Purpose: The purpose of this paper is to extend the analysis of the distribution-free newsvendor problem under the circumstance of customer balking, which usually occurs when customers are reluctant to buy products if the available inventory falls below a threshold level. Design/methodology/approach: A new tradeoff tool is provided as a replacement of the traditional one to weigh the holding co...

We consider the problem of choosing the ridge parameter. Two penalized maximum likelihood (PML) criteria based on a distribution-free and a datadependent penalty function are proposed. These PML criteria can be considered as “continuous” versions of AIC. A systematic simulation is conducted to compare the suggested criteria to several existing methods. The simulation results strongly support th...

We shall provide in this paper good deal pricing bounds for contingent claims induced by the shortfall risk with some loss function. Assumptions we impose on loss functions and contingent claims are very mild. We prove that the upper and lower bounds of good deal pricing bounds are expressed by convex risk measures on Orlicz hearts. In addition, we obtain its representation with the minimal pen...

Varying degrees of autonomy of subordinate agents and their effects to the global performance have not been studied. In this paper, a new hybrid control architecture is proposed with the capability of dynamic update of autonomy of agents. The key feature is the penalty function, which indicates the degree of negative impact of changing the original schedule on the global performance. The penalt...

We consider bilevel pseudomonotone equilibrium problems. We use a penalty function to convert a bilevel problem into one-level ones. We generalize a pseudo-∇-monotonicity concept from ∇monotonicity and prove that under pseudo-∇-monotonicity property any stationary point of a regularized gap function is a solution of the penalized equilibrium problem. As an application, we discuss a special case...

In this paper, we study an age of information minimization problem, where multiple flows of update packets are sent over multiple servers to their destinations. Two online scheduling policies are proposed. When the packet generation and arrival times are synchronized across the flows, the proposed policies are shown to be (near) optimal for minimizing any timedependent, symmetric, and non-decre...

Over the last decade, there have been a significant amount of research works on compound renewal risk models with dependence. These risk models assume a dependence relation between interclaim times and claim amounts. In this paper, we pursue their investigation. We apply change of measure techniques within the compound renewal risk models with dependence to obtain exact expressions for the Gerb...

We propose a refinement of the criterion by Bai and Ng [2002] for determining the number of static factors in factor models with large datasets. It consists in multiplying the penalty function times a constant which tunes the penalizing power of the function itself as in the Hallin and Liška [2007] criterion for the number of dynamic factors. By iteratively evaluating the criterion for differen...

where f ∈ L2(Ω). Let Th be a simplicial or convex quadrilateral triangulation of Ω. In C 0 interior penalty methods, we choose the discrete space Vh ⊂ H 1 0 (Ω) to be either a P` (` ≥ 2) triangular Lagrange finite element space or a Q` (` ≥ 2) tensor product finite element space associated with Th. By an integration by parts argument [4], it can be shown that the solution u of (1), which belong...