Kyle Y. Lin

Bio: Kyle Y. Lin is an academic researcher from Naval Postgraduate School. The author has contributed to research in topics: Heuristic & Game theory. The author has an hindex of 15, co-authored 43 publications receiving 703 citations. Previous affiliations of Kyle Y. Lin include University of California, Berkeley & Virginia Tech.

A Framework Using Two-Factor Price Lattices for Generation Asset Valuation

Abstract: In this paper, we use a real-options framework to value a power plant. The real option to commit or decommit a generating unit may be exercised on an hourly basis to maximize expected profit while subject to intertemporal operational constraints. The option-exercising process is modeled as a multistage stochastic problem. We develop a framework for generating discrete-time price lattices for two correlated Ito processes for electricity and fuel prices. We show that the proposed framework exceeds existing approaches in both lattice feasibility and computational efficiency. We prove that this framework guarantees existence of branching probabilities at all nodes and all stages of the lattice if the correlation between the two Ito processes is no greater than 4/√35 ≈ 0.676. With price evolution represented by a lattice, the valuation problem is solved using stochastic dynamic programming. We show how the obtained power plant value converges to the true expected value by refining the price lattice. Sensitivity analysis for the power plant value to changes of price parameters is also presented.

Models of Sensor Operations for Border Surveillance

Abstract: This paper is motivated by the diverse array of border threats, ranging from terrorists to arms dealers and human tra‐ckers. We consider a moving sensor that patrols a certain section of a border with the objective to detect inflltrators who attempt to penetrate that section. Inflltrators arrive according to a Poisson process along the border with a specifled distribution of arrival location, and disappear a random amount of time after their arrival. The measures of efiectiveness are the target (inflltrator) detection rate and the time elapsed from target arrival to target detection. We study two types of sensor trajectories that have constant endpoints, are periodic, and maintain constant speed: (1) a sensor that jumps instantaneously from the endpoint back to the starting-point, and (2) a sensor that moves continuously back and forth. The controlled parameters (decision variables) are the starting and end points of the patrolled sector and the velocity of the sensor. General properties of these trajectories are investigated.

A Graph Patrol Problem with Random Attack Times

Abstract: This paper presents a patrol problem, where a patroller traverses a graph through edges to detect potential attacks at nodes. To design a patrol policy, the patroller needs to take into account not only the graph structure, but also the different attack time distributions, as well as different costs incurred due to successful attacks, at different nodes. We consider both random attackers and strategic attackers. A random attacker chooses which node to attack according to a probability distribution known to the patroller. A strategic attacker plays a two-person zero-sum game with the patroller. For each case, we give an exact linear program to compute the optimal solution. Because the linear programs quickly become computationally intractable as the problem size grows, we develop index-based heuristics. In the random-attacker case, our heuristic is optimal when there are two nodes, and in a suitably chosen asymptotic regime. In the strategic-attacker case, our heuristic is optimal when there are two nodes ...

To Queue or Not to Queue: Equilibrium Behavior in Queueing Systems

Abstract: Preface. 1. Introduction. 2. Observable Queues. 3. Unobservable Queues. 4. Priorities. 5. Reneging and Jockeying. 6. Schedules and Retrials. 7. Competition Among Servers. 8. Service Rate Decisions. Index.

Search and pursuit-evasion in mobile robotics

Abstract: This paper surveys recent results in pursuit-evasion and autonomous search relevant to applications in mobile robotics. We provide a taxonomy of search problems that highlights the differences resulting from varying assumptions on the searchers, targets, and the environment. We then list a number of fundamental results in the areas of pursuit-evasion and probabilistic search, and we discuss field implementations on mobile robotic systems. In addition, we highlight current open problems in the area and explore avenues for future work.

Dynamic Pricing in the Presence of Strategic Consumers and Oligopolistic Competition

Abstract: We present a dynamic pricing model for oligopolistic firms selling differentiated perishable goods to multiple finite segments of strategic consumers who are aware that pricing is dynamic and may time their purchases accordingly. This model encompasses strategic behavior by both firms and consumers in a unified stochastic dynamic game in which each firm's objective is to maximize its total expected revenues, and each consumer responds according to a shopping-intensity-allocation consumer choice model. We prove the existence of a unique subgame-perfect equilibrium, provide equilibrium optimality conditions, and prove monotonicity results for special cases. The model provides insights about equilibrium price dynamics under different levels of competition, asymmetry between firms, and multiple market segments with varying properties. We demonstrate that strategic behavior by consumers can have serious impacts on revenues if firms ignore that behavior in their dynamic pricing policies. Moreover, ideal equilibrium responses to consumer strategic behavior can recover only a portion of the lost revenues. A key conclusion is that firms may benefit more from limiting the information available to consumers than from allowing full information and responding to the resulting strategic behavior in an optimal fashion.

Dynamic pricing and learning: Historical origins, current research, and new directions

Abstract: The topic of dynamic pricing and learning has received a considerable amount of attention in recent years, from different scientific communities. We survey these literature streams: we provide a brief introduction to the historical origins of quantitative research on pricing and demand estimation, point to different subfields in the area of dynamic pricing, and provide an in-depth overview of the available literature on dynamic pricing and learning. Our focus is on the operations research and management science literature, but we also discuss relevant contributions from marketing, economics, econometrics, and computer science. We discuss relations with methodologically related research areas, and identify directions for future research.