香港城市大学陆晔博士, 香港大学宋苗博士来太阳集官网访问并作学术报告的通知
时间：2011年10月18日下午2点；地点：经管院学术报告厅（一楼）；欢迎经管学院管理科学与工程系，物流管理系，和其它系有兴趣的老师，学生参加。
Title: Optimal Policy for an Inventory System with Convex Ordering Cost and a Fixed Cost
Abstract: We study the optimal policy for a periodic-review inventory system where there is a fixed cost and the variable ordering cost is defined by a piece-wise linear convex function. By introducing the concept of strong (K, c, q)-convexity, we characterize the structure of the optimal policy. Based on this structure, we propose a well performed heuristics algorithm to solve this problem.
Biosketch: Dr. Ye Lu is an assistant professor in the department of management sciences at City university of Hong Kong. He received a PhD in operations research from MIT in 2009, a PhD in mathematics from the University of Notre Dame in 2006 and a Bachelor of Science degree in applied math from Tsinghua University in 2002. His research interest includes supply chain management, revenue management, financial engineering and nonlinear optimization.
Abstract: We study the optimal policy for a periodic-review inventory system where there is a fixed cost and the variable ordering cost is defined by a piece-wise linear convex function. By introducing the concept of strong (K, c, q)-convexity, we characterize the structure of the optimal policy. Based on this structure, we propose a well performed heuristics algorithm to solve this problem.
Biosketch: Dr. Ye Lu is an assistant professor in the department of management sciences at City university of Hong Kong. He received a PhD in operations research from MIT in 2009, a PhD in mathematics from the University of Notre Dame in 2006 and a Bachelor of Science degree in applied math from Tsinghua University in 2002. His research interest includes supply chain management, revenue management, financial engineering and nonlinear optimization.
Title: Optimal Inventory Control in Market-Making with Risk Aversion
Abstract: Market-makers have the obligation to trade fixed amounts of assets at quoted bid or ask prices, and their inventories are exposed to the potential loss when the market price moves in an undesirable direction. One approach to reduce the risk associated with price uncertainty is to adjust the inventory at the price of losing potential spread gain. For a single-asset model, we show that a threshold inventory control policy is optimal for mean-variance analysis and exponential utility criterion. The mean-variance analysis for a multiple-asset model suggests that there exists a simply connected no-trade region and that the optimal strategy can be obtained from the no-trade region.
Biosketch: Dr Miao Song received her PhD degree from MIT in 2010. She is currently an assistant professor in the Department of Industrial and Manufacturing Systems Engineering at the University of Hong Kong . Her research focuses on operations research applications in supply chain management and quantitative finance.
