2015 Informs Annual Meeting

WB23

INFORMS Philadelphia – 2015

2 - Redesign of Vaccine Distribution Networks in Low and Middle- income Countries Jung Lim, Ph. D. Candidate, University of Pittsburgh, 1048 Benedum hall, 3700 O’hara st., Pittsburgh, PA, 15261, United States of America, gljace@gmail.com, Bryan Norman, Jayant Rajgopal In many low and middle income countries, vaccines are distributed through a legacy medical supply chain, which is typically not cost-efficient. In order to improve vaccine distribution, redesigning the vaccine supply chain is considered, which includes: choosing intermediate hub locations, determining flow paths and vehicles for each flow path, and selecting storage devices for each location. We develop a mixed-integer optimization model and also suggest heuristic methods for larger problems. 3 - Optimal Two-phase Vaccine Allocation to Geographically Different Regions under Uncertainty We consider a two-phase vaccine allocation policy which is formulated as a two- stage stochastic linear program (2-SLP) and then reduced to a linear program with a similar size to that of the first stage problem. We also present a Newsvendor model formulation of the problem which provides a closed form solution for the optimal allocation. Numerical results for seasonal influenza in North Carolina show a considerable reduction in the attack rate and vaccination cost. 4 - Joint Optimization of Vaccine Clinic Locations and Outreach Trips under Various Constraints Maryam Hasanzadeh Mofrad, University of Pittsburgh, 1048 Benedum Hall, Pittsburgh, 15261, United States of America, hasanzadeh.mofrad@gmail.com, Bryan Norman, Jayant Rajgopal, Lisa Maillart We investigate the tradeoffs involved with establishing (additional) healthcare clinics versus conducting outreach trips to vaccinate patients in remote locations. Given a network of population centers, we develop a mixed integer linear programming model to minimize cost over a specified period of time subject to constraints on coverage, trip distance, trip size, trip frequency and patient travel. WB22 22-Franklin 12, Marriott Queueing Models for Manufacturing and Service Systems Cluster: Stochastic Models: Theory and Applications Invited Session Chair: Tugce Martagan, Eindhoven University of Technology, 5600 MB Eindhoven, Eindhoven, Netherlands, T.G.Martagan@tue.nl 1 - Delay Announcement for Admission Control under Competition Siddharth Prakash Singh, PhD Candidate, Tepper School of Business, Carnegie Mellon University, 5000 Forbes Avenue, Pittsburgh, PA, United States of America, sps1@andrew.cmu.edu, Mohammad Delasay, Alan Scheller-wolf We study queueing models of two competing service providers, e.g., emergency departments or restaurants, where one of the service providers, the “participant,” is capable of announcing its delay information to customers by incurring some cost. We characterize conditions under which the participant could benefit by making real-time announcements, while the other provider continues not to disclose delay information. 2 - Sourcing Strategies for Assembled Products under Information Leakage and Competition Ashesh Kumar Sinha, University of Wisconsin-Madison, 1402 Regent St, Apt. 731C, Madison, WI, 53711, United States of America, asinha4@wisc.edu, Ananth Krishnamurthy We analyze a multi-period decentralized assembly system where a product is assembled from multiple components sourced from vendors. The assembler provides the pricing scheme to the vendor whereas the vendor determines the production quantity for each component. Using stochastic games, we analyze tradeoffs and determine sourcing strategies to mitigate risks of divulging product knowledge while meeting costs and service level objectives. Hamed Yarmand, Umass Boston, College of Management, University of Massachusetts Boston, Boston, MA, 02125, United States of America, hamed.yarmand@umb.edu, Brian Denton, Alun Lloyd, Julie Ivy

3 - Simultaneous Buffer and Service Rate Allocation in Open Finite Queueing Networks James Smith, University of Massachusetts Amherst, jmgsmith@acad.umass.edu Simultaneous buffer and service rate allocation in finite queueing networks is an NP-Hard optimization problem. We utilize an efficient performance algorithm combined with a mixed integer sequential quadratic programming algorithm algorithm to solve a number of open network design problems involving series, split, and merge topologies. 4 - On the Many-servers Queues under SJF Discipline Amir Motaei, PhD Student, University of florida, Department of Industrial and Systems Eng, 303 Weil Hall, P.O. Box 116595, Gainesville, FL, 32611-6595, United States of America, motaei@ufl.edu We are studying the G/GI/n under the Shortest-Job-First(SJF) discipline in the Halfin-Whitt regime. Process-level convergence of the number of customers in the system is established in terms of the limit of corresponding infinite-server model. This is accomplished by relating G/GI/n under SJF to a family of two class priority queuing systems where within each class the arrival to service happens according to a FCFS discipline. WB23 23-Franklin 13, Marriott Modern Market Microstucture: Stochastic Models of Limit Order Books Sponsor: Applied Probability Sponsored Session Chair: Costis Maglaras, Columbia Business School, New York, NY, 10027, United States of America, c.maglaras@gsb.columbia.edu Co-Chair: Ciamac Moallemi, Columbia Business School, 3022 Broadway, Uris Hall, New York, United States of America, ciamac@gsb.columbia.edu 1 - Optimal Execution in a Limit Order Book and an Associated Microstructure Market Impact Model Hua Zheng, Columbia University, 3022 Broadway, New York, United States of America, hzheng14@gsb.columbia.edu, Costis Maglaras, Ciamac Moallemi We model an electronic limit order book as a multi-class queueing system under fluid dynamics, and formulate and solve a problem of limit and market order placement to optimally buy a block of shares over a short, predetermined time horizon. We use structure of the optimal policy to identify microstructure variables that affect short-term costs and propose a microstructure-based market impact model. Analysis of a proprietary dataset highlights its increased accuracy over macroscopic models. 2 - A Closed-form Execution Strategy to Target Vwap Sebastian Jaimungal, University of Toronto, Department of Statistical Sciences, Toronto, ON, Canada, sebastian.jaimungal@utoronto.ca, Alvaro Cartea We provide two explicit closed-form optimal execution strategies to target VWAP. We do this under very general assumptions about the volume process, and account for permanent price impact stemming from all agents. The first strategy consists of TWAP adjusted upward by instantaneous order-flow and adjusted downward by expected future order-flow. The second strategy consists of the Almgren-Chriss execution strategy adjusted by expected volume and net order- flow during the life of the strategy. 3 - Hydrodynamic Limit of Order Book Dynamics Xuefeng Gao, Assistant Professor, The Chinese University of Hong Kong, xfgao@se.cuhk.edu.hk, J. G. Dai, Ton Dieker, Shijie Deng We study the temporal evolution of limit order book shape on the macroscopic time scale, motivated by a desire to better understand the interplay among order flows, order book shape and price impact. Our main result states that in the scaling regime where time goes to infinity and price tick size goes to zero, a pair of measure-valued processes representing the sell side shape and buy-side shape of an order book converges weakly to a pair of deterministic measure-valued processes.

407