5期

最新文章

• Convolution Bounds on Quantile Aggregation AI翻译
  作者：Blanchet, Jose; Lam, Henry; Liu, Yang; Wang, Ruodu
  作者单位：Stanford University; Columbia University; The Chinese University of Hong Kong, Shenzhen; University of Waterloo
  摘要：Quantile aggregation with dependence uncertainty has a long history in probability theory, with wide applications in finance, risk management, statistics, and operations research. Using a recent result on inf-convolution of quantile-based risk measures, we establish new analytical bounds for quantile aggregation, which we call convolution bounds. Convolution bounds both unify every analytical result available in quantile aggregation and enlighten our understanding of these methods. These bound...
• Near-Optimal Adaptive Policies for Serving Stochastically Departing Customers AI翻译
  作者：Segev, Danny
  作者单位：Tel Aviv University; Tel Aviv University
  摘要：We consider a multistage stochastic optimization problem, studying how a single server should prioritize stochastically departing customers. In this setting, our objective is to determine an adaptive service policy that maximizes the expected total reward collected along a discrete planning horizon, in the presence of customers who are independently departing between one stage and the next with known stationary probabilities. Despite its deceiving structural simplicity, we are unaware of nontr...
• Approximating the Set of Nash Equilibria for Convex Games AI翻译
  作者：Feinstein, Zachary; Hey, Niklas; Rudloff, Birgit
  作者单位：Stevens Institute of Technology; Vienna University of Economics & Business
  摘要：In Feinstein and Rudloff (2023), it was shown that the set of Nash equilibria for any noncooperative N player game coincides with the set of Pareto optimal points of a certain vector optimization problem with nonconvex ordering cone. To avoid dealing with a nonconvex ordering cone, an equivalent characterization of the set of Nash equilibria as the intersection of the Pareto optimal points of N multi-objective problems (i.e., with the natural ordering cone) is proven. So far, algorithms to com...
• The Analytics of Robust Satisficing: Predict, Optimize, Satisfice, Then Fortify AI翻译
  作者：Sim, Melvyn; Tang, Qinshen; Zhou, Minglong; Zhu, Taozeng
  作者单位：National University of Singapore; Nanyang Technological University; Fudan University; Dongbei University of Finance & Economics
  摘要：We introduce a novel approach to prescriptive analytics that leverages robust satisficing techniques to determine optimal decisions in situations of distribution ambiguity and parameter estimation uncertainty. Our decision model relies on a reward function that incorporates uncertain parameters, which can be predicted using available side information. However, the accuracy of the linear prediction model depends on the quality of regression coefficient estimates derived from the available data....
• Ranking and Contextual Selection AI翻译
  作者：Keslin, Gregory; Nelson, Barry L.; Pagnoncelli, Bernardo; Plumlee, Matthew; Rahimian, Hamed
  作者单位：Northwestern University; Universite Cote d'Azur; SKEMA Business School; Amazon.com; Clemson University
  摘要：This paper proposes a new ranking-and-selection procedure, called ranking and contextual selection, in which covariates provide context for data-driven decisions. Our procedure optimizes over a set of covariate design points off-line and then, given an actual observation of the covariate, makes an online decision based on classification-a distinctly new approach. We prove the existence of an experimental design that yields a pointwise probability of good selection guarantee and derive a postex...
• Distributionally Constrained Black-Box Stochastic Gradient Estimation and Optimization AI翻译
  作者：Lam, Henry; Zhang, Junhui
  作者单位：Columbia University; Columbia University
  摘要：We consider stochastic gradient estimation using only black-box function evaluations, where the function argument lies within a probability simplex. This problem is motivated from gradient-descent optimization procedures in multiple applications in distributionally robust analysis and inverse model calibration involving decision variables that are probability distributions. We are especially interested in obtaining gradient estimators where one or few sample observations or simulation runs app...
• Stability of a Queue Fed by Scheduled Traffic at Critical Loading AI翻译
  作者：Araman, Victor F.; Glynn, Peter W.
  作者单位：American University of Beirut; Stanford University
  摘要：Consider the workload process for a single server queue with deterministic service times in which customers arrive according to a scheduled traffic process. A scheduled arrival sequence is one in which customers are scheduled to arrive at constant interarrival times, but each customer's actual arrival time is perturbed from her scheduled arrival time by a random perturbation. In this paper, we consider a critically loaded queue in which the service rate equals the arrival rate. Unlike a queue ...
• Data-Driven Clustering and Feature-Based Retail Electricity Pricing with Smart Meters AI翻译
  作者：Keskin, N. Bora; Li, Yuexing; Sunar, Nur
  作者单位：Duke University; Johns Hopkins University; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
  摘要：We consider an electric utility company that serves retail electricity customers over a discrete-time horizon. In each period, the company observes the customers' consumption and high-dimensional features on customer characteristics and exogenous factors. A distinctive element of our work is that these features exhibit three types of heterogeneity-over time, customers, or both. Based on the consumption and feature observations, the company can dynamically adjust the retail electricity price at...
• Technical Note: Dynamic Duopolistic Competition with Sticky Prices AI翻译
  作者：Heston, Steven L.; Hu, Bo
  作者单位：University System of Maryland; University of Maryland College Park; George Mason University
  摘要：A paradoxical conclusion arises in a series of game-theoretic models: the limit equilibria retain frictional qualities even as frictions seemingly vanish. This originates in textbook models, such as the differential game by Fershtman and Kamien [Fershtman C, Kamien MI (1987) Dynamic duopolistic competition with sticky prices. Econometrica 55(5):1151-1164] on duopolistic competition with sticky prices. We show that this paradox is an artifact of the type of limit restricted by continuous-time m...
• A Reciprocity Between Tree Ensemble Optimization and Multilinear Optimization AI翻译
  作者：Kim, Jongeun; Richard, Jean-Philippe P.; Tawarmalani, Mohit
  作者单位：University of Minnesota System; University of Minnesota Twin Cities; Purdue University System; Purdue University
  摘要：In this paper, we establish a low-degree polynomially-sized reduction between tree ensemble optimization and optimization of multilinear functions over a Cartesian product of simplices. We use this insight to derive new formulations for tree ensemble optimization problems and to obtain new convex hull results for multilinear polytopes. A computational experiment on multicommodity transportation problems with costs modeled using tree ensembles shows the practical advantage of our formulation re...