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作者：Ding, Liang; Zhang, Xiaowei
作者单位：Fudan University; University of Hong Kong
摘要：Stochastic kriging has been widely employed for simulation metamodeling to predict the response surface of complex simulation models. However, its use is limited to cases where the design space is low-dimensional because in general the sample complexity (i.e., the number of design points required for stochastic kriging to produce an accurate prediction) grows exponentially in the dimensionality of the design space. The large sample size results in both a prohibitive sample cost for running the...
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作者：Li, Haidong; Lam, Henry; Peng, Yijie
作者单位：Peking University; Columbia University; Peking University
摘要：We consider a simulation optimization problem for context-dependent decision making. Under a Gaussian mixture model-based Bayesian framework, we develop a dynamic sampling policy to maximize the worst-case probability of correctly selecting the best design over all contexts, which utilizes both global clustering information and local performance information. In particular, we design a computationally efficient approximation method to learn these sources of information, thereby leading to an im...
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作者：Gooty, Radhakrishna Tumbalam; Agrawal, Rakesh; Tawarmalani, Mohit
作者单位：Purdue University System; Purdue University; Purdue University System; Purdue University
摘要：In this paper, we describe the first mixed-integer nonlinear programming (MINLP)-based solution approach that successfully identifies the most energy-efficient distillation configuration sequence for a given separation. Current sequence design strategies are largely heuristic. The rigorous approach presented here can help reduce the significant energy consumption and consequent greenhouse gas emissions by separation processes. First, we model discrete choices using a formulation that is provab...
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作者：Adler, Nicole; Olesen, Ole Bent; Volta, Nicola
作者单位：Hebrew University of Jerusalem; University of Southern Denmark; Cranfield University
摘要：Horizontal mergers and acquisitions offer firms the means to grow. However, forecasting these actions' potential effects on the market is not a simple task. We propose a model that identifies optimal horizontal merger configurations for an industry. The model endogenizes the merger choice by maximizing the overall potential efficiency gain at the level of an industry or firm with multiple branches. We further extend the model to consider mergers that create contiguous firms, should network eff...
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作者：Braverman, Anton; Dai, J. G.; Fang, Xiao
作者单位：Northwestern University; Cornell University; The Chinese University of Hong Kong, Shenzhen; Shenzhen Research Institute of Big Data; Chinese University of Hong Kong
摘要：We derive and analyze new diffusion approximations of stationary distributions of Markov chains that are based on second- and higher-order terms in the expansion of the Markov chain generator. Our approximations achieve a higher degree of accuracy compared with diffusion approximations widely used for the last 50 years while retaining a similar computational complexity. To support our approximations, we present a combination of theoretical and numerical results across three different models. O...
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作者：Kamble, Vijay; Loiseau, Patrick; Walrand, Jean
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Communaute Universite Grenoble Alpes; Institut National Polytechnique de Grenoble; Universite Grenoble Alpes (UGA); Centre National de la Recherche Scientifique (CNRS); Inria; Max Planck Society; University of California System; University of California Berkeley
摘要：We describe an approximate dynamic programming (ADP) approach to compute approximations of the optimal strategies and of the minimal losses that can be guaranteed in discounted repeated games with vector-valued losses. Among other applications, such vector-valued games prominently arise in the analysis of worst-case regret in repeated decision making in unknown environments, also known as the adversarial online learning framework. At the core of our approach is a characterization of the lower ...
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作者：Balseiro, Santiago R.; Besbes, Omar; Castro, Francisco
作者单位：Columbia University; University of California System; University of California Los Angeles
摘要：A fundamental assumption in classical mechanism design is that buyers are perfect optimizers. However, in practice, buyers may be limited by their computational capabilities or a lack of information and may not be able to perfectly optimize their response to a mechanism. This has motivated the introduction of approximate incentive compatibility (IC) as an appealing solution concept for practical mechanism design. Although most of the literature has focused on the analysis of particular approxi...
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作者：Zacharias, Christos; Liu, Nan; Begen, Mehmet A.
作者单位：University of Miami; Boston College; Western University (University of Western Ontario)
摘要：The simultaneous consideration of appointment day (interday scheduling) and time of day (intraday scheduling) in dynamic scheduling decisions is a theoretical and practical problem that has remained open. We introduce a novel dynamic programming framework that incorporates jointly these scheduling decisions in two timescales. Our model is designed with the intention of bridging the two streams of literature on interday and intraday scheduling and to leverage their latest theoretical developmen...
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作者：Pei, Linda; Nelson, Barry L.; Hunter, Susan R.
作者单位：Northwestern University; Purdue University System; Purdue University
摘要：We reconsider the ranking and selection (R&S) problem in stochastic simulation optimization in light of high-performance, parallel computing, where we take ???R&S??? to mean any procedure that simulates all systems (feasible solutions) to provide some statisti-cal guarantee on the selected systems. We argue that when the number of systems is very large, and the parallel processing capability is also substantial, then neither the standard statistical guarantees such as probability of correct se...
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作者：Chen, Guanting; Li, Xiaocheng; Ye, Yinyu
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; Imperial College London; Stanford University
摘要：In this paper, we study a class of revenue-management problems, where the decision maker aims to maximize the total revenue subject to budget constraints on multiple types of resources over a finite horizon. At each time, a new order/customer/bid is revealed with a request of some resource(s) and a reward, and the decision maker needs to either accept or reject the order. Upon the acceptance of the order, the resource request must be satisfied, and the associated revenue (reward) can be collec...
