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作者：Jiang, Jiashuo; Ma, Will; Zhang, Jiawei
作者单位：Hong Kong University of Science & Technology; Columbia University; Columbia University; New York University
摘要：Prophet inequalities are a useful tool for designing online allocation procedures and comparing their performance to the optimal offline allocation. In the basic setting of k-unit prophet inequalities, a well-known procedure with its celebrated performance guarantee of 1-1 root k+3 has found widespread adoption in mechanism design and general online allocation problems in online advertising, healthcare scheduling, and revenue management. Despite being commonly used to derive approximately opti...
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作者：Hey, Natascha; Mastromatteo, Iacopo; Muhle-Karbe, Johannes; Webster, Kevin
作者单位：Institut Polytechnique de Paris; Ecole Polytechnique; Imperial College London
摘要：We study statistical arbitrage problems accounting for the nonlinear and transient price impact of metaorders observed empirically. We show that simple explicit trading rules can be derived even for general nonparametric alpha and liquidity signals and also discuss extensions to several impact decay timescales. These results are illustrated using a proprietary data set of Capital Fund Management metaorders, which allows us to calibrate the levels, concavity, and decay parameters of the price i...
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作者：Najy, Waleed; Diabat, Ali; Elbassioni, Khaled
作者单位：New York University; New York University Abu Dhabi; New York University; New York University Tandon School of Engineering
摘要：The difficulty of analyzing and optimizing the stochastic one-warehouse multiretailer problem under the (S, T) policy motivates the need to consider approximate but high-fidelity systems that are easier to scrutinize. We consider one such model in the setting in which retailers face independent normally distributed demand with given (nonidentical) means and variances. Safety stock is computed via a type-I service-level formula that ignores allocation issues, and the cost function is computed b...
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作者：Cai, Biao; Zhang, Jingfei; Sun, Will Wei
作者单位：City University of Hong Kong; Emory University; Purdue University System; Purdue University
摘要：We consider the problem of jointly modeling and clustering populations of tensors by introducing a high-dimensional tensor mixture model with heterogeneous covariances. To effectively tackle the high dimensionality of tensor objects, we employ plausible dimension reduction assumptions that exploit the intrinsic structures of tensors, such as low rankness in the mean and separability in the covariance. In estimation, we develop an efficient high-dimensional expectation conditional maximization ...
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作者：Pesenti, Silvana M.; Jaimungal, Sebastian; Saporito, Yuri F.; Targino, Rodrigo S.
作者单位：University of Toronto; University of Oxford; Getulio Vargas Foundation
摘要：We define and develop an approach for risk budgeting allocation-a risk diversification portfolio strategy-where risk is measured using a dynamic time-consistent risk measure. For this, we introduce a notion of dynamic risk contributions that generalize the classical Euler contributions, which allows us to obtain dynamic risk contributions in a recursive manner. We prove that for the class of coherent dynamic distortion risk measures, the risk allocation problem may be recast as a sequence of s...
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作者：Li, Weiyuan; Rusmevichientong, Paat; Topaloglu, Huseyin
作者单位：University of Southern California
摘要：When modeling the demand in revenue management systems, a natural approach is to focus on a canonical interval of time, such as a week, so that we forecast the demand over each week in the selling horizon. Ideally, we would like to use random variables with general distributions to model the demand over each week. The current demand can give a signal for the future demand, so we also would like to capture the dependence between the demands over different weeks. Prevalent demand models in the l...
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作者：den Hertog, Dick; Pauphilet, Jean; Pham, Yannick; Sainte-Rose, Bruno; Song, Baizhi
作者单位：University of Amsterdam; University of London; London Business School
摘要：Increasing ocean plastic pollution is irreversibly harming ecosystems and human economic activities. We partner with a nonprofit organization and use optimization to help clean up oceans from plastic faster. Specifically, we optimize the route of their plastic collection system in the ocean to maximize the quantity of plastic collected over time. We formulate the problem as a longest path problem in a well-structured graph. However, because collection directly impacts future plastic density, t...
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作者：Yang, Yu
作者单位：State University System of Florida; University of Florida
摘要：In this paper, we propose an innovative variable fixing strategy called deep Lagrangian underestimate fi xing (DeLuxing). It is a highly effective approach for removing unnecessary variables in column-generation (CG)-based exact methods used to solve challenging discrete optimization problems commonly encountered in various industries, including vehicle routing problems (VRPs). DeLuxing employs a novel linear programming (LP) formulation with only a small subset of the enumerated variables, wh...
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作者：Alaei, Saeed; Makhdoumi, Ali; Malekian, Azarakhsh
作者单位：Alphabet Inc.; Google Incorporated; Duke University; University of Toronto
摘要：We consider the problem of selling k units of an item to n unit-demand buyers to maximize revenue, where the buyers' values are independently distributed (not necessarily identical) according to publicly known distributions but unknown to the buyers themselves, with the option of allowing buyers to inspect the item at a cost. This problem can be interpreted as a revenue-maximizing variant of Weitzman's Pandora's problem with a nonobligatory inspection. We first fully characterize the optimal m...
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作者：Xie, Tong; Wang, Zizhuo
作者单位：University of Chicago; The Chinese University of Hong Kong, Shenzhen
摘要：In this paper, we introduce a consumer choice model where each consumer's utility is affected by their neighbors' purchase probabilities in a network. We first characterize the choice probabilities in this model and then consider the associated personalized assortment optimization problem. Although this problem is NP-hard, we show that for star networks, the optimal assortment to the central consumer and peripheral consumers cannot be strictly larger than that without network effects, and the ...
