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作者：Guo, Shaoyan; Xu, Huifu; Zhang, Sainan
作者单位：Dalian University of Technology; Chinese University of Hong Kong
摘要：Utility preference robust optimization (PRO) models have recently been proposed to deal with decision-making problems where the decision-maker's true utility function is unknown and the optimal decision is based on the worst-case utility function in an ambiguity set of utility functions. In this paper, we consider the case where the ambiguity set is constructed using some moment-type conditions. We propose piecewise linear approximation of the utility functions in the ambiguity set. The approx...
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作者：Zhou, Yi; Fu, Michael C.; Ryzhov, Ilya O.
作者单位：University System of Maryland; University of Maryland College Park; University System of Maryland; University of Maryland College Park; University System of Maryland; University of Maryland College Park
摘要：We consider the problem of selecting the best alternative in a setting where prior similarity information between the performance output of different alternatives can be learned from data. Incorporating similarity information enables efficient budget allocation for faster identification of the best alternative in sequential selection. Using a new selection criterion, the similarity selection index, we develop two new allocation methods: one based on a mathematical programming characterization ...
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作者：Kondratev, Aleksei Y.; Ianovski, Egor; Nesterov, Alexander S.
作者单位：HSE University (National Research University Higher School of Economics)
摘要：Scoring rules are widely used to rank athletes in sports and candidates in elections. Each position in each individual ranking is worth a certain number of points; the total sum of points determines the aggregate ranking. The question is how to choose a scoring rule for a specific application. First, we derive a one-parameter family with geometric scores that satisfies two principles of independence: once an extremely strong or weak candidate is removed, the aggregate ranking ought to remain i...
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作者：Chen, Li; He, Long; Zhou, Yangfang (Helen)
作者单位：National University of Singapore; University of Sydney; George Washington University; Singapore Management University
摘要：To support the rapid growth in global electric vehicle adoption, public charging of electric vehicles is crucial. We study the problem of an electric vehicle charging service provider, which faces (1) stochastic arrival of customers with distinctive arrival/departure times and energy requirements and (2) a total electricity cost including demand charges, which are costs related to the highest per-period electricity used in a finite horizon. We formulate its problem of scheduling vehicle chargi...
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作者：Jagabathula, Srikanth; Rusmevichientong, Paat; Venkataraman, Ashwin; Zhao, Xinyi
作者单位：New York University; University of Southern California; University of Texas System; University of Texas Dallas
摘要：We describe an efficient estimation method for large-scale tree logit models, using a novel change-of-variables transformation that allows us to express the negative log-likelihood as a strictly convex function in the leaf node parameters and a difference of strictly convex functions in the nonleaf node parameters. Exploiting this representation, we design a fast iterative method that computes a sequence of parameter estimates using simple closed-form updates. Our algorithm relies only on firs...
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作者：Manchiraju, Chandrasekhar; Dawande, Milind; Janakiraman, Ganesh
作者单位：University of Texas System; University of Texas Dallas
摘要：We revisit two classical price-based and choice-based network revenue management problems studied in the literature. The setting for the problems is as follows: A firm sells multiple products over a finite horizon using a limited supply of resources. Product demands are stochastic. The demand rate for each product depends on the current price vector (respectively, assortment displayed). The firm's goal is to obtain a pricing (respectively, assortment) policy that maximizes its expected revenue...
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作者：Feinstein, Zachary; Rudloff, Birgit
作者单位：Stevens Institute of Technology; Vienna University of Economics & Business
摘要：Nash equilibria and Pareto optimality are two distinct concepts when dealing with multiple criteria. It is well known that the two concepts do not coincide. However, this work, we show that it is possible to characterize the set of all Nash equilibria for any noncooperative game as the Pareto-optimal solutions of a certain vector optimization problem. To accomplish this task, we increase the dimensionality of the objective function and formulate a nonconvex ordering cone under which Nash equil...
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作者：van der Laan, Niels; Romeijnders, Ward
作者单位：University of Groningen
摘要：We propose a new solution method for two-stage mixed-integer recourse models. In contrast to existing approaches, we can handle general mixed-integer variables in both stages. Our solution method is a Benders' decomposition, in which we iteratively construct tighter approximations of the expected second stage cost function using a new family of optimality cuts. We derive these optimality cuts by parametrically solving extended formulations of the second stage problems using deterministic mixed...
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作者：Kesselheim, Thomas; Psomas, Alexandros; Vardi, Shai
作者单位：University of Bonn; Purdue University System; Purdue University; Purdue University System; Purdue University
摘要：We study a generalization of the secretary problem, where decisions do not have to be made immediately upon applicants' arrivals. After arriving, each applicant stays in the system for some (random) amount of time and then leaves, whereupon the algorithm has to decide irrevocably whether to select this applicant or not. The arrival and waiting times are drawn from known distributions, and the decision maker's goal is to maximize the probabil-ity of selecting the best applicant overall. Our fir...
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作者：Bacci, Tiziano; Frangioni, Antonio; Gentile, Claudio; Tavlaridis-Gyparakis, Kostas
作者单位：Consiglio Nazionale delle Ricerche (CNR); Istituto di Analisi dei Sistemi ed Informatica Antonio Ruberti (IASI-CNR)
摘要：The unit commitment (UC) problem in electrical power production requires to optimally operate a set of power generation units over a short time horizon. Operational constraints of each unit depend on its type and can be rather complex. For thermal units, typical ones concern minimum and maximum power output, minimum up-and down-time, startup and shut-down limits, ramp-up and ramp-down limits, and nonlinear objective function. In this work, we present the first mixed-integer nonlinear program f...
