@article{li_chao_2007, title={Call admission control for an adaptive heterogeneous multimedia mobile network}, volume={6}, ISSN={["1558-2248"]}, DOI={10.1109/TWC.2006.05192}, abstractNote={A novel call admission control (CAC) scheme for an adaptive heterogeneous multimedia mobile network with multiple classes of calls is investigated here. Different classes of calls may have different bandwidth requirement, different request call holding time and different cell residence time. At any time, each cell of the network has the capability to provide service to at least a given number of calls for each class of calls. Upon the arrival (or completion or hand off) of a call, a bandwidth degrade (or upgrade) algorithm is applied. An arriving call to a cell, finding insufficient bandwidth available in this cell, may either be disconnected from the network or push another call out of the cell toward a neighboring cell with enough bandwidth. We first prove that the stationary distribution of the number of calls in the network has a product form and then show how to apply this result in deriving explicit expressions of handoff rates for each class of calls, in obtaining the disconnecting probabilities for each class of new and handoff calls, and in finding the grade of service of this mobile network}, number={2}, journal={IEEE TRANSACTIONS ON WIRELESS COMMUNICATIONS}, author={Li, Wei and Chao, Xiuli}, year={2007}, month={Feb}, pages={515–525} }
 @article{chao_zhou_2007, title={Probabilistic solution and bounds for serial inventory systems with discounted and average costs}, volume={54}, ISSN={["1520-6750"]}, DOI={10.1002/nav.20234}, abstractNote={Abstract}, number={6}, journal={NAVAL RESEARCH LOGISTICS}, author={Chao, Xiuli and Zhou, Sean X.}, year={2007}, month={Sep}, pages={623–631} }
 @article{ji_zhao_chao_2006, title={A novel method for multistage scenario generation based on cluster analysis}, volume={5}, ISSN={["1793-6845"]}, DOI={10.1142/S0219622006002106}, abstractNote={ Based on cluster analysis, a novel method is introduced in this paper to generate multistage scenarios. A linear programming model is proposed to exclude the arbitrage opportunity by appending a scenario to the generated scenario set. By means of a cited stochastic linear goal programming portfolio model, a case is given to exhibit the virtues of this scenario generation approach. }, number={3}, journal={INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING}, author={Ji, Xiaodong and Zhao, Xiujuan and Chao, Xiuli}, year={2006}, month={Sep}, pages={513–530} }
 @article{dai_chao_fang_nuttle_2006, title={Capacity allocation with traditional and Internet channels}, volume={53}, ISSN={["0894-069X"]}, DOI={10.1002/nav.20168}, abstractNote={Abstract}, number={8}, journal={NAVAL RESEARCH LOGISTICS}, author={Dai, Yue and Chao, Xiuli and Fang, Shu-Cherng and Nuttle, Henry L. W.}, year={2006}, month={Dec}, pages={772–787} }
 @misc{chao_zhou_2006, title={Joint inventory-and-pricing strategy for a stochastic continuous-review system}, volume={38}, ISSN={["1545-8830"]}, DOI={10.1080/07408170500371848}, abstractNote={We analyze an infinite-horizon continuous-review stochastic inventory system in which the selling price and inventory replenishment are determined simultaneously. The demand process is Poisson with a price-dependent arrival rate. The ordering cost includes a fixed setup cost and a variable cost proportional to the order quantity. We obtain closed-form solutions for the optimal inventory control strategy and optimal pricing strategy, which provide managerial insights as well as quantitative and qualitative relationships between decision rules and system parameters. We show that the optimal price is a unimodal function of the inventory level. We also develop efficient algorithms to compute the optimal strategies and present numerical examples.}, number={5}, journal={IIE TRANSACTIONS}, author={Chao, XL and Zhou, SX}, year={2006}, month={May}, pages={401–408} }
 @article{dai_chao_fang_nuttle_2005, title={Game theoretic analysis of a distribution system with customer market search}, volume={135}, DOI={10.1007/s10479-005-6243-7}, number={1}, journal={Annals of Operations Research}, author={Dai, Y. and Chao, X. L. and Fang, Shu-Cherng and Nuttle, H. L. W.}, year={2005}, pages={223–238} }
