Informs 2015

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INFORMS Philadelphia – 2015
499
WE63
63-Room 112B, CC
Operations/Finance Interface
Contributed Session
Chair: Bo Li, Doctoral Candidate, Texas A&M University, 4217 TAMU,
College Station, TX, 77843, United States of America,
1 - A Change-of-Variables Approach to Simulating
Conditional Expectations
Guiyun Feng, University of Minnesota, 1006 27th Avenue SE,,
Minneapolis, MN, 55414, United States of America,
, Guangwu Liu
We introduce a change-of-variables approach to simulating conditional
expectations. A key of the proposed approach is the construction of a one-to-one
mapping such that a conditional expectation can be represented as an ordinary
expectation by using change-of-variables technique. This new representation
leads to an efficient estimator of the conditional expectation. Application to Greek
estimation for financial options will be discussed.
2 - Optimal Procurement, Pricing, and Hedging under Cost and
Demand Uncertainty
Max Friedrich Schoene, WHU - Otto Beisheim School of
Management, Burgplatz 2, Vallendar, 56179, Germany,
Stefan Spinler, John Birge
Commodity price volatility is an important factor to consider in corporate risk
management. In this article, we study the joint pricing, inventory control, and
hedging problem of a risk-averse industrial firm, facing uncertain commodity
prices and stochastic demand. We solve the firm’s decision problem under realistic
commodity price dynamics using regression-based Monte Carlo methods. Our
findings show that optimal pricing, procurement, and hedging decisions are
interconnected.
3 - Lead-Time Reduction, Capital Structure, and Optimal
Investment Policies
Isik Bicer, Post Doctoral Researcher, Ecole Polytechnique
Fédérale de Lausanne, Lausanne, Vaud, 1015, Switzerland,
Ralf W. Seifert
We consider a manufacturing firm that places a production order in the face of
demand uncertainty. It also has an option to raise capital and invest in reducing
lead times. We analyze the optimal investment policy and derive closed-form
expressions that quantify the impact of lead time on the firm value, the optimal
leverage ratio, and the cost of capital. We show that firms can significantly
increase their profits by using external funds and capitalizing on the value of lead-
time reduction.
4 - Inventory, Random Capacity, and Firm Valuation by the
Financial Market
Bo Li, Doctoral Candidate, Texas A&M University, 4217 TAMU,
College Station, TX, 77843, United States of America,
, Antonio Arreola-Risa
Companies want to maximize their value on the financial market; however, their
inventory decisions may dis-serve this goal. We consider a firm that purchases
from a supplier with random available capacity, faces a newsvendor-type decision
and aims to maximize its own value. Employing the Capital Asset Pricing Model,
we explore how randomness in both customer demand and supplier capacity
impacts the optimal inventory decision and firm value.
WE64
64-Room 113A, CC
Advances in Decision Analysis
Sponsor: Decision Analysis
Sponsored Session
Chair: Manel Baucells, Darden School of Business, P.O. Box 6550,
Charlottesville, VA, 22906-6500, United States of America,
1 - Measuring Discounting Without Measuring Utility
Han Bleichrodt, Erasmus University, P.O. Box 1738, Rotterdam,
3000DR, Netherlands, , Peter P. Wakker,
Arthur E. Attema, Zhenxing Huang, Yu Gao
We introduce a new method for measuring the temporal discounting of money.
Unlike preceding methods, our method requires neither knowledge nor
measurement of utility. It is easier to implement and clearer to subjects, and
requires fewer measurements than preceding methods did.
2 - Do We Discount Time As We Discount Money?
Cédric Gutierrez, HEC Paris, 1 Rue de la Libération, Jouy en
Josas, 78351, France, ,
Mohammed Abdellaoui, Emmanuel Kemel
While intertemporal choice of money has been studied extensively, very few
studies have analyzed the way people discount time, despite the fact that it is a
scarce and valuable resource. We investigate this issue in a laboratory experiment
where consequences are measured in units of money or time. We report
significant differences between discounting of time and of money. For instance,
there is a higher heterogeneity in discounting behaviors and a stronger present-
bias for time than for money.
3 - Multiperson Utility Without The Appearance of Dictatorship
Manel Baucells, Darden School of Business, P.O. Box 6550,
Charlottesville, VA, 22906-6500, United States of America,
Lloyd Shapley, Dov Samet
We take the multiperson utility setup (coalitions are endowed with incomplete
VNM preferences satisfying the extended Pareto rule) and assume a mild
condition on individual preferences (avoiding the appearance of dictatorship). We
proof that whenever certain smaller but overlapping coalitions have complete
preferences, then the group necessarily has complete preferences. The smaller
coalitions are not restricted to be pairs, thus generalizing previous results.
WE65
65-Room 113B, CC
Rail Transportation
Contributed Session
Chair: Bahar Zarin, PhD Candidate, University of Maryland, College
Park, MD, United States of America,
1 - Integration of Passenger and Freight Rail Scheduling with
Minimal Tardiness
Liang Liu, University of Southern California, Los Angeles, CA,
United States of AmericaUnited States of America,
Maged Dessouky
We present a the methodology to integrate passenger and freight train scheduling
to reduce train tardiness when they travel on the same trackage. The research
highlights the control policy of resource allocation in a complex railway network.
We develop a dual objective optimization model which minimizes the freight train
flow time and passenger train tardiness. Simulation of the railway system is
conducted given the control policy from the optimization model solution.
2 - A Multi-Period Multi-Class High Speed Rail Passenger Revenue
Management Problem
Ying Qin, Doctoral Student, Tongji University, No. 1239, Siping
Road, Shanghai, 200092, China, Zhe Liang
We study a multi-period multi-class rail passenger revenue management problem
in which the unsatisfied demand can be recaptured by the alternative product. To
formulate the problem, we first propose a basic model (BM), but it suffers from
the intractable computation complexity. Therefore, we propose a two-stage
heuristic by solving a restricted BM based on the solutions of a leg-based
decomposition model and the heuristic provides nearer optimal solutions than the
BM in much shorter time.
3 - Capacity Allocation in Vertically Integrated Railway Systems:
A Sequential Bargaining Game Approach
Bo Zou, University of Illinois at Chicago, 2095 Engineering
Research Facility, 842 W. Taylor Street (M/C 246), Chicago, IL,
60607-7023, United States of America, ,
Ahmadreza Talebian
We propose a game-theoretic approach to model the bargaining process for rail
line capacity allocation. A public passenger rail agency negotiates on schedule and
price with a host freight railroad to obtain train paths. Each side alternately offers
schedule/price and decides whether to accept or reject the other side’s offer. Both
perfect and incomplete information cases are investigated analytically with
numerical analysis offering further insights.
4 - Investigating the Trade-off Between Level of Service and Capacity
Parameters in Train Scheduling
Hamed Pouryousef, Michigan Technical University, 819 Dow, CEE
Dept., 1400 Townsend DR, Houghton, MI, 49931, United States
of America, , Pasi Lautala
Maximizing the capacity utilization while maintaining adequate level of service
(LOS) are important for any railroad. This research investigates the use of an
analytic model called “hybrid optimization of train schedules” (HOTS) for train
rescheduling and for evaluating its impact on train stop patterns and maximum
and total dwell times. One research finding revealed that changes in max dwell
time (especially within the spectrum of 6-15 min) have high impact on other LOS
and capacity parameters.
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