-
作者：Ata, Baris; Peng, Xiaoshan
作者单位：University of Chicago
摘要：This paper studies a multiclass queueing system with endogenous abandonments where congestion affects customers' abandonment behavior, and vice versa. Our model captures this interaction by developing two closely related models: an abandonment model and a queueing model. In the abandonment model, customers take the virtual waiting time distribution as given. Class k customers receive a reward r(k) from service and incur a cost c(k) per period of waiting. Customers are forward looking and make ...
-
作者：Flajolet, Arthur; Blandin, Sebastien; Jaillet, Patrick
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：We consider the problem of finding an optimal history-dependent routing strategy on a directed graph weighted by stochastic arc costs when the objective is to minimize the risk of spending more than a prescribed budget. To help mitigate the impact of the lack of information on the arc cost probability distributions, we introduce a robust counterpart where the distributions are only known through confidence intervals on some statistics such as the mean, the mean absolute deviation, and any quan...
-
作者：Russo, Daniel; Van Roy, Benjamin
作者单位：Columbia University; Stanford University
摘要：We propose information-directed sampling-a new approach to online optimization problems in which a decision maker must balance between exploration and exploitation while learning from partial feedback. Each action is sampled in a manner that minimizes the ratio between squared expected single-period regret and a measure of information gain: the mutual information between the optimal action and the next observation. We establish an expected regret bound for information-directed sampling that ap...
-
作者：Le Guiban, Kaourintin; Rimmel, Arpad; Weisser, Marc-Antoine; Tomasik, Joanna
作者单位：Universite Paris Saclay
摘要：In metamodeling, the choice of sampling points is crucial for the quality of the model. In this context, the maximin Latin hypercube designs (LHD), with their space-filling and noncollapsing properties, are particularly efficient. To this day, there is no polynomial time algorithm that produces optimal maximin LHDs, i.e., in which the minimum distance between two points (the separation distance) is maximal. We are interested in LHDs with a separation distance as large as possible. The algorith...
-
作者：Podinovski, Victor V.; Olesen, Ole Bent; Sarrico, Claudia S.
作者单位：Loughborough University; University of Southern Denmark; Universidade de Lisboa
摘要：We develop a nonparametric methodology for assessing the efficiency of decision-making units operating in a production technology with several component processes. The latter is modeled by the new multiple hybrid returns-to-scale (MHRS) technology, formally derived from an explicitly stated set of production axioms. In contrast with the existing models of data envelopment analysis (DEA), the MHRS technology allows the incorporation of component-specific and shared inputs and outputs that repre...
-
作者：Pu, Shi; Garcia, Alfredo
作者单位：Arizona State University; Arizona State University-Tempe; Texas A&M University System; Texas A&M University College Station
摘要：In recent years, the paradigm of cloud computing has emerged as an architecture for computing that makes use of distributed (networked) computing resources. In this paper, we consider a distributed computing algorithmic scheme for stochastic optimization, which relies on modest communication requirements among processors and most importantly, does not require synchronization. Specifically, we analyze a scheme with N > 1 independent threads each implementing a stochastic gradient algorithm. The...
