We study sourcing in a supply chain with three levels: a manufacturer, Tier 1 suppliers, and Tier 2 suppliers prone to disruption from, e.g., natural disasters like earthquakes or floods. The manufacturer may not directly dictate which Tier 2 suppliers are used, but may influence the sourcing...

Currently available medication for treating many chronic diseases is often effective only for a subgroup of patients, and biomarkers accurately assessing whether an individual belongs to this subgroup do not exist. In such settings, physicians learn about the effectiveness of a drug primarily...

This paper compares two different frameworks recently introduced in the literature for measuring risk in a multi-period setting. The first corresponds to applying a single coherent risk measure to the cumulative future costs, while the second involves applying a composition of one-step coherent...

Includes bibliographical references (p. 48-50).

This paper presents a binary optimization framework for modeling dynamic resource allocation problems. The framework (a) allows modeling flexibility by incorporating different objective functions, alternative sets of resources and fairness controls; (b) is widely applicable in a variety of...

This paper deals with a basic issue: How does one approach the problem of designing the "right" objective for a given resource allocation problem? The notion of what is right can be fairly nebulous; we consider two issues that we see as key: efficiency and fairness. We approach the problem of...

In this paper, we combine robust optimization and the idea of ∊-arbitrage to propose a tractable approach to price a wide variety of options. Rather than assuming a probabilistic model for the stock price dynamics, we assume that the conclusions of probability theory, such as the central limit...

In this paper, we consider adjustable robust versions of convex optimization problems with uncertain constraints and objectives and show that under fairly general assumptions, a static robust solution provides a good approximation for these adjustable robust problems. An adjustable robust...