Operations Research articles from March 2005

Operations Research archives from March 2005

LP modeling for asset-liability management: a survey of choices and simplifications.(OR CHRONICLE)
March 1, 2005... Dynamic linear programming (LP) models for asset-liability management (ALM) are quite powerful and flexible but face two challenges: (1) many modeling choices, not all consistent with one another or with finance theory, and (2) solution...

Maximum pressure policies in stochastic processing networks.
March 1, 2005... Complex systems like semiconductor wafer fabrication facilities (fabs), networks of data switches, and large-scale call centers all demand efficient resource allocation. Deterministic models like linear programs (LP) have been used for capacity...

Solving a time-space network formulation for the convoy movement problem.
March 1, 2005... We give a formal specification for a strategic network routing problem known as the convoy movement problem (CMP) and establish that the corresponding feasibility problem is NP-complete. We then introduce an integer programming (IP) model based...

Dynamic pricing and learning in electricity markets.
March 1, 2005... We analyze the price-formation process in an infinite-horizon oligopoly model where hydroelectric generators engage in dynamic price-based competition. The analysis focuses on the role of "indifference" prices, i.e., prices that equate the...

Pricing and design of differentiated services: approximate analysis and structural insights.
March 1, 2005... We consider a model of a service system that delivers two nonsubstitutable services to a market of heterogenous users. The first service is delivered subject to a "guaranteed" (G) processing rate, and the second is a "best-effort" (BE) type...

A continuous model for multistore competitive location.
March 1, 2005... This paper presents a simple model to determine the location strategies of two retail firms planning to open a number of stores in a geographical market. Firms try to maximize their profit under a leader-follower type competition in which the...

A distributed decision-making structure for dynamic resource allocation using nonlinear functional approximations.
March 1, 2005... This paper proposes a distributed solution approach to a certain class of dynamic resource allocation problems and develops a dynamic programming-based multiagent decision-making, learning, and communication mechanism. In the class of dynamic...

Large sample properties of weighted Monte Carlo estimators.
March 1, 2005... A general approach to improving simulation accuracy uses information about auxiliary control variables with known expected values to improve the estimation of unknown quantities. We analyze weighted Monte Carlo estimators that implement this...

An efficient optimal solution to the two-hoist no-wait cyclic scheduling problem.
March 1, 2005... Hoist scheduling is a typical problem in the operation of electroplating systems. The cyclic scheduling policy is widely used in these systems in industry. Research on hoist scheduling has focused on the cyclic problem to minimize the cycle...

A production-inventory system with Markovian capacity and outsourcing option.
March 1, 2005... We study the optimal production-inventory-outsourcing policy for a firm with Markovian in-house production capacity that faces independent stochastic demand and has the option to outsource. We find very simple optimal policy forms under fairly...

A series system with returns: stationary analysis.
March 1, 2005... This paper analyzes a series inventory system with stationary costs and stochastic demand over an infinite horizon. A distinctive feature is that demand can be negative, representing returns from customers, as well as zero or positive. We...

New results on the Mixed General Routing Problem.
March 1, 2005... In this paper, we deal with the polyhedral description and the resolution of the Mixed General Routing Problem. This problem, in which the service activity occurs both at some of the nodes and at some of the arcs and edges of a mixed graph,...

Stochastic comparisons in production yield management.(TECHNICAL NOTE)
March 1, 2005... Manufacturing firms routinely commit resources to increase yield rates through product- and process-improvement initiatives. Champions of such yield-improvement projects may assume that stochastically larger yield rates are beneficial. In this...