 @article{yu_wang_lai_chao_2005, title={Multiperiod portfolio selection on a minimax rule}, volume={12}, number={4}, journal={Dynamics of Continuous, Discrete & Impulsive Systems. Series B, Applications & Algorithms}, author={Yu, M. and Wang, S. Y. and Lai, K. K. and Chao, X.}, year={2005}, pages={565–587} }
 @article{chao_lai_wang_yu_2005, title={Optimal consumption portfolio and no-arbitrage with nonproportional transaction costs}, volume={135}, ISSN={["1572-9338"]}, DOI={10.1007/s10479-005-6242-8}, number={1}, journal={ANNALS OF OPERATIONS RESEARCH}, author={Chao, X and Lai, KK and Wang, SY and Yu, M}, year={2005}, month={Jan}, pages={211–221} }
 @article{chao_li_2005, title={Performance analysis of a cellular network with multiple classes of calls}, volume={53}, number={9}, journal={IEEE Transactions on Communications}, author={Chao, X. L. and Li, W.}, year={2005}, pages={1542–1550} }
 @article{dai_chao_fang_nuttle_2005, title={Pricing in revenue management for multiple firms competing for customers}, volume={98}, number={1}, journal={International Journal of Production Economics}, author={Dai, Y. and Chao, X. L. and Fang, S. C. and Nuttle, H. L. W.}, year={2005}, pages={16-} }
 @article{chao_li_wang_2005, title={Special issue on financial engineering}, volume={37}, ISSN={["0740-817X"]}, DOI={10.1080/07408170591007777}, abstractNote={The past decades have witnessed tremendous research activity in financial engineering in the industrial engineering, operations research, and management science communities. Financial engineering addresses models and analysis of financial markets and it has become part of almost every industrial engineering curriculum. Current research includes theoretical and empirical studies of how financial markets work, the development of new models for better understanding the fundamental dynamics and for providing new insights, and the development of efficient computational and numerical algorithms to aid financial analysts and investors. This special issue is intended to present state-of-art applications of industrial engineering and operations research techniques in financial engineering. We received a total of 25 submissions to the call-for-papers, and after rigorous reviews, eight papers were finally accepted. These eight papers represent a broad coverage of the field, ranging from single-stage and multiple-stage portfolio optimization with and without transaction costs, to risk analysis, American options, and real options. The techniques employed in the analysis include linear programming, integer programming, nonlinear programming and duality theory, stochastic goal programming, partial differential equations, finite-difference methods, computational algorithms, and Monte Carlo simulation. The first paper, “Mean-absolute deviation model” by H. Konno and T. Koshizuka, is a survey article on the methods of portfolio optimization. Pioneered by Markowitz in the 1950s, portfolio optimization is at the center of modern financial analysis. The Markowtiz model is based on a mean-variance objective function. In the 1990s, Konno, together with his collaborators, developed a sequence of portfolio optimization models using a mean-absolute deviation objective, and this article discusses the important properties of that approach and compares them with the mean variance model of Markowitz and others. The second paper, “A note on separation in mean-lowerpartial moments portfolio optimization with fixed and moving targets” by A. J. Brogan and S. Stidham, is concerned with an important result in finance engineering (the separation theorem) which states that all investors hold the same portfolio of risky assets. This result is known to be true in the classical mean-variance context, but its validity has remained an open question when the objective function is based on lower partial moments, or to be more specific, a down-side risk measure. The paper provides an answer to this question and also clears up some confusion in the literature that resulted from previous attempts to address the generality of the separation theorem. K. Miyazaki, in the third paper entitled “Choosing between bonds and equities under long-term risk constrains” proposes a portfolio selection model under long-term risk constraints, in which the risk is defined as the probability that the actual return underperforms the target return in a risk-observing period. A rate function is introduced that plays an important role in the large deviation principle. Guidelines are provided for showing