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作者：Bichler, Martin; Waldherr, Stefan
作者单位：Technical University of Munich; Vrije Universiteit Amsterdam
摘要：The computation of market equilibria is a fundamental and practically relevant problem. Current advances in computational optimization allow for the organization of large combinatorial markets in the field. Although we know the computational complexity and the types of price functions necessary for combinatorial exchanges with quasilinear preferences, the respective literature does not consider financially constrained buyers. We show that computing market outcomes that respect budget constrain...
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作者：Miao, Sentao; Jasin, Stefanus; Chao, Xiuli
作者单位：McGill University; University of Michigan System; University of Michigan; University of Michigan System; University of Michigan
摘要：We consider a periodic-review inventory control problem for the Multi Warehouse Multi-Store system with lost sales. We focus on a time horizon during which the systemreceives no external replenishment. Specifically, each warehouse has a finite initial inventory at the beginning of the horizon, which is then periodically allocated to the stores in each period in order to minimize the total expected lost-sales costs, holding costs, and shipping costs. This is a hard problem and the structure of ...
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作者：Feldman, Jacob; Zhang, Dennis J.; Liu, Xiaofei; Zhang, Nannan
作者单位：Washington University (WUSTL); Alibaba Group
摘要：We compare the performance of two approaches for finding the optimal set of products to display to customers landing on Alibaba's two online marketplaces, Tmall and Taobao. We conducted a large-scale field experiment, in which we randomly assigned 10,421,649 customer visits during a one-week-long period to one of the two approaches and measured the revenue generated per customer visit. The first approach we tested was Alibaba's current practice, which embeds product and customer features withi...
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作者：Niazadeh, Rad; Hartline, Jason; Immorlica, Nicole; Khani, Mohammad Reza; Lucier, Brendan
作者单位：University of Chicago; Northwestern University; Amazon.com
摘要：Standard ad auction formats do not immediately extend to settings where multi-ple size configurations and layouts are available to advertisers. In these settings, the sale of web advertising space increasingly resembles a combinatorial auction with complementar-ities, where truthful auctions such as the Vickrey-Clarke-Groves (VCG) auction can yield unacceptably low revenue. We therefore study core-selecting auctions, which boost reve-nue by setting payments so that no group of agents, includin...
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作者：Kroer, Christian; Peysakhovich, Alexander; Sodomka, Eric; Stier-Moses, Nicolas E.
作者单位：Columbia University; Facebook Inc; Facebook Inc
摘要：Computing market equilibria is an important practical problem for market design, for example, in fair division of items. However, computing equilibria requires large amounts of information (typically the valuation of every buyer for every item) and computing power. We consider ameliorating these issues by applying a method used for solving complex games: constructing a coarsened abstraction of a given market, solving for the equilibrium in the abstraction, and lifting the prices and allocation...
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作者：Lassance, Nathan; DeMiguel, Victor; Vrins, Frederic
作者单位：University of London; London Business School
摘要：A natural approach to enhance portfolio diversification is to rely on factor-risk parity, which yields the portfolio whose risk is equally spread among a set of uncorrelated factors. The standard choice is to take the variance as risk measure, and the principal components (PCs) of asset returns as factors. Although PCs are unique and useful for dimension reduction, they are an arbitrary choice: any rotation of the PCs results in uncorrelated factors. This is problematic becausewe demonstrate t...
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作者：Wang, Jue
作者单位：Queens University - Canada
摘要：Sequential multiclass diagnosis, also known as multihypothesis testing, is a classical sequential decision problem with broad applications. However, the optimal solution remains, in general, unknown as the dynamic program suffers from the curse of dimensionality in the posterior belief space. We consider a class of practical problems in which the observation distributions associated with different classes are related through exponential tilting and show that the reachable beliefs could be rest...
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作者：Guiotto, Paolo; Roncoroni, Andrea
作者单位：University of Padua; ESSEC Business School
摘要：We develop a normative framework for the optimal design, value assessment, and risk management integration of combined custom contingent claims. A risk-averse firm faces a mix of financially insurable and noninsurable risk. The firm seeks optimal positioning in a pair of custom claims, one written on the insurable term and another written on any listed index correlated to the noninsurable term. We prove that a unique optimum always exists unless the index is redundant and show that the optimal...
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作者：Nguyen, Viet Anh; Kuhn, Daniel; Esfahani, Peyman Mohajerin
作者单位：Stanford University; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Delft University of Technology
摘要：We introduce a distributionally robust maximum likelihood estimation model with a Wasserstein ambiguity set to infer the inverse covariance matrix of a p-dimensional Gaussian random vector from n independent samples. The proposed model minimizes the worst case (maximum) of Stein's loss across all normal reference distributions within a prescribed Wasserstein distance from the normal distribution characterized by the sample mean and the sample covariance matrix. We prove that this estimation pr...
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作者：Zhong, Ying; Hong, L. Jeff
作者单位：University of Electronic Science & Technology of China; Fudan University; Fudan University
摘要：On one hand, large-scale ranking and selection (R&S) problems require a large amount of computation. On the other hand, parallel computing environments that provide a large capacity for computation are becoming prevalent today, and they are accessible by ordinary users. Therefore, solving large-scale R&S problems in parallel computing environments has emerged as an important research topic in recent years. However, directly implementing traditional stagewise procedures and fully sequential pro...
