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作者：Glasserman, Paul; de Larrea, Enrique Lelo
作者单位：Columbia University; Columbia University
摘要：We study the problem of sampling uniformly from discrete or continuous product sets subject to linear constraints. This family of problems includes sampling weighted bipartite, directed, and undirected graphs with given degree sequences. We analyze two candidate distributions for sampling from the target set. The first one maximizes entropy subject to satisfying the constraints in expectation. The second one is the distribution from an exponential family that maximizes the minimum probability ...
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作者：Liang, Yong; Sun, Peng; Tang, Runyu; Zhang, Chong
作者单位：Tsinghua University; Duke University; Xi'an Jiaotong University; Tilburg University
摘要：Motivated by the allocation of online visits to product, service, and content suppliers in the platform economy, we consider a dynamic contract design problem in which a principal constantly determines the allocation of a resource (online visits) to multiple agents. Although agents are capable of running the business, they introduce adverse events, the frequency of which depends on each agent???s effort level. We study continuous-time dynamic contracts that utilize resource allocation and mone...
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作者：Dentcheva, Darinka; Lin, Yang; Penev, Spiridon
作者单位：Stevens Institute of Technology; University of New South Wales Sydney; University of New South Wales Sydney
摘要：Optimization under uncertainty and risk is indispensable in many practical situations. Our paper addresses stability of optimization problems using composite risk functionals that are subjected to multiple measure perturbations. Our main focus is the asymptotic behavior of data-driven formulations with empirical or smoothing estimators such as kernels or wavelets applied to some or to all functions of the compositions. We analyze the properties of the new estimators and we establish strong law...
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作者：Dogan, Serhat; Yildiz, Kemal
作者单位：Ihsan Dogramaci Bilkent University
摘要：We consider an agent who is endowed with two sets of orderings: pro-and con orderings. For each choice set, if an alternative is the top-ranked by a pro-ordering (con-ordering), then this is a pro (con) for choosing that alternative. The alternative with more pros than cons is chosen from each choice set. Each ordering may have a weight reflecting its salience. In this case, the probability that an alternative is chosen equals the difference between the total weights of its pros and cons. We s...
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作者：Zhang, Haixiang; Zheng, Zeyu; Lavaei, Javad
作者单位：University of California System; University of California Berkeley; University of California System; University of California Berkeley
摘要：We propose new sequential simulation???optimization algorithms for general convex optimization via simulation problems with high-dimensional discrete decision space. The performance of each choice of discrete decision variables is evaluated via stochastic simulation replications. If an upper bound on the overall level of uncertainties is known, our proposed simulation???optimization algorithms utilize the discrete convex structure and are guaranteed with high probability to find a solution tha...
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作者：Hochbaum, Dorit S.; Levin, Asaf; Rao, Xu
作者单位：Technion Israel Institute of Technology
摘要：Here, we study several variants of matching problems that arise in covariate balancing. Covariate balancing problems can be viewed as variants of matching, or b-matching, with global side constraints. We present here a comprehensive complexity study of the covariate balancing problems providing polynomial time algorithms, or a proof of NP-hardness. The polynomial time algorithms described are mostly combinatorial and rely on network flow techniques. In addition, we present several fixed-parame...
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作者：Chen, Gang; Gayon, Jean-Philippe; Lemaire, Pierre
作者单位：Guangzhou University; Universite Clermont Auvergne (UCA); Polytechnic Institute of Clermont Auvergne; Centre National de la Recherche Scientifique (CNRS); IMT - Institut Mines-Telecom; Mines Saint-Etienne; Communaute Universite Grenoble Alpes; Institut National Polytechnique de Grenoble; Universite Grenoble Alpes (UGA); Centre National de la Recherche Scientifique (CNRS)
摘要：We consider a stochastic scheduling problem in clearing systems with two types of jobs, each characterized by a general service time distribution, an exponentially distributed lifetime, and a reward. A job abandons the system if its waiting time in the queue is larger than its lifetime. Preemption is not allowed. The objective is to maximize the total expected reward. When service times are homogeneous, we provide a set of necessary and sufficient conditions for the optimality of a strict prio...
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作者：de Ruiter, Frans J. C. T.; Zhen, Jianzhe; den Hertog, Dick
作者单位：Wageningen University & Research; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Federal Institutes of Technology Domain; ETH Zurich; University of Amsterdam
摘要：Adjustable robust minimization problems where the objective or constraints depend in a convex way on the adjustable variables are generally difficult to solve. In this paper, we reformulate the original adjustable robust nonlinear problem with a polyhedral uncertainty set into an equivalent adjustable robust linear problem, for which all existing approaches for adjustable robust linear problems can be used. The reformulation is obtained by first dualizing over the adjustable variables and then...
