2016 INFORMS Annual Meeting Program

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INFORMS Nashville – 2016
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SB44
208B-MCC
Decision Analysis, Game Theory, and
Homeland Security
Sponsored: Decision Analysis
Sponsored Session”
Chair: Jun Zhuang, University at Buffalo, SUNY, Buffalo, NY,
United States,
Co-Chair: Jing Zhang, University at Buffalo, SUNY, University at
Buffalo, SUNY, Buffalo, NY, 14228, United States,
1 - Defensibility - A New Concept In Risk Analysis
Vicki Bier, University of Wisconsin-Madison,
Alexander Gutfraind, Ziyang Lu
We define a system as defensible if modest investment of resources can
significantly improve the outcome to the defender. After quantifying defensibility,
we use empirical examples and stylized examples to show that some systems that
appear highly vulnerable are actually highly defensible.
2 - Using The Concept Of Multidimensional System Resilience In
Decision And Risk Analysis
Dante Gama Dessavre, Stevens Institute of Technology,
, Jose Emmanuel Ramirez-Marquez
Resilience is generally understood as the ability of an entity to recover from an
external disruptive event. Systems such as cities, face the challenge of each of
their subsystems being vulnerable to multiple threats. This work analyzes the
compilation of subsystem and multiple measurements in order to have more
accurate description of system resilience. The object of this work is to introduce
the use of this multidimensional system resilience model in the disciplines of
decision and risk analysis, showing how it allows creating more comprehensive
and intuitive tools for decision makers.
3 - Behavioral Experiments On Deterrence
Richard John, USC,
When evaluating potential countermeasures, emphasis is often placed on
interdiction over deterrence because the impact of interdiction focused
countermeasures are easier to identify and quantify compared to the impact of
countermeasures designed to deter. Resource allocation decision often focus on
measures of interdiction enhancement only, even though the involve
countermeasures are expected to improve both interdiction and deterrence. I will
focus on innovative methods to characterize and quantify the deterrent effects of
countermeasures. I will also include methods and findings drawn from decision
and risk analysis, game theory, and behavioral research on deterrence.
4 - A Robust Optimization Approach For Electric Power
Grid Protection
Alberto Costa, NUS, Singapore, Singapore,
Alberto Costa, Future Resilient Systems (FRS) - ETH Zurich,
Singapore, Singapore,
We study the problem of the optimal allocation of protection resources in an
electric power grid with the aim of maximizing its robustness against attacks to
the lines. This problem can be seen as a game between two players, i.e., the
system operator and the attacker. Given a budget for protecting the lines and a
performance threshold, i.e., the maximum value of load shed tolerated by the
system operator, the attacker wins the game if the load shed after the attack is
above the threshold. We propose an algorithm to find the allocation of the system
operator’s budget to the lines of the grid which maximizes the amount of budget
needed by the attacker to win the game.
SB45
209A-MCC
Model Uncertainty, Risk, & Compliance
Invited: Risk and Compliance
Invited Session
Chair: Ricky Rambharat, Lead Statistician, Office of the Comptroller of
the Currency, 400 7th SW, Mail-stop 6E-2, Washington, DC, 20219,
United States,
1 - Missing Data Inference With Application To The Home Mortgage
Disclosure Act
Andrew Porter, Office of the Comptroller of the Currency,
Washington, DC, United States,
Tong-yob Nam
The Home Mortgage Disclosure Act (HMDA) mandates financial institutions to
report protected class information such as race and ethnicity for each mortgage
applicant when available. However, a significant proportion of these data is
missing which impairs regulatory ability to determine whether a financial
institution provided fair access to its mortgage products. We use a multinomial
logit with spatial data analysis coupled with a multiple imputation methodology
to infer the missing HMDA data and mitigate the effect of model uncertainty. Our
empirical analysis concerns varied institutions with different levels of missing
protected class data including a large bank and a non-bank lender.
2 - Prudential Policies And Their Impact On Credit In The
United States
Paul Calem, FRB of Philadelphia,
We analyze impacts on bank lending of two supervisory policies. We find that
banks reduced their share of jumbo mortgage originations following the stress test
in 2011, but not in later years when they were better capitalized. We find little
initial impact of the 2013 Leveraged Lending Guidance, but follow-up FAQs
issued late in 2014 marked a significant drop in leveraged lending. Thus,
measureable risk and capital appear to have a more immediate impact on lending.
Model governance can still have compliance implications—exemplified by banks
failing the stress tests on qualitative grounds. Our findings for the 2013 Guidance
and FAQ suggest that clarity of regulatory communications also play a role.
3 - Forecast Combination Of Machine Learning Models With
Application To Camels Early-warning Systems
Lewis Gaul, Office of the Comptroller of the Currency,
This paper uses forecast combination methods to predict future CAMELS bank
ratings assigned by the Office of the Comptroller of the Currency. We use several
individual algorithms and statistical models to forecast future CAMELS ratings
with information on lagged financial statement ratios and macroeconomic
variables. We then analyze whether combinations of multiple forecasts provide
more accurate out-of-sample forecasts of future CAMELS ratings than any
individual forecast model. Results indicate that the out-of-sample forecast
performance of most individual models varies over time, and that combinations of
forecasts generally perform better than any individual model.
SB46
209B-MCC
Sharing Economy, Mechanism Design and Networks I
Sponsored: Revenue Management & Pricing
Sponsored Session
Chair: Santiago Balseiro, Duke University, Durham, NC, United States,
Co-Chair: Ozan Candogan, University of Chicago, Durham, NC,
United States,
1 - Matching Markets With Search Frictions
Nicholas A. Arnosti, Stanford University,
We consider a model in which sellers compete by posting prices and buyers visit
sellers sequentially. We show that there is a unique equilibrium outcome, which
is constrained efficient.
We then study the consequences of reducing search costs. This benefits buyers,
but may either increase or decrease seller revenue. If there are sufficiently many
buyers, sellers benefit from lower search costs. Otherwise, the effect on seller
revenue depends on the shape of the distribution of buyer values. If it is heavy-
tailed (has a decreasing hazard rate), then sellers benefit from lower search costs.
If it is light-tailed (has an increasing hazard rate), then seller revenue falls as
search becomes easier.
2 - Dynamic Mechanisms With Martingale Utilities
Santiago Balseiro, Duke University, ,
Vahab Mirrokni, Renato Paes Leme
We study the dynamic mechanism design problem of a seller who repeatedly sells
independent items to a buyer with private values under two practically relevant
business constraints: (i) a periodic individual rationality constraint, which limits
the mechanism to charge at most the buyer’s value in each period and (ii) a
martingale utility constraint, which imposes that from the perspective of the
buyer, the next item’s expected utility is equal to the present one’s. Our main
contribution is the design of a dynamic auction that asymptotically achieves full
extraction of buyer surplus as agents become more patient.
3 - Ridesharing Networks
Ozan Candogan, University of Chicago, 7449 9th Street,
Unit 472, Durham, NC, 27705-1084, United States,
, Daniela Saban,
Konstantinos Bimpikis
We consider the problem faced by a revenue optimizing ride-sharing platform,
which must decide on how to price the rides as well as how to compensate the
drivers. These decisions will impact both the entry of customers and the actions of
the drivers. We study the impact that the underlying network structure has on
the pricing strategy.
SB44