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作者：Luo, Yiyun; Sun, Will Wei; Liu, Yufeng
作者单位：Shanghai University of Finance & Economics; Purdue University System; Purdue University; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
摘要：In online retailing, the seller aims to offer assortment of items with maximized revenue. We introduce a new online learning problem called dynamic assortment selection with positioning (DAP) that additionally learns the optimal positioning within the assortment. Specifically, the customers make purchases based on the item attractiveness as the product of the position effect and unknown preference parameter through a multinomial logit choice model. We first demonstrate that any assortment-only...
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作者：Liu, Hong; Qian, Shuaijie; Xu, Jing
作者单位：Washington University (WUSTL); Hong Kong University of Science & Technology; Renmin University of China
摘要：The effective transaction cost rate (TCR) incurred by a large trade often depends on the execution speed. We propose a continuous-time workhorse model to study optimal trading strategies with speed-dependent TCRs. The TCR function is flexible enough for approximating general TCR functions of trading speeds. Applying our framework to order execution problems, we theoretically characterize the structure of the optimal trading strategy and numerically analyze it extensively after calibration. Whe...
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作者：Qu, Zhaonan; Galichon, Alfred; Gao, Wenzhi; Ugander, Johan
作者单位：New Jersey Institute of Technology; Columbia University; New York University; New York University; Institut d'Etudes Politiques Paris (Sciences Po); Stanford University; Stanford University
摘要：For a broad class of models widely used in practice for choice and ranking data based on the Luce choice axiom, including the Bradley-Terry-Luce and Plackett-Luce models, we show that the associated maximum likelihood estimation problems are equivalent to a classic matrix-balancing problem with target row and column sums. This perspective opens doors between two seemingly unrelated research areas and allows us to unify existing algorithms in the choice-modeling literature as special instances ...
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作者：Huh, Woonghee Tim; Paat, Joseph; Queyranne, Maurice
作者单位：University of British Columbia
摘要：We study a dynamic assortment optimization problem over a finite selling horizon with exogenously fixed initial inventory for multiple products. The manager offers an assortment in each period. The assortment cannot depend on arriving customer types because the manager does not see the customer type before making the assortment decision and thus cannot treat customer types differently. Focusing on an online setting where all products have the same price, we show a competitive ratio cannot be h...
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作者：Shapiro, Alexander; Zhou, Enlu; Lin, Yifan; Wang, Yuhao
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：Stochastic optimal control with unknown randomness distributions has been studied for a long time, encompassing robust control, distributionally robust control, and adaptive control. We propose a new episodic Bayesian approach that incorporates Bayesian learning with optimal control. In each episode, the approach learns the randomness distribution with a Bayesian posterior and subsequently solves the corresponding Bayesian average estimate of the true problem. The resulting policy is exercised...
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作者：Aflaki, Arian; Zhang(Ken), Qian
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; California State University System; California State Polytechnic University Pomona
摘要：We study a firm setting prices for a product with limited inventories sold over two periods to heterogeneous customers. The firm is uncertain about customer valuations and learns from their purchasing behavior. This information can be used for future personalized pricing (P-Pricing). The firm can be of two types; a P-type firm may implement P-Pricing, whereas a U-type firm must set uniform prices for all customers. Customers are uncertain about the firm type and inventory. Upon observing the f...
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作者：Fan, Jianqing; Lou, Zhipeng; Wang, Weichen; Yu, Mengxin
作者单位：Princeton University; University of California System; University of California San Diego; University of Hong Kong; Washington University (WUSTL)
摘要：This paper studies the performance of the spectral method in the estimation and uncertainty quantification of the unobserved preference scores of compared entities in a general and more realistic setup. Specifically, the comparison graph consists of hyperedges of possible heterogeneous sizes, and the number of comparisons can be as low as one for a given hyper-edge. Such a setting is pervasive in real applications, circumventing the need to specify the graph randomness and the restrictive homo...
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作者：Qin, Chao; You, Wei
作者单位：Stanford University; Hong Kong University of Science & Technology
摘要：Although experimental design often focuses on selecting the single best alternative from a finite set (e.g., in ranking and selection or best-arm identification), many pureexploration problems pursue richer goals. Given a specific goal, adaptive experimentation aims to achieve it by strategically allocating sampling effort, with the underlying sample complexity characterized by a maximin optimization problem. By introducing dual variables, we derive necessary and sufficient conditions for an o...
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作者：Guo, Siqi; Xiao, Fan; Liang, Zhe
作者单位：Tongji University; Shanghai University
摘要：It is widely acknowledged that deep dual-optimal inequalities (DDOIs) can stabilize the dual of a linear programming problem and accelerate its convergence. However, we find that adding DDOIs is not free but always comes with a price; that is, it increases the number of primal degenerate bases, and extra effort might be needed to achieve dual feasibility and prove its optimality. As a result, when addressing a linear programming problem, it is critical to stabilize the dual on the one hand, re...
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作者：Zhou, Quan; Gumus, Mehmet; Miao, Sentao
作者单位：McGill University; University of Colorado System; University of Colorado Boulder
摘要：We explore the optimization of the middle-mile fulfillment process in the context of e-commerce. In collaboration with a prominent e-commerce retailer in North America specializing in electronics and computer products, we develop a stochastic optimization problem to demonstrate how an efficient middle mile can alleviate strain on the critical last mile, leading to cost reduction and improved performance. First, we prove that the optimal policy is of a state-dependent threshold type. However, c...
