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    IOR
    2006
    72views more  IOR 2006»
    Inventory Policies in a Decentralized Assembly System
    13 years 11 months ago
    Inventory Policies in a Decentralized Assembly System
    Download  www.columbia.edu
    We consider a system in which a single finished good is assembled from two components. Demand for the finished product is stochastic and stationary, and procurement and assembly l...
    Fernando Bernstein, Gregory A. DeCroix
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    IOR
    2006
    44views more  IOR 2006»
    Order Assignment and Scheduling in a Supply Chain
    13 years 11 months ago
    Order Assignment and Scheduling in a Supply Chain
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    Zhi-Long Chen, Guruprasad Pundoor
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    IOR
    2006
    192views more  IOR 2006»
    Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
    13 years 11 months ago
    Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
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    The stochastic differential equations for affine jump diffusion models do not yield exact solutions that can be directly simulated. Discretization methods can be used for simulati...
    Mark Broadie, Özgür Kaya
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    IOR
    2006
    70views more  IOR 2006»
    Solving Large-Scale Linear Multicommodity Flow Problems with an Active Set Strategy and Proximal-ACCPM
    13 years 11 months ago
    Solving Large-Scale Linear Multicommodity Flow Problems with an Active Set Strategy and Proximal-ACCPM
    Download  www.optimization-online.org
    Frédéric Babonneau, O. Du Merle, Jea...
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    IOR
    2006
    74views more  IOR 2006»
    Controlled Sequential Bifurcation: A New Factor-Screening Method for Discrete-Event Simulation
    13 years 11 months ago
    Controlled Sequential Bifurcation: A New Factor-Screening Method for Discrete-Event Simulation
    Download  web.ics.purdue.edu
    Hong Wan, Bruce E. Ankenman, Barry L. Nelson
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    IOR
    2006
    75views more  IOR 2006»
    Sensitivity of Performance in the Erlang-A Queueing Model to Changes in the Model Parameters
    13 years 11 months ago
    Sensitivity of Performance in the Erlang-A Queueing Model to Changes in the Model Parameters
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    This paper studies the M/M/s+M queue, i.e., the M/M/s queue with customer abandonment, also called the Erlang-A model, having independent and identically distributed customer aban...
    Ward Whitt
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    IOR
    2006
    44views more  IOR 2006»
    Optimal Selection of a Connected Reserve Network
    13 years 11 months ago
    Optimal Selection of a Connected Reserve Network
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    Hayri Önal, Robert A. Briers
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    IOR
    2006
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    A Nonparametric Approach to Multiproduct Pricing
    13 years 11 months ago
    A Nonparametric Approach to Multiproduct Pricing
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    Paat Rusmevichientong, Benjamin Van Roy, Peter W. ...
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    IOR
    2006
    91views more  IOR 2006»
    Robust One-Period Option Hedging
    13 years 11 months ago
    Robust One-Period Option Hedging
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    The paper considers robust optimization to cope with uncertainty about the stock return process in one period option hedging problems. The robust approach relates portfolio choice ...
    Frank Lutgens, Jos F. Sturm, Antoon Kolen
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    IOR
    2006
    59views more  IOR 2006»
    A Robust Optimization Approach to Inventory Theory
    13 years 11 months ago
    A Robust Optimization Approach to Inventory Theory
    Download  web.mit.edu
    Dimitris Bertsimas, Aurélie Thiele
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