how to apply the model in the real world, and numerical examples are used to demonstrate the results. In the fourth paper, “An exact approach for portfolio selection with transaction costs and bounds”, R. Mansini and M. G. Speranza consider a single-period mean-safety portfolio selection problem with transaction costs and integral constraints on quantities for the securities. An exact approach is proposed based on the partition of the initial problem into two subproblems, and a simple local search heuristic is used to obtain an initial solution. Extensive experimental analyses using real data from major international Stock Exchange Markets is conducted with the proposed model. The fifth paper, “Dynamic financial planning: certainty equivalents, stochastic constraints, and functional conjugate duality” by T. Jefferson and C. H. Scott, studies portfolio optimization under risk and stochastic constraints. The authors use certainty equivalents to combine risk aversion and exponential utility to form the objective function. They formulate the problem as a nonlinear program and study its conjugate dual. The dual provides insights into this approach and relates it to other stochastic and financial concepts. In the sixth paper entitled “A sliced-finite difference method for American options”, J. Shu, Y, Gu, X. Deng, and W. Zheng present an efficient algorithm for computing optimal exercising strategies for American options. A sliced-finite difference method is proposed for numerically solving the free-boundary problem of the governing partial differential equations of the American option problem. The approach combines the advantages of the semi-analytical method and the sliced-fixed boundary}, number={10}, journal={IIE TRANSACTIONS}, author={Chao, XL and Li, D and Wang, SY}, year={2005}, month={Oct}, pages={891–892} }
 @article{chao_luh_2004, title={A stochastic directional convexity result and its application in comparison of queues}, volume={48}, ISSN={["0257-0130"]}, DOI={10.1023/B:QUES.0000046583.57857.f1}, number={3-4}, journal={QUEUEING SYSTEMS}, author={Chao, XL and Luh, HP}, year={2004}, pages={399–419} }
 @article{agrawal_chao_seshadri_2004, title={Dynamic balancing of inventory in supply chains}, volume={159}, DOI={10.1016/j.rjor.2003.08.017}, number={2}, journal={European Journal of Operational Research}, author={Agrawal, V. and Chao, X. L. and Seshadri, S.}, year={2004}, pages={296–317} }
 @article{li_chao_2004, title={Modeling and performance evaluation of a cellular mobile network}, volume={12}, ISSN={["1558-2566"]}, DOI={10.1109/TNET.2003.822641}, abstractNote={An analytic model of cellular mobile communications networks with instantaneous movement is investigated in this paper. This cellular mobile network is showed to be equivalent to a queueing network and furthermore the equilibrium distribution of this cellular mobile network is proved to have a product form. The explicit expressions for handoff rates of calls from one cell to another, the blocking probability of new calls and handoff calls are then obtained. Actual call connection time (ACCT) of a call in this cellular mobile network is characterized in detail, which is the total time a mobile user engages in communications over the network during a call connection and can be used to design appropriate charging schemes. The average ACCT for both complete call and incomplete call, as well as the probability for a call to be incomplete or complete, are derived. Our numerical results show how the above measures depend on the new call arrival process for some specific reserved channels numbers in each cell. The results presented in this paper are expected to be useful for the cost analysis for updating location and paging in cellular mobile network.}, number={1}, journal={IEEE-ACM TRANSACTIONS ON NETWORKING}, author={Li, W and Chao, XL}, year={2004}, month={Feb}, pages={131–145} }
