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作者：Reich, Gregor
作者单位：University of Zurich
摘要：This paper develops a method to efficiently estimate hidden Markov models with continuous latent variables using maximum likelihood estimation. To evaluate the (marginal) likelihood function, I decompose the integral over the unobserved state variables into a series of lower dimensional integrals, and recursively approximate them using numerical quadrature and interpolation. I show that this procedure has very favorable numerical properties: First, the computational complexity grows linearly i...
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作者：St John, Rachel; Toth, Sandor F.; Zabinsky, Zelda B.
作者单位：University of Washington; University of Washington Seattle; University of Washington; University of Washington Seattle
摘要：Wildlife corridors are often used to connect critical habitat for species protection. Mixed integer programming models have been used in the past to create wildlife corridors, but they lack the capacity to control corridor geometry. We propose an approach that employs path planning techniques from artificial intelligence to account for and control corridor geometry, such as width and length. By combining path planning with network optimization, our approach allows the user to control and optim...
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作者：Zhou, Zhengyuan; Bambos, Nicholas; Glynn, Peter
作者单位：Stanford University; Stanford University
摘要：Power control over wireless networks has been an active area of research with significant applied impact. A well-motivated line of this research, which has received increasing attention, is applying game-theoretic tools for both gaining insight and design of algorithms. In this paper, we build on the existing work and present a simple game-theoretic formulation of power control on wireless networks that incorporates two novel features. First, we do not impose exogenous power bounds on the feas...
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作者：Bhargava, Hemant K.; Gangwar, Manish
作者单位：University of California System; University of California Davis; Indian School of Business (ISB)
摘要：Two- (2PTs) and three-part tariffs (3PTs) are widely used for selling goods, to compensate workers, and in procurement contracts. They are practical alternatives to complex nonlinear tariffs in on-demand services and technology industries and are more profitable than the restrictive per-unit and unlimited-use pricing. A 2PT imposes both a fixed (access) fee and a per-unit (usage) fee, and a 3PT generalizes it by bundling some free units (an allowance) into the fixed fee. Intuitively, bundling ...
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作者：Li, Jonathan Yu-Meng
作者单位：University of Ottawa
摘要：Worst-case risk measures provide a means of calculating the largest value of risk when only partial information of the underlying distribution is available. For popular risk measures such as value-at-risk (VaR) and conditional value-at-risk (CVaR) it is now known that their worst-case counterparts can be evaluated in closed form when only the first two moments are known. We show in this paper that closed-form solutions exist for a general class of law invariant coherent risk measures, which co...
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作者：Capponi, Agostino; Cheng, W. Allen
作者单位：Columbia University
摘要：We model the decision problem faced by a profit-maximizing clearinghouse, which sets fee and margin requirements for heterogeneous traders who may default. We capture the main trade-offs underpinning the clearinghouse's choices: higher fee and better default protection come at the cost of decreased market volume. We show that the equilibrium margin requirements are determined not only by price volatility but also by trader fundamentals and funding costs. Our results (i) explain why margins are...
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作者：Zhang, Heng; Rusmevichientong, Paat; Topaloglu, Huseyin
作者单位：University of Southern California
摘要：We consider unconstrained and constrained multiproduct pricing problems when customers choose according to an arbitrary generalized extreme value (GEV) model and the products have the same price sensitivity parameter. In the unconstrained problem, there is a unit cost associated with the sale of each product. The goal is to choose the prices for the products to maximize the expected profit obtained from each customer. We show that the optimal prices of the different products have a constant ma...
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作者：Hochbaum, Dorit S.; Liu, Sheng
作者单位：University of California System; University of California Berkeley
摘要：Accurate yield prediction in integrated circuit manufacturing enables accurate estimation of production cost and early detection of processing problems. It is known that defects tend to be clustered and a chip is likely to be defective if its neighbors are defective. This neighborhood effect is not well captured in traditional yield modeling approaches. We propose a new yield prediction model, called adjacency-clustering which addresses, for the first time, the neighborhood effect, and deliver...
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作者：Carlsson, John Gunnar; Behroozi, Mehdi; Mihic, Kresimir
作者单位：University of Southern California; Northeastern University; Oracle
摘要：Recent research on the robust and stochastic traveling salesman problem and the vehicle routing problem has used many different approaches for describing the region of ambiguity including taking convex combinations of observed demand vectors or imposing constraints on the moments of the spatial demand distribution. One approach that has been used outside the transportation sector is the use of statistical metrics that describe a distance function between two probability distributions. Motivate...
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作者：Arslan, Okan; Jabali, Ola; Laporte, Gilbert
作者单位：Universite de Montreal; HEC Montreal; Polytechnic University of Milan
摘要：The Evasive Flow Capturing Problem is defined as the problem of locating a set of law enforcement facilities on the arcs of a road network to intercept unlawful vehicle flows traveling between origin-destination pairs, who in turn deviate from their route to avoid any encounter with such facilities. Such deviations are bounded by a given tolerance. We first propose a bilevel program that, in contrast to previous studies, does not require a priori route generation. We then transform this bileve...
