能真正了解。Nadar, Akan, Debo和Scheller-Wolf在“技术笔记-具有不确定的二手物品状况的再制造系统中的最优采购”中,通过考虑这种预检验的不确定性以及不同质量水平的可用二手物品的数量,研究了采购问题。作者为该问题的马尔可夫决策过程表示提供了一种新颖的最优策略结构。他们证明了最优采购决策取决于系统拥塞水平——质量水平加权的总再制造负荷。他们的结果表明,当可用物品的数量或任何可用物品的质量水平增加时,获取一个使用过的物品变得不那么可取。为了证明他们的结果,作者引入了一个新的泛函表征,它是超模性和离散凸性的松弛。
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引用次数: 1
Exit Spirals in Coupled Networked Markets 耦合网络市场中的退出螺旋
IF 0.7 4区 管理学 Q3 Engineering Pub Date : 2023-05-02 DOI: 10.1287/opre.2023.2439
Christoph Aymanns, Co-Pierre Georg, B. Golub
When are Coupled Networked Markets Prone to Sudden Collapse? Many important financial instruments are traded in large networked markets, whose fragility played a role in the Great Financial Crisis. In “Exit Spirals in Coupled Networked Markets,” Aymanns, Georg, and Golub study strategic market participation to show that fragility is exacerbated when several networked markets are coupled, so that activity in one market facilitates participation in others. Such coupling occurs, for example, when participants use relationships in one market to borrow funds to trade in others. The authors ask when market participation is prone to sudden collapse in an exit spiral. They explain when such exit spirals emerge and find that market coupling is a pervasive cause of fragility, creating exit spirals even between networks that are individually robust. The fragility of coupled markets can be mitigated if one of two coupled markets becomes centralized or if links become more correlated across markets.
耦合网络市场何时容易突然崩溃?许多重要的金融工具在大型网络市场进行交易,这些市场的脆弱性在大金融危机中发挥了作用。在“耦合网络市场中的退出螺旋”中,Aymanns、Georg和Golub研究了战略市场参与,表明当几个网络市场耦合时,脆弱性会加剧,因此一个市场的活动促进了其他市场的参与。例如,当参与者利用一个市场中的关系借入资金在其他市场进行交易时,就会发生这种耦合。作者提出的问题是,市场参与何时容易在退出螺旋中突然崩溃。他们解释了这种退出螺旋何时出现,并发现市场耦合是造成脆弱性的普遍原因,甚至在个别稳健的网络之间也会产生退出螺旋。如果两个耦合市场中的一个变得集中,或者各个市场之间的联系变得更加相关,耦合市场的脆弱性就可以得到缓解。
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引用次数: 1
Technical Note—Asymptotically Optimal Control of Omnichannel Service Systems with Pick-up Guarantees 技术笔记-带提货保证的全通道服务系统的渐近最优控制
IF 0.7 4区 管理学 Q3 Engineering Pub Date : 2023-04-28 DOI: 10.1287/opre.2022.2416
Xuefeng Gao, Jun-fei Huang, Jiheng Zhang
Both walk-in and online customers appear in many service systems such as restaurants. Online customers are often given a target time for pick up, and the quality of the food/beverage can degrade if it is ready before the arrival of online customers. This distinctive feature brings essential difficulties in the analysis and control of such systems. In “Technical Note: Asymptotically Optimal Control of Omnichannel Service Systems with Pick-up Guarantees,” Gao, Huang, and Zhang study the optimal control problem of such service systems based on a two-class single server queueing model. The paper proposes a nearly-optimal policy that keeps the server idle when the queue of online customers drops below a threshold and there are no walk-in customers.
在餐馆等许多服务系统中,都出现了上门顾客和网上顾客。在线顾客通常会得到一个取货的目标时间,如果在在线顾客到来之前就准备好了,那么食品/饮料的质量就会下降。这种独特的特性给分析和控制这类系统带来了本质上的困难。在“Technical Note:带提货保证的全渠道服务系统的渐近最优控制”中,Gao, Huang, Zhang基于两类单服务器排队模型研究了这类服务系统的最优控制问题。本文提出了一种近乎最优的策略,当在线客户队列下降到阈值以下且没有客户进入时,服务器保持空闲。
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引用次数: 1
A Decomposition Algorithm with Fast Identification of Critical Contingencies for Large-Scale Security-Constrained AC-OPF 大型安全约束AC-OPF关键事件快速识别分解算法
IF 0.7 4区 管理学 Q3 Engineering Pub Date : 2023-04-27 DOI: 10.1287/opre.2023.2453
Frank E. Curtis, D. Molzahn, Shenyinying Tu, A. Wächter, Ermin Wei, Elizabeth Wong
The article “A Decomposition Algorithm with Fast Identification of Critical Contingencies for Large-Scale Security-Constrained AC-OPF” presents the decomposition algorithm used by Team GO-SNIP for the ARPA-E Grid Optimization (GO) Competition Challenge 1, held from November 2018 through October 2019. The algorithm involves unique contingency ranking and evaluation strategies for determining the important contingencies to include in a master problem that approximates the original large-scale security-constrained problem. It also involves efficient strategies for handling the complementarity constraints that appear in the model and for handling the arising degeneracies. Software implementation details are described, and the results of an extensive set of numerical experiments are provided to illustrate the effectiveness of each of the used techniques. Team GO-SNIP received a second-place finish in Challenge 1 of the Go Competition.
