-
作者：Wu, Chenguang (Allen); Bassamboo, Achal; Perry, Ohad
作者单位：Hong Kong University of Science & Technology; Northwestern University; Northwestern University
摘要：As empirically observed in restaurants, call centers, and intensive care units, service times needed by customers are often related to the delay they experience in queue. Two forms of dependence mechanisms in service systems with customer abandonment immediately come to mind: First, the service requirement of a customer may evolve while waiting in queue, in which case the service time of each customer is endogenously determined by the system's dynamics. Second, customers may arrive (exogenousl...
-
作者：Vera, Alberto; Banerjee, Siddhartha; Samaranayake, Samitha
作者单位：Cornell University; Cornell University; Cornell University
摘要：Motivated by the needs of modern transportation service platforms, we study the problem of computing constrained shortest paths (CSP) at scale via preprocessing techniques. Our work makes two contributions in this regard: 1) We propose a scalable algorithm for CSP queries and show how its performance can be parametrized in terms of a new network primitive, the constrained highway dimension. This development extends recent work that established the highway dimension as the appropriate primitive...
-
作者：Albrecher, Hansjoerg; Goffard, Pierre-Olivier
作者单位：University of Lausanne; Swiss Finance Institute (SFI); Universite Claude Bernard Lyon 1
摘要：Mining blocks on a blockchain equipped with a proof of work consensus protocol is well known to be resource consuming. A miner bears the operational cost, mainly electricity consumption and IT gear, of mining and is compensated by a capital gain when a block is discovered. This paper aims at quantifying the profitability of mining when the possible event of ruin is also considered. This is done by formulating a tractable stochastic model and using tools from applied probability and analysis, i...
-
作者：Shahmoradi, Zahed; Lee, Taewoo
作者单位：University of Houston System; University of Houston
摘要：Inverse linear programming (LP) has received increasing attention because of its potential to infer efficient optimization formulations that can closely replicate the behavior of a complex system. However, inversely inferred parameters and corresponding forward solutions from the existing inverse LP methods can be highly sensitive to noise, errors, and uncertainty in the input data, limiting their applicability in data-driven settings. We introduce the notion of inverse and forward stability i...
-
作者：Zhu, Ziwei; Li, Xudong; Wang, Mengdi; Zhang, Anru
作者单位：University of Michigan System; University of Michigan; Fudan University; Fudan University; Princeton University; Princeton University; University of Wisconsin System; University of Wisconsin Madison; Duke University
摘要：Modeling unknown systems from data is a precursor of system optimization and sequential decision making. In this paper, we focus on learning a Markov model from a single trajectory of states. Suppose that the transition model has a small rank despite having a large state space, meaning that the system admits a low-dimensional latent structure. We show that one can estimate the full transition model accurately using a trajectory of length that is proportional to the total number of states. We p...
-
作者：Shen, Xiaobei; Yu, Yimin; Huh, Woonghee Tim
作者单位：Chinese Academy of Sciences; University of Science & Technology of China, CAS; City University of Hong Kong; University of British Columbia
摘要：We consider optimal inventory replenishment policies for capacitated 2-echelon serial inventory systems, where the capacity of upstream echelon can be the bottleneck. We show that the optimal replenishment decisions in each period can be made one echelon at a time by introducing a procedure that can sequentially decompose a multidimensional optimization problem to a series of one-dimensional problems. We also introduce the no-tion of permutation-dependent separability. A permutation-dependent ...
-
作者：Alpern, Steve; Chleboun, Paul; Katsikas, Stamatios; Lin, Kyle Y.
作者单位：University of Warwick; University of Warwick; University of Warwick; University of St Andrews; United States Department of Defense; United States Navy; Naval Postgraduate School
摘要：Patrolling games were introduced by Alpern, Morton, and Papadaki in 2011 to model the adversarial problem where a mobile Patroller can thwart an attack at some location only by visiting it during the attack period, which has a prescribed integer duration. In this note, we modify the problem by allowing the Attacker to go to his planned attack location early and observe the presence or the absence there of the Patroller (who wears a uniform). To avoid being too predictable, the Patroller may so...
-
作者：El Hajj, Hussein; Bish, Douglas R.; Bish, Ebru K.
作者单位：Virginia Polytechnic Institute & State University; University of Alabama System; University of Alabama Tuscaloosa
摘要：Cystic fibrosis (CF) is a life-threatening genetic disorder. Early treatment of CF-positive newborns can extend life span, improve quality of life, and reduce healthcare expenditures. As a result, newborns are screened for CF throughout the United States. Genetic testing is costly; therefore, CF screening processes start with a relatively inexpensive but not highly accurate biomarker test. Newborns with elevated biomarker levels are further screened via genetic testing for a panel of variants ...
-
作者：Gupta, Shivam; Bansal, Saurabh
作者单位：University of Nebraska System; University of Nebraska Lincoln; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Policymakers often seek to integrate markets as a way to maximize social welfare. Prior research has examined the effect of market integration on social welfare (surplus) only at two extremes-when the markets are fully integrated and when they are fully isolated. But there is scarce information available for (i) how large the social surplus is at intermediate levels of market integration and (ii) whether social surplus is maximized when markets are fully integrated, fully isolated, or partiall...
-
作者：Embrechts, Paul; Schied, Alexander; Wang, Ruodu
作者单位：Swiss Federal Institutes of Technology Domain; ETH Zurich; Swiss Federal Institutes of Technology Domain; ETH Zurich; University of Waterloo
摘要：We study issues of robustness in the context of Quantitative Risk Management and Optimization. We develop a general methodology for determining whether a given risk-measurement-related optimization problem is robust, which we call robustness against optimization. The new notion is studied for various classes of risk measures and expected utility and loss functions. Motivated by practical issues from financial regulation, special attention is given to the two most widely used risk measures in t...
