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作者：Bensoussan, Alain; Hoe, SingRu (Celine); Kim, Joohyun; Yan, Zhongfeng
作者单位：University of Texas System; University of Texas Dallas; City University of Hong Kong; Texas A&M University System; Jinan University
摘要：The objective of this paper is to study the optimal consumption and portfoliochoice problem of risk-controlled investors who strive to maximize total expected discountedutility of both consumption and terminal wealth. Risk is measured by the variance of terminalwealth, which introduces a nonlinear function of the expected value into the control problem.The control problem presented is no longer a standard stochastic control problem but rather,ameanfield-type control problem. The optimal portfo...
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作者：Dahan, Mathieu; Sela, Lina; Amin, Saurabh
作者单位：University System of Georgia; Georgia Institute of Technology; University of Texas System; University of Texas Austin; Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：This article studies a problem of strategic network inspection, in which a defender (agency) is tasked with detecting the presence of multiple attacks in the network. An inspection strategy entails monitoring the network components, possibly in a randomized manner, using a given number of detectors. We formulate the network inspection problem (p) as a large-scale bilevel optimization problem, in which the defender seeks to determine an inspection strategy with minimum number of detectors that ...
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作者：Jagabathula, Srikanth; Mitrofanov, Dmitry; Vulcano, Gustavo
作者单位：New York University; Boston College; Universidad Torcuato Di Tella; Consejo Nacional de Investigaciones Cientificas y Tecnicas (CONICET)
摘要：We propose a back-to-back procedure for running personalized promotions in retail operations contexts, from the construction of a nonparametric choice model where customer preferences are represented by directed acyclic graphs (DAGs) to the design of such promotions. The source data include a history of purchases tagged by customer ID jointly with product availability and promotion data for a category of products. In each customer DAG, nodes represent products and directed edges represent the ...
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作者：Zhang, Mengzhenyu; Ahn, Hyun-Soo; Uichanco, Joline
作者单位：University of Michigan System; University of Michigan
摘要：Decisions regarding new products are often difficult to make, and mistakes can have grave consequences for a firm's bottom line. Often, firms lack important information about a new product, such as its potential market size and the speed of its adoption by consumers. One of the most popular frameworks that has been used for modeling new product adoption is the Bass model. Although the Bass model and its many variants are used to study dynamic pricing of new products, the vast majority of these...
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作者：Allouah, Amine; Bahamou, Achraf; Besbes, Omar
作者单位：Facebook Inc; Columbia University; Columbia University
摘要：In the present paper, we study a fundamental data-driven pricing problem: how should a decision maker (optimally) price based on a finite and limited number of samples from the customers' value distribution. The decision maker's objective is to select a general pricing policy with maximum worst-case ratio of revenue compared with an oracle with knowledge of the value distribution, when the latter is only known to belong to some general nonparametric class. We study achievable performance for t...
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作者：Min, Seungki; Maglaras, Costis; Moallemi, Ciamac C.
作者单位：Korea Advanced Institute of Science & Technology (KAIST); Columbia University
摘要：An analysis of intraday volumes for the S&P 500 constituent stocks illustrates that (i) volume surprises (i.e., deviations from forecasted trading volumes) are correlated across stocks and that (ii) this correlation increases during the last few hours of the trading session. These observations can be attributed partly to the prevalence of portfolio trading activity that is implicit in the growth of passive (systematic) investment strategies and partly to the increased trading intensity of such...
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作者：Jaillet, Patrick; Loke, Gar Goei; Sim, Melvyn
作者单位：Massachusetts Institute of Technology (MIT); Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; National University of Singapore
摘要：The workforce planning problem of hiring, dismissing, and promoting has been the perennial difficulty of Human Resource (HR) management. To cope with uncertain attrition, we propose a new approach of finding a course of action that safeguards against violating organizational target-meeting constraints, such as productivity, budget, headcount, dismissal threshold, and managerial span of control. As such, this approach leads to a tractable conic optimization model that minimizes a decision crite...
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作者：Correa, Jose; Epstein, Natalie; Epstein, Rafael; Escobar, Juan; Rios, Ignacio; Aramayo, Nicolas; Bahamondes, Bastian; Bonet, Carlos; Castillo, Martin; Cristi, Andres; Epstein, Boris; Subiabre, Felipe
作者单位：Universidad de Chile; Harvard University; University of Texas System; University of Texas Dallas; Columbia University; New York University
摘要：Centralized school admission mechanisms are an attractive way of improving social welfare and fairness in large educational systems. In this paper, we report the design and implementation of the newly established school choice system in Chile, where over 274,000 students applied to more than 6,400 schools. The Chilean system presents unprecedented design challenges that make it unique. First, it is a simultaneous nationwide system, making it one of the largest school choice problems worldwide....
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作者：Mansour, Yishay; Slivkins, Alex; Syrgkanis, Vasilis; Wu, Zhiwei Steven
作者单位：Tel Aviv University; Alphabet Inc.; Google Incorporated; Microsoft; Microsoft; Carnegie Mellon University
摘要：We consider a ubiquitous scenario in the internet economy when individual decision makers (henceforth, agents) both produce and consume information as they make strategic choices in an uncertain environment. This creates a three-way trade-off between exploration (trying out insufficiently explored alternatives to help others in the future), exploitation (making optimal decisions given the information discovered by other agents), and incentives of the agents (who are myopically interested in ex...
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作者：Rostami, Borzou; Chitsaz, Masoud; Arslan, Okan; Laporte, Gilbert; Lodi, Andrea
作者单位：Wilfrid Laurier University; Universite de Montreal; Polytechnique Montreal; Universite de Montreal; Universite de Montreal; HEC Montreal; University of Bath; Cornell University
摘要：We study the single allocation hub location problem with heterogeneous economies of scale (SAHLP-h). The SAHLP-h is a generalization of the classical single allocation hub location problem (SAHLP), in which the hub-hub connection costs are piecewise linear functions of the amounts of flow. We model the problem as an integer nonlinear program, which we then reformulate as a mixed integer linear program (MILP) and as a mixed integer quadratically constrained program (MIQCP). We exploit the speci...
