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作者：Blanchard, Moise; Jacquillat, Alexandre; Jaillet, Patrick
作者单位：Massachusetts Institute of Technology (MIT)
摘要：This article may be used only for the purposes of research, teaching, and/or private study. Commercial use or systematic downloading (by robots or other automatic processes) is prohibited without explicit Publisher approval, unless otherwise noted. For more information, contact permissions@informs.org. The Publisher does not warrant or guarantee the article's accuracy, completeness, merchantability, fitness for a particular purpose, or non-infringement. Descriptions of, or references to, produ...
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作者：Kahale, Nabil
作者单位：heSam Universite; ESCP Business School
摘要：We consider a time-average estimator fk of a functional of a Markov chain. Under a coupling assumption, we show that the expectation of f(k) has a limit mu as the number of time steps goes to infinity. We describe a modification of f(k) that yields an unbiased estimator f(k) of mu. It is shown that f(k) is square integrable and has finite expected running time. Under certain conditions, f(k) can be built without any precomputations and is asymptotically at least as efficient as f(k), up to a m...
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作者：Cashore, J. Massey; Frazier, Peter I.; Tardos, Eva
作者单位：Cornell University; Cornell University
摘要：Using prices induced by dual variables of a centralized optimization problem induces welfare-optimal equilibria among strategic drivers. We reveal a stark deficiency of such static pricing algorithms: it is possible for them to induce additional equilibria with arbitrarily low social welfare. Moreover, small perturbations to the marketplace, such as those caused by idiosyncratic randomness or model misspecification, can cause the welfare-optimal equilibrium to be Pareto-dominated (in terms of ...
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作者：Zhang, Chao; Chen, Xiaojun; Ma, Shiqian
作者单位：Beijing Jiaotong University; Hong Kong Polytechnic University; Rice University
摘要：In this paper, we study the generalized subdifferentials and the Riemannian gradient subconsistency that are the basis for non-Lipschitz optimization on embedded sub manifolds of R-n. We then propose a Riemannian smoothing steepest descent method for non-Lipschitz optimization on complete embedded submanifolds of Rn. We prove that any accumulation point of the sequence generated by the Riemannian smoothing steepest descent method is a stationary point associated with the smoothing function emp...
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作者：Beissner, Patrick; Boonen, Tim; Ghossoub, Mario
作者单位：Australian National University; University of Hong Kong; University of Waterloo
摘要：In a pure-exchange economy with no aggregate uncertainty, we characterize in closed form and full generality Pareto-optimal allocations between two agents who maximize (nonconcave) rank-dependent utilities (RDU). We then derive a necessary and sufficient condition for Pareto optima to be no-betting allocations (i.e., deterministic allocations or full insurance allocations). This condition depends only on the probability weighting functions of the two agents and not on their (concave) utility o...
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作者：Maule, Rodrigo; Fadili, Jalal; Attouch, Hedy
作者单位：Universite de Caen Normandie; Centre National de la Recherche Scientifique (CNRS); Centre National de la Recherche Scientifique (CNRS); Universite de Montpellier
摘要：In this paper, we analyze the global and local behavior of gradient-like flows under stochastic errors toward the aim of solving convex optimization problems with noisy gradient input. We first study the unconstrained differentiable convex case, using a stochastic differential equation where the drift term is minus the gradient of the objective function and the diffusion term is either bounded or square-integrable. In this context, under Lipschitz continuity of the gradient, our first main res...
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作者：Dutting, Paul; Lattanzi, Silvio; Leme, Renato Paes; Vassilvitskii, Sergei
作者单位：Alphabet Inc.; Google Incorporated; Alphabet Inc.; Google Incorporated
摘要：The secretary problem is probably the purest model of decision making under uncertainty. In this paper, we ask which advice we can give the algorithm to improve its suc-cess probability. We propose a general model that unifies a broad range of problems: from the classic secretary problem with no advice to the variant where the quality of a secretary is drawn from a known distribution and the algorithm learns each candidate's quality on arrival, more modern versions of advice in the form of sam...
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作者：Amini, Hamed; Cao, Zhongyuan; Sulemb, Agnes
作者单位：State University System of Florida; University of Florida; Universite PSL; Universite Paris-Dauphine
摘要：We consider a general tractable model for default contagion and systemic risk in a heterogeneous financial network subjected to an exogenous macroeconomic shock. We show that under certain regularity assumptions, the default cascade model can be transformed into a death process problem represented by a balls-and-bins model. We state various limit theorems regarding the final size of default cascades. Under appropriate assumptions on the degree and threshold distributions, we prove that the fin...
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作者：Berahas, Albert S.; Curtis, Frank E.; O'Neill, Michael J.; Robinson, Daniel P.
作者单位：University of Michigan System; University of Michigan; Lehigh University; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
摘要：A sequential quadratic optimization algorithm is proposed for solving smooth nonlinear-equality-constrained optimization problems in which the objective function is defined by an expectation. The algorithmic structure of the proposed method is based on a step decomposition strategy that is known in the literature to be widely effective in practice, wherein each search direction is computed as the sum of a normal step (toward linearized feasibility) and a tangential step (toward objective decre...
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作者：von Stengel, Bernhard
作者单位：University of London; London School Economics & Political Science
摘要：The minimax theorem for zero-sum games is easily proved from the strong duality theorem of linear programming. For the converse direction, the standard proof by Dantzig is known to be incomplete. We explain and combine classical theorems about solv-ing linear equations with nonnegative variables to give a correct alternative proof more directly than Adler. We also extend Dantzig's game so that any max-min strategy gives either an optimal LP solution or shows that none exists
