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作者：Rhee, Chang-Han; Glynn, Peter W.
作者单位：University System of Georgia; Georgia Institute of Technology; Stanford University
摘要：In many settings in which Monte Carlo methods are applied, there may be no known algorithm for exactly generating the random object for which an expectation is to be computed. Frequently, however, one can generate arbitrarily close approximations to the random object. We introduce a simple randomization idea for creating unbiased estimators in such a setting based on a sequence of approximations. Applying this idea to computing expectations of path functionals associated with stochastic differ...
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作者：Chen, Lucy Gongtao; Long, Daniel Zhuoyu; Sim, Melvyn
作者单位：National University of Singapore; Chinese University of Hong Kong
摘要：We investigate a dynamic decision model that facilitates a target-oriented decision maker in regulating her risky consumption based on her desired target consumption level in every period in a finite planning horizon. We focus on dynamic operational decision problems of a firm where risky cash flows are being resolved over time. The firm can finance consumption by borrowing or saving to attain prescribed consumption targets over time. To evaluate the ability of the consumption in meeting respe...
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作者：Luo, Jun; Hong, L. Jeff; Nelson, Barry L.; Wu, Yang
作者单位：Shanghai Jiao Tong University; City University of Hong Kong; City University of Hong Kong; Northwestern University
摘要：Fully sequential ranking-and-selection (R&S) procedures to find the best from a finite set of simulated alternatives are often designed to be implemented on a single processor. However, parallel computing environments, such as multi-core personal computers and many-core servers, are becoming ubiquitous and easily accessible for ordinary users. In this paper, we propose two types of fully sequential procedures that can be used in parallel computing environments. We call them vector-filling proc...
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作者：Xu, Kuang
作者单位：Stanford University
摘要：We study the necessity of predictive information in a class of queueing admission control problems, where a system manager is allowed to divert incoming jobs up to a fixed rate, in order to minimize the queueing delay experienced by the admitted jobs. Spencer et al. (2014) [Spencer J, Sudan M, Xu K (2014) Queuing with future information. Ann. Appl. Probab. 24(5): 2091-2142.] show that the system's delay performance can be significantly improved by having access to future information in the for...
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作者：Besbes, Omar; Gur, Yonatan; Zeevi, Assaf
作者单位：Columbia University; Stanford University
摘要：We consider a non-stationary variant of a sequential stochastic optimization problem, in which the underlying cost functions may change along the horizon. We propose a measure, termed variation budget, that controls the extent of said change, and study how restrictions on this budget impact achievable performance. We identify sharp conditions under which it is possible to achieve long-run average optimality and more refined performance measures such as rate optimality that fully characterize t...