文章“一种快速识别大规模安全约束AC-OPF关键事件的分解算法”介绍了GO- snip团队在2018年11月至2019年10月举行的ARPA-E网格优化(GO)竞赛挑战1中使用的分解算法。该算法采用独特的权变排序和评估策略,以确定主问题中包含的重要权变,从而近似于原始的大规模安全约束问题。它还涉及处理模型中出现的互补性约束和处理产生的退化的有效策略。描述了软件实现的细节,并提供了一组广泛的数值实验结果,以说明每种使用技术的有效性。Go - snip团队在第一轮围棋比赛中获得第二名。
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引用次数: 2
Minkowski Centers via Robust Optimization: Computation and Applications 闵可夫斯基中心通过鲁棒优化:计算和应用
IF 0.7 4区 管理学 Q3 Engineering Pub Date : 2023-04-19 DOI: 10.1287/opre.2023.2448
D. den Hertog, J. Pauphilet, Mohamed Yahya Soali
Properly defining the center of a set has been a longstanding question in applied mathematics, with implications in numerical geometry, physics, and optimization algorithms. Minkowski centers are one such definition, whose theoretical benefits are numerous and well documented. In this paper, we revisit the advantages of Minkowski centers from a computational, rather than theoretical, perspective. First, we show that Minkowski centers are solutions to a robust optimization problem. Under this lens, we then provide computationally tractable reformulations or approximations for a series of sets, including polyhedra, polyhedral projections, and intersections of ellipsoids. Computationally, we illustrate that Minkowski centers are viable alternatives to other centers, such as Chebyshev or analytic centers, and can speed up the convergence of numerical algorithms like hit-and-run and cutting-plane methods. We hope our work sheds new and practical light on Minkowski centers and exposes their potential benefits as a computational tool.
正确地定义集合的中心是应用数学中一个长期存在的问题,在数值几何、物理和优化算法中都有涉及。闵可夫斯基中心就是这样一个定义,其理论上的好处很多,而且有充分的证据。在本文中,我们从计算而非理论的角度重新审视闵可夫斯基中心的优势。首先,我们证明Minkowski中心是一个鲁棒优化问题的解。在这个透镜下,我们然后为一系列集合,包括多面体,多面体投影和椭球体的相交,提供计算上易于处理的重新表述或近似。在计算上,我们说明了闵可夫斯基中心是其他中心(如切比雪夫中心或分析中心)的可行替代方案,并且可以加速数值算法(如肇事逃逸和切割平面方法)的收敛。我们希望我们的工作能给闵可夫斯基中心带来新的和实用的启示,并揭示它们作为计算工具的潜在好处。
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引用次数: 0
Dynamic Mechanism Design with Capacity Constraint 具有容量约束的动态机构设计
IF 0.7 4区 管理学 Q3 Engineering Pub Date : 2023-04-17 DOI: 10.1287/opre.2023.2449
Wei He
When the number of tasks is large, how should a firm design reward and penalty schemes to incentivize its employees? In “Dynamic Mechanism Design with Capacity Constraint,” He studies the role of capacity constraint in a project assignment problem, where a principal needs to assign multiple tasks to an agent. The author fully characterizes the optimal mechanism via a sequence of deadlines. This characterization is used to show that the presence of the capacity constraint reduces the principal’s payoff and delays the completion of projects. It further illustrates that the widely adopted no-capacity constraint framework may provide inaccurate results in various dynamic problems.
当任务数量很大时,公司应该如何设计奖惩方案来激励员工?在“有能力约束的动态机制设计”中,他研究了能力约束在项目分配问题中的作用,其中委托人需要向代理人分配多个任务。作者通过一系列最后期限充分描述了最优机制。这个特征被用来表明能力约束的存在降低了委托人的收益并延迟了项目的完成。这进一步说明了广泛采用的无容量约束框架可能在各种动态问题中提供不准确的结果。
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引用次数: 0
Resource-Aware Cost-Sharing Methods for Scheduling Games 基于资源意识的游戏调度成本分担方法
IF 0.7 4区 管理学 Q3 Engineering Pub Date : 2023-04-12 DOI: 10.1287/opre.2023.2434
G. Christodoulou, Vasilis Gkatzelis, A. Sgouritsa
In large distributed systems, ensuring the efficient utilization of the available resources is a very challenging task. Given limited information regarding the state of the system and no centralized control over the outcome, decentralized scheduling mechanisms are unable to enforce optimal utilization. To better understand such systems, some classic papers that introduced game theoretic models used the “price of anarchy” measure to evaluate the system’s performance. The paper “Resource-Aware Cost-Sharing Methods for Scheduling Games” by Christodoulou, Gkatzelis, and Sgouritsa overcomes some of the overly pessimistic results shown in this prior work by enhancing the scheduling mechanisms with access to some additional information regarding the state of the system: a “resource-aware” mechanism knows what machines are available in the system and uses this information to carefully incentivize the users toward more efficient Nash equilibrium outcomes.
在大型分布式系统中,确保可用资源的有效利用是一项非常具有挑战性的任务。由于关于系统状态的信息有限,并且没有对结果的集中控制,分散的调度机制无法实现最佳利用率。为了更好地理解这样的系统,一些引入博弈论模型的经典论文使用“无政府状态的价格”度量来评估系统的性能。Christodoulou、Gkatzelis和Sgouritsa的论文《调度博弈的资源感知成本共享方法》克服了之前研究中过于悲观的结果,通过访问有关系统状态的一些额外信息来增强调度机制:“资源感知”机制知道系统中有哪些机器可用,并使用这些信息来谨慎地激励用户走向更有效的纳什均衡结果。
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引用次数: 0
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Military Operations Research
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