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作者：Chen, Wen; He, Ying; Bansal, Saurabh
作者单位：Providence College; University of Southern Denmark; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We study a dynamic pricing problem in which a firm chooses prices over multiple periods when consumers are state dependent; that is, they develop a habit or satiation from their past consumption. We first derive an intertemporal demand function to capture how demand in one period depends on the price in that period and consumption in previous periods through habit or satiation. Subsequently, we formulate the optimal price setting problem for a firm over a multiperiod horizon. We establish that...
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作者：Souyris, Sebastian; Seshadri, Sridhar; Subramanian, Sriram
作者单位：Rensselaer Polytechnic Institute; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Advertisement scheduling is a daily essential operational process in the television business. Efficient distribution of viewers among advertisers allows the television network to satisfy contracts and increase ad sale revenues. Ad scheduling is a challenging multiperiod, mixed-integer programming problem in which the network must create schedules to meet advertisers' campaign goals and maximize ad revenues. Each campaign must meet a specific target group of viewers and a unique set of constrai...
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作者：Wang, Liao; Yao, David D.
作者单位：University of Hong Kong; Columbia University
摘要：A central problem in planning production capacity is how to effectively manage demand risk. We develop a model that integrates capacity planning and risk hedging decisions under a popular risk measure, conditional value at risk (CVaR). The CVaR objective generalizes the usual risk-neutral objective (such as the expected payoff) and allows for explicit modeling of the degree of aversion to downside risk (associated with low demand). The starting point of our model is to incorporate the impact o...
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作者：Gu, Haotian; Guo, Xin; Wei, Xiaoli; Xu, Renyuan
作者单位：University of California System; University of California Berkeley; University of California System; University of California Berkeley; Tsinghua Shenzhen International Graduate School; University of Southern California
摘要：The dynamic programming principle (DPP) is fundamental for control and optimization, including Markov decision problems (MDPs), reinforcement learning (RL), and, more recently, mean-field controls (MFCs). However, in the learning framework of MFCs, the DPP has not been rigorously established, despite its critical importance for algorithm designs. In this paper, we first present a simple example in MFCs with learning where the DPP fails with a misspecified Q function and then propose the correc...
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作者：Rusmevichientong, Paat; Sumida, Mika; Topaloglu, Huseyin; Bai, Yicheng
作者单位：University of Southern California
摘要：We study revenue management problems with heterogeneous resources, each with unit capacity. An arriving customer makes a booking request for a particular interval of days in the future. We offer an assortment of resources in response to each booking request. The customer makes a choice within the assortment to use the chosen resource for her desired interval of days. The goal is to find a policy that determines an assortment of resources to offer to each customer to maximize the total expected...
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作者：Neyman, Eric; Roughgarden, Tim
作者单位：Columbia University
摘要：This paper forges a strong connection between two seemingly unrelated forecasting problems: incentive-compatible forecast elicitation and forecast aggregation. Proper scoring rules are the well-known solution to the former problem. To each such rule s, we associate a corresponding method of aggregation, mapping expert forecasts and expert weights to a consensus forecast, which we call quasi-arithmetic (QA) pooling with respect to s. We justify this correspondence in several ways: QA pooling wi...
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作者：Shi, Yun; Cui, Xiangyu; Zhou, Xun Yu
作者单位：East China Normal University; Shanghai Institute of International Finance & Economics; Shanghai University of Finance & Economics; Columbia University; Columbia University
摘要：The security market line is often flat or downward-sloping. We hypothesize that probability weighting plays a role and one ought to differentiate between periods in which agents overweight extreme events and those in which they underweight them. Overweighting inflates the probability of extremely bad events and demands greater compensation for beta risk, whereas underweighting does the opposite. Unconditional on probability weighting, these two effects offset each other, resulting in a flat or...
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作者：Liang, Jinpeng; Lyu, Guodong; Teo, Chung-Piaw; Gao, Ziyou
作者单位：Dalian Maritime University; Hong Kong University of Science & Technology; National University of Singapore; National University of Singapore; Beijing Jiaotong University
摘要：Crowd management during peak commuting hours is a key challenge facing oversaturated metro systems worldwide, which results in serious safety concerns and uneven service experience for commuters on different origin-destination (o-d) pairs. This paper develops realtime passenger flow control policies to manage the inflow of crowds at each station, to optimize the total load carried or revenue earned (efficiency), and to ensure that adequate service is provided to passengers on each o-d pair (fa...
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作者：Shapiro, Alexander; Cheng, Yi
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：In this paper, we discuss construction of the dual of a periodical formulation of infinite-horizon linear stochastic programs with a discount factor. The dual problem is used for computing a deterministic upper bound for the optimal value of the considered multistage stochastic program. Numerical experiments demonstrate behavior of that upper bound, especially when the discount factor is close to one.
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作者：Hall, Georgina; Massoulie, Laurent
作者单位：INSEAD Business School; Inria
摘要：In this paper, we consider the graph alignment problem, which is the problem of recovering, given two graphs, a one-to-one mapping between nodes that maximizes edge overlap. This problem can be viewed as a noisy version of the well-known graph isomorphism problem and appears in many applications, including social network deanonymization and cellular biology. Our focus here is on partial recovery; that is, we look for a one-to-one mapping that is correct on a fraction of the nodes of the graph ...
