In this paper,the structural properties of revenue management in a hubto-hub airline network is studied.Using a reformulated network flow version of the problem,it is shown that the optimal value has supermodularity,s...In this paper,the structural properties of revenue management in a hubto-hub airline network is studied.Using a reformulated network flow version of the problem,it is shown that the optimal value has supermodularity,submodularity,and Lconcavity in the network’s capacities dimensions.It is thus deduced that the certainty equivalent control thresholds used in the revenue management problem have monotone properties.These structural properties add important managerial insights into the network revenue management system.展开更多
It is well known that the minimal superhedging price of a contingent claim is too high for practical use.In a continuous-time model uncertainty framework,we consider a relaxed hedging criterion based on acceptable sho...It is well known that the minimal superhedging price of a contingent claim is too high for practical use.In a continuous-time model uncertainty framework,we consider a relaxed hedging criterion based on acceptable shortfall risks.Combining existing aggregation and convex dual representation theorems,we derive duality results for the minimal price on the set of upper semicontinuous discounted claims.展开更多
In this paper, we present a theoretical analysis on stability and convergence of the cautious control, which has advantages over the traditional certainty equivalence adaptive control, since it takes the parameter est...In this paper, we present a theoretical analysis on stability and convergence of the cautious control, which has advantages over the traditional certainty equivalence adaptive control, since it takes the parameter estimation error into account in the design, and is also one-step-ahead optimal in the mean square sense under Gaussian assumptions.展开更多
基金the Startup Grant of Scientific Research for Doctors of Luoyang Institute of Science and Technology,China(No.2011BZ12).
文摘In this paper,the structural properties of revenue management in a hubto-hub airline network is studied.Using a reformulated network flow version of the problem,it is shown that the optimal value has supermodularity,submodularity,and Lconcavity in the network’s capacities dimensions.It is thus deduced that the certainty equivalent control thresholds used in the revenue management problem have monotone properties.These structural properties add important managerial insights into the network revenue management system.
文摘It is well known that the minimal superhedging price of a contingent claim is too high for practical use.In a continuous-time model uncertainty framework,we consider a relaxed hedging criterion based on acceptable shortfall risks.Combining existing aggregation and convex dual representation theorems,we derive duality results for the minimal price on the set of upper semicontinuous discounted claims.
基金supported by the National Natural Science Foundation of China(Grant Nos.60221301 and 60334040)the Basic Research Funds of Beijing Institute of Technology.
文摘In this paper, we present a theoretical analysis on stability and convergence of the cautious control, which has advantages over the traditional certainty equivalence adaptive control, since it takes the parameter estimation error into account in the design, and is also one-step-ahead optimal in the mean square sense under Gaussian assumptions.