 @article{richard_chao_miyazawa_2003, title={Arrival first queueing networks with applications in kanban production systems}, volume={51}, ISSN={["0166-5316"]}, DOI={10.1016/S0166-5316(02)00090-1}, abstractNote={In this paper, we introduce a new class of queueing networks called arrival first networks.We characterise its transition rates and derive the relationship between arrival rules, linear partial balance equations, and product form stationary distributions.This model is motivated by production systems operating under a kanban protocol.In contrast with the conventional departure first networks, where a transition is initiated by service completion of items at the originating nodes that are subsequently routed to the destination nodes (push system), in an arrival first network a transition is initiated by the destination nodes of the items and subsequently those items are processed at and removed from the originating nodes (pull system).These are similar to the push and pull systems in manufacturing systems.Our characterisation provides necessary and sufficient conditions for the network to possess linear traffic equations, and sufficient conditions for the network to have a product form stationary distribution.We apply our results to networks operating under a kanban mechanism and characterise the rate at which items are pulled as well as the routing and blocking protocols that give rise to a product form stationary distribution.}, number={2-4}, journal={PERFORMANCE EVALUATION}, author={Richard, JB and Chao, XL and Miyazawa, M}, year={2003}, month={Feb}, pages={83–102} }
 @article{chao_liu_zheng_2003, title={Resource allocation in multisite service systems with intersite customer flows}, volume={49}, ISSN={["0025-1909"]}, DOI={10.1287/mnsc.49.12.1739.25110}, abstractNote={ Motivated by a project in health-care management, we study the resource allocation problem in multisite service systems with intersite customer flows. We aim at providing insights to and guidelines for resource allocation in these service systems when some service criterion, such as average waiting time, loss rate, or blocking probability, is a major concern. We develop analytical optimization models and from them we obtain the explicit optimal allocation policy. Our results demonstrate that the optimal resource allocation solution exhibits a structure of “one large and many small.” }, number={12}, journal={MANAGEMENT SCIENCE}, author={Chao, XL and Liu, LM and Zheng, SH}, year={2003}, month={Dec}, pages={1739–1752} }
 @article{chao_zheng_2003, title={Transient analysis of immigration birth-death processes with total catastrophes}, volume={17}, number={1}, journal={Probability in the Engineering and Informational Sciences}, author={Chao, X. L. and Zheng, Y. X.}, year={2003}, pages={83–106} }
 @article{chao_henderson_taylor_2001, title={State-dependent coupling in general networks}, volume={39}, ISSN={["0257-0130"]}, DOI={10.1023/A:1013905526759}, number={4}, journal={QUEUEING SYSTEMS}, author={Chao, XL and Henderson, W and Taylor, PG}, year={2001}, month={Dec}, pages={337–348} }
 @article{chao_miyazawa_2000, title={On truncation properties of finite-buffer queues and queueing networks}, volume={14}, ISSN={["0269-9648"]}, DOI={10.1017/S0269964800144018}, abstractNote={We show that several truncation properties of queueing 
systems are consequences of a simple property of censored 
stochastic processes. We first consider a discrete-time 
stochastic process and show that its censored process has 
a truncated stationary distribution. When the stochastic 
process has continuous time, we present a similar result 
under the additional condition that the process is locally 
balanced. We apply these results to single-server batch 
arrival batch service queues with finite buffers and queueing 
networks with finite buffers and batch movements, and extend 
the well-known results on truncation properties of the 
MX/G/1/k queues 
and queueing networks with jump-over blocking.}, number={4}, journal={PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES}, author={Chao, XL and Miyazawa, M}, year={2000}, pages={409–423} }
 @article{chao_scott_2000, title={Several results on the design of queueing systems}, volume={48}, ISSN={["0030-364X"]}, DOI={10.1287/opre.48.6.965.12395}, abstractNote={ Given that the total service effort in a multiple-server environment is fixed, it is generally known that the single-server system yields the minimum time a customer spends in the system. However, in many manufacturing as well as service applications the waiting time in the queue is more significant than total time in the system. We consider several such queueing design problems and show that the results for minimizing the waiting time in the queue are markedly different from those for minimizing total time in the system. }, number={6}, journal={OPERATIONS RESEARCH}, author={Chao, XL and Scott, C}, year={2000}, pages={965–970} }