Informs 2015

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INFORMS Philadelphia – 2015
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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, , 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
Hamed Yarmand, Umass Boston, College of Management,
University of Massachusetts Boston, Boston, MA, 02125,
United States of America,
Brian Denton, Alun Lloyd, Julie Ivy
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,
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,
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, ,
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, 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.
3 - Simultaneous Buffer and Service Rate Allocation in Open Finite
Queueing Networks
James Smith, University of Massachusetts Amherst,
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,
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,
Co-Chair: Ciamac Moallemi, Columbia Business School, 3022
Broadway, Uris Hall, New York, United States of America,
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,
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,
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, , 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.
WB23