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作者：Zhen, Jianzhe; Kuhn, Daniel; Wiesemann, Wolfram
作者单位：Chinese Academy of Sciences; University of Chinese Academy of Sciences, CAS; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Imperial College London
摘要：Robust optimization and distributionally robust optimization are modeling paradigms for decision making under uncertainty where the uncertain parameters are only known to reside in an uncertainty set or are governed by any probability distribution from within an ambiguity set, respectively, and a decision is sought that minimizes a cost function under the most adverse outcome of the uncertainty. In this paper, we develop a rigorous and general theory of robust and distributionally robust nonli...
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作者：Xu, Guanglin; Hanasusanto, Grani A.
作者单位：University of North Carolina; University of North Carolina Charlotte; University of Minnesota System; University of Minnesota Twin Cities; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We study decision rule approximations for generic multistage robust linear optimization problems. We examine linear decision rules for the case when the objective coefficients, the recourse matrices, and the right-hand sides are uncertain, and we explore quadratic decision rules for the case when only the right-hand sides are uncertain. The resulting optimization problems are NP hard but amenable to copositive programming reformulations that give rise to tight, tractable semidefinite programmi...
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作者：Kerimov, Suleyman; Ashlagi, Itai; Gurvich, Itai
作者单位：Rice University; Stanford University; Northwestern University
摘要：We study centralized dynamic matching markets with finitely many agent types and heterogeneous match values. A network topology describes the pairs of agent types that can form a match and the value generated from each match. A matching policy is hindsight optimal if the policy can (nearly) maximize the total value simultaneously at all times. We find that suitably designed greedy policies are hindsight optimal in two-way matching networks. This implies that there is essentially no positive ex...
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作者：Curmei, Mihaela; Hall, Georgina
作者单位：University of California System; University of California Berkeley; INSEAD Business School
摘要：We present a hierarchy of semidefinite programs (SDPs) for the problem of fitting a shape-constrained (multivariate) polynomial to noisy evaluations of an unknown shape-constrained function. These shape constraints include convexity or monotonicity over a box. We show that polynomial functions that are optimal to any fixed level of our hierarchy form a consistent estimator of the underlying shape-constrained function. As a by-product of the proof, we establish that sum of squares-convex polyno...
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作者：Chen, Jinsheng; Dong, Jing; Shi, Pengyi
作者单位：Agency for Science Technology & Research (A*STAR); A*STAR - Singapore Institute of Manufacturing Technology (SIMTech); Columbia University; Purdue University System; Purdue University
摘要：Motivated by the growing availability of advanced demand forecast tools, we study how to use future demand information in designing routing strategies in queueing sys-tems under demand surges. We consider a parallel server system operating in a nonstation-ary environment with general time-varying arrival rates. Servers are cross-trained to help nonprimary customer classes during demand surges. However, such flexibility comes with various operational costs, such as a loss of efficiency and inco...
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作者：Ye, Heng-Qing
作者单位：Hong Kong Polytechnic University
摘要：We study a system with heterogeneous parallel servers, each with an infinite waiting room. Upon arrival, a job is routed to the queue of one of the servers, possibly depending on the dynamic state information such as the real-time queue lengths, the arrival, and service history of jobs. The objective is to find the routing policy that best uses the available state information to minimize the expected stationary queue length. In this paper, we establish the diffusion limit for the round-robin p...
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作者：Zorc, Sasa; Tsetlin, Ilia; Hasija, Sameer; Chick, Stephen E.
作者单位：University of Virginia; INSEAD Business School; INSEAD Business School
摘要：Firms often outsource search processes, such as the acquisition of real estate, new technologies, or talent. To ensure the efficacy of such delegated search, firms need to carefully design incentive contracts to attenuate the ill effects of agency issues. We model this problem using a dynamic principal-agent framework, embedding the standard sequential search model. The optimal contract pays the agent a fixed per-period fee plus a bonus for finding a suitable alternative. The bonus size is def...
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作者：Gryglewicz, Sebastian; Kolb, Aaron
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：We study dynamic entry deterrence through limit pricing in markets subject to persistent demand shocks. An incumbent is privately informed about its costs, high or low, and can deter a Bayesian potential entrant by setting its prices strategically. The entrant can irreversibly enter the market at any time for a fixed cost, earning a payoff that depends on the market conditions and the incumbent's unobserved type. Market demand evolves as a geometric Brownian motion. When market demand is low, ...
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作者：Escribe, Celia; Hu, Michael; Levi, Retsef
作者单位：Massachusetts Institute of Technology (MIT); Harvard University; Harvard University Medical Affiliates; Massachusetts General Hospital; Massachusetts Institute of Technology (MIT)
摘要：This paper describes a fundamental online scheduling problem called the minimum peak job scheduling (MPJS) problem. In this problem, there is a sequence of arriving jobs, each with a specified required scheduled time for one unit of a scarce and reusable resource. The goal is to schedule each job upon arrival within a scheduling interval to minimize the resulting peak utilization (i.e., the maximum number of units used simultaneously throughout the entire scheduling interval). The MPJS problem...
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作者：Besbes, Omar; Fonseca, Yuri; Lobel, Ilan
作者单位：Columbia University; New York University
摘要：We study the problems of offline and online contextual optimization with feedback information, where instead of observing the loss, we observe, after the fact, the optimal action an oracle with full knowledge of the objective function would have taken. We aim to minimize regret, which is defined as the difference between our losses and the ones incurred by an all-knowing oracle. In the offline setting, the decision maker has information available from past periods and needs to make one decisio...
