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作者：Carvajal, Rodolfo; Constantino, Miguel; Goycoolea, Marcos; Vielma, Juan Pablo; Weintraub, Andres
作者单位：University System of Georgia; Georgia Institute of Technology; Universidad Adolfo Ibanez; Universidade de Lisboa; Massachusetts Institute of Technology (MIT); Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Universidad de Chile
摘要：Connectivity requirements are a common component of forest planning models, with important examples arising in wildlife habitat protection. In harvest scheduling models, one way of addressing preservation concerns consists of requiring that large contiguous patches of mature forest are maintained. In the context of nature reserve design, it is common practice to select a connected region of forest, as a reserve, in such a way as to maximize the number of species and habitats protected. Althoug...
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作者：Kakade, Sham M.; Lobel, Ilan; Nazerzadeh, Hamid
作者单位：Microsoft; New York University; University of Southern California
摘要：We consider the problem of designing optimal mechanisms for settings where agents have dynamic private information. We present the virtual-pivot mechanism, which is optimal in a large class of environments that satisfy a separability condition. The mechanism satisfies a rather strong equilibrium notion (it is periodic ex post incentive compatible and individually rational). We provide both necessary and sufficient conditions for immediate incentive compatibility for mechanisms that satisfy per...
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作者：Blavatskyy, Pavlo
摘要：Subjective expected utility is the most widely used model to represent preferences under uncertainty (when objective probabilities of events may not be known). This paper presents a new behavioral characterization (preference axiomatization) of subjective expected utility. The latter is derived from a behavioral assumption of cardinal independence, also known as standard sequence invariance. This axiom requires that a standard sequence of outcomes (equally spaced in terms of utility) is indepe...
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作者：Iancu, Dan A.; Sharma, Mayank; Sviridenko, Maxim
作者单位：Stanford University; International Business Machines (IBM); IBM USA; University of Warwick
摘要：This paper considers a particular class of dynamic robust optimization problems, where a large number of decisions must be made in the first stage, which consequently fix the constraints and cost structure underlying a one-dimensional, linear dynamical system. We seek to bridge two classical paradigms for solving such problems, namely, (1) dynamic programming (DP), and (2) policies parameterized in model uncertainties (also known as decision rules), obtained by solving tractable convex optimiz...
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作者：Philpott, Andy; de Matos, Vitor; Finardi, Erlon
作者单位：University of Auckland; Universidade Federal de Santa Catarina (UFSC)
摘要：We consider a class of multistage stochastic linear programs in which at each stage a coherent risk measure of future costs is to be minimized. A general computational approach based on dynamic programming is derived that can be shown to converge to an optimal policy. By computing an inner approximation to future cost functions, we can evaluate an upper bound on the cost of an optimal policy, and an outer approximation delivers a lower bound. The approach we describe is particularly useful in ...
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作者：Adlakha, Sachin; Johari, Ramesh
作者单位：California Institute of Technology; Stanford University
摘要：We study a class of stochastic dynamic games that exhibit strategic complementarities between players; formally, in the games we consider, the payoff of a player has increasing differences between her own state and the empirical distribution of the states of other players. Such games can be used to model a diverse set of applications, including network security models, recommender systems, and dynamic search in markets. Stochastic games are generally difficult to analyze, and these difficultie...
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作者：Cadenillas, Abel; Lakner, Peter; Pinedo, Michael
作者单位：University of Alberta; Ajou University; New York University
摘要：We assume that the cumulative consumer demand for an item follows a Brownian motion, with both the drift and the variance parameters modulated by a continuous-time Markov chain that represents the regime of the economy. The management of the company would like to maintain the inventory level as close as possible to a target inventory level and would also like to produce at a rate that is as close as possible to a target production rate. The company is penalized for deviations from the target l...
