Related papers: Optimal supply against fluctuating demand
In various markets where sellers compete in price, price oscillations are observed rather than convergence to equilibrium. Such fluctuations have been empirically observed in the retail market for gasoline, in airline pricing and in the…
Using duality theory techniques we derive simple, closed-form formulas for bounding the optimal revenue of a monopolist selling many heterogeneous goods, in the case where the buyer's valuations for the items come i.i.d. from a uniform…
A fluctuation theorem relating the work to its optimal average work is presented. The function mediating the relation is increasing and convex, and depends on the switching time $\tau$, driving strength $\delta\lambda/\lambda_0$, and…
We consider an optimal stopping problem with n correlated offers where the goal is to design a (randomized) stopping strategy that maximizes the expected value of the offer in the sequence at which we stop. Instead of assuming to know the…
We revisit the classic Cournot model and extend it to a two-echelon supply chain with an upstream supplier who operates under demand uncertainty and multiple downstream retailers who compete over quantity. The supplier's belief about retail…
Globally operating suppliers face the rising challenge of wholesale pricing under scarce data about retail demand, in contrast to better informed, locally operating retailers. At the same time, as local businesses proliferate, markets…
We give an improved estimate for the regularity of the conditional distribution of the empiric mean of a finite sample of IID random variables, conditional on the sample "fluctuations", extending the well-known property of Gaussian IID…
This paper studies the income fluctuation problem with capital income risk (i.e., dispersion in the rate of return to wealth). Wealth returns and labor earnings are allowed to be serially correlated and mutually dependent. Rewards can be…
Linearized models of power systems are often desirable to formulate tractable control and optimization problems that still reflect real-world physics adequately under various operating conditions. In this paper, we propose an approach that…
We study a variant of the Cont-Bouchaud model which utilizes the perco lation approach of multi-agent simulations of the stock market fluctuations. Here, instead of considering the relative price change as the difference of the total demand…
We propose an efficient method of finding an optimal solution for a multi-item continuous review inventory model in which a bivariate Gaussian probability distribution represents a correlation between the demands of different items. By…
A Gaussian fluctuation formula is proved for linear statistics of complex random matrices in the case that the statistic is rotationally invariant. For a general linear statistic without this symmetry, Coulomb gas theory is used to predict…
We construct the generalized entropy optimized by a given arbitrary statistical distribution with a finite linear expectation value of a random quantity of interest. This offers, via the maximum entropy principle, a unified basis for a…
This paper studies the problem of optimal flow control in dynamic inventory systems. A dynamic optimal distribution problem, including time-varying supply and demand, capacity constraints on the transportation lines, and convex flow cost…
The probability distribution of the entropy production for the effusion of an ideal gas between two compartments is calculated explicitly. The fluctuation theorem is verified. The analytic results are in good agreement with numerical data…
Assortment optimization concerns the problem of selling items with fixed prices to a buyer who will purchase at most one. Typically, retailers select a subset of items, corresponding to an "assortment" of brands to carry, and make each…
We propose a simple statistical-physics-inspired model for the effect of intrinsic fluctuations on supply and demand in markets. The model consists of agents that trade in two types of goods of which the total number is separately…
The probability distribution of the entropy production for the effusion of a relativistic ideal gas is calculated explicitly. This result is then extended to include particle and anti-particle pair production and annihilation. In both…
Mounting evidences are being gathered suggesting that income and wealth distribution in various countries or societies follow a robust pattern, close to the Gibbs distribution of energy in an ideal gas in equilibrium, but also deviating…
Many inference problems involving questions of optimality ask for the maximum or the minimum of a finite set of unknown quantities. This technical report derives the first two posterior moments of the maximum of two correlated Gaussian…