-
作者：Xu, Yuqian; Zhu, Lingjiong; Pinedo, Michael
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; State University System of Florida; Florida State University; New York University
摘要：In this paper, we propose a general modeling framework for operational risk management of financial firms. We consider operational risk events as shocks to a financial firm's value process and then study capital investments under preventive and corrective controls to mitigate risk losses. The optimal decisions are made in three scenarios: (i) preventive control only, (ii) corrective control only, and (iii) joint controls. We characterize the optimal control policies within a general modeling f...
-
作者：Anstreicher, Kurt M.
作者单位：University of Iowa
摘要：We consider a new approach for the maximum-entropy sampling problem (MESP) that is based on bounds obtained by maximizing a function of the form ldet M(x) over linear constraints, where M(x) is linear in the n-vector x. These bounds can be computed very efficiently and are superior to all previously known bounds for MESP on most benchmark test problems. A branch-and-bound algorithm using the new bounds solves challenging instances of MESP to optimality for the first time.
-
作者：Briec, Walter; Cavaignac, Laurent; Kerstens, Kristiaan
作者单位：Universite Perpignan Via Domitia; Universite Perpignan Via Domitia; Universite de Lille; IESEG School of Management; Centre National de la Recherche Scientifique (CNRS); CNRS - Institute for Humanities & Social Sciences (INSHS)
摘要：This contribution defines a new generalized input efficiency measure which encompasses and thus links four well-known input efficiency measures: the Debreu-Farrell measure, the Fare-Lovell measure, the asymmetric Fare measure, and the multiplicative Fare-Lovell measure. The axiomatic properties of this new measure are studied. The generalized input efficiency measure naturally leads to the definition of new measures as special cases. It also provides a general framework for testing the choice ...
-
作者：Walteros, Jose L.; Buchanan, Austin
作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY; Oklahoma State University System; Oklahoma State University - Stillwater
摘要：To this day, the maximum clique problem remains a computationally challenging problem. Indeed, despite researchers' best efforts, there exist unsolved benchmark instances with 1,000 vertices. However, relatively simple algorithms solve real-life instances with millions of vertices in a few seconds. Why is this the case? Why is the problem apparently so easy in many naturally occurring networks? In this paper, we provide an explanation. First, we observe that the graph's clique number. is very ...
-
作者：Peng, Yijie; Fu, Michael C.; Heidergott, Bernd; Lam, Henry
作者单位：Peking University; University System of Maryland; University of Maryland College Park; University System of Maryland; University of Maryland College Park; Vrije Universiteit Amsterdam; Columbia University
摘要：We propose a gradient-based simulated maximum likelihood estimation to estimate unknown parameters in a stochastic model without assuming that the likelihood function of the observations is available in closed form. A key element is to develop Monte Carlo-based estimators for the density and its derivatives for the output process, using only knowledge about the dynamics of the model. We present the theory of these estimators and demonstrate how our approach can handle various types of model st...
-
作者：Lozano, Leonardo; Bergman, David; Smith, J. Cole
作者单位：University System of Ohio; University of Cincinnati; University of Connecticut; Syracuse University
摘要：The application of decision diagrams in combinatorial optimization has proliferated in the last decade. In recent years, authors have begun to investigate how to use not one, but a set of diagrams, to model constraints and objective function terms. Optimizing over a collection of decision diagrams, the problem we refer to as the consistent path problem (CPP) can be addressed by associating a network-flow model with each decision diagram, jointly linked through channeling constraints. A direct ...
-
作者：Wang, Jialei; Clark, Scott C.; Liu, Eric; Frazier, Peter, I
作者单位：Cornell University
摘要：We consider parallel global optimization of derivative-free expensive-to-evaluate functions, and propose an efficient method based on stochastic approximation for implementing a conceptual Bayesian optimization algorithm proposed by Ginsbourger in 2008. At the heart of this algorithm is maximizing the information criterion called the multipoints expected improvement, or the q-EI. To accomplish this, we use infinitesimal perturbation analysis (IPA) to construct a stochastic gradient estimator a...
-
作者：Chu, Leon Yang; Rong, Ying; Zheng, Huan
作者单位：University of Southern California; Shanghai Jiao Tong University
摘要：We study how the procurement process may help a buyer reduce purchasing costs under a dual-sourcing setting. First, we analyze the equilibrium outcomes when the buyer simultaneously or sequentially bilaterally negotiates with the suppliers. We establish coordination results and characterize the buyer's maximum equilibrium profit under such bilateral bargaining settings. Moreover, we show that the buyer can benefit from a request for proposal/quotation (RFx) stage that precedes the negotiation ...
-
作者：Ba, Qin; Pang, Jong-Shi
作者单位：University of Southern California
摘要：This paper presents an exact penalization theory of the generalized Nash equilibrium problem (GNEP) that has its origin from the renowned Arrow-Debreu general economic equilibrium model. Whereas the latter model is the foundation of much of mathematical economics, the GNEP provides a mathematical model of multiagent noncooperative competition that has found many contemporary applications in diverse engineering domains. The most salient feature of the GNEP that distinguishes it from a standard ...
-
作者：Chen, Mingliu; Sun, Peng; Xiao, Yongbo
作者单位：Duke University; Tsinghua University
摘要：Consider a setting in which a principal induces effort from an agent to reduce the arrival rate of a Poisson process of adverse events. The effort is costly to the agent and unobservable to the principal unless the principal is monitoring the agent. Monitoring ensures effort but is costly to the principal. The optimal contract involves monetary payments and monitoring sessions that depend on past arrival times. We formulate the problem as a stochastic optimal control model and solve the proble...
