2021

最新文章

• On Optimality Conditions for Nonlinear Conic Programming AI翻译
  作者：Andreani, Roberto; Gomez, Walter; Haeser, Gabriel; Mito, Leonardo M.; Ramos, Alberto
  作者单位：Universidade Estadual de Campinas; Universidad de La Frontera; Universidade de Sao Paulo; Universidade Federal do Parana
  摘要：Sequential optimality conditions play a major role in proving stronger global convergence results of numerical algorithms for nonlinear programming. Several extensions are described in conic contexts, in which many open questions have arisen. In this paper, we present new sequential optimality conditions in the context of a general nonlinear conic framework, which explains and improves several known results for specific cases, such as semidefinite programming, second-order cone programming, an...
• On Uniform Exponential Ergodicity of Markovian Multiclass Many-Server Queues in the Halfin-Whitt Regime AI翻译
  作者：Arapostathis, Ari; Hmedi, Hassan; Pang, Guodong
  作者单位：University of Texas System; University of Texas Austin; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
  摘要：We study ergodic properties of Markovian multiclass many-server queues that are uniform over scheduling policies and the size of the system. The system is heavily loaded in the Halfin-Whitt regime, and the scheduling policies are work conserving and preemptive. We provide a unified approach via a Lyapunov function method that establishes Foster-Lyapunov equations for both the limiting diffusion and the prelimit diffusion-scaled queuing processes simultaneously. We first study the limiting cont...
• Active-Set Newton Methods and Partial Smoothness AI翻译
  作者：Lewis, Adrian S.; Wylie, Calvin
  作者单位：Cornell University
  摘要：Diverse optimization algorithms correctly identify, in finite time, intrinsic constraints that must be active at optimality. Analogous behavior extends beyond optimization to systems involving partly smooth operators, and in particular to variational inequalities over partly smooth sets. As in classical nonlinear programming, such active-set structure underlies the design of accelerated local algorithms of Newton type. We formalize this idea in broad generality as a simple linearization scheme...
• Unanimous and Strategy-Proof Probabilistic Rules for Single-Peaked Preference Profiles on Graphs AI翻译
  作者：Peters, Hans; Roy, Souvik; Sadhukhan, Soumyarup
  作者单位：Maastricht University; Indian Statistical Institute; Indian Statistical Institute Kolkata
  摘要：Finitely many agents have preferences on a finite set of alternatives, single-peaked with respect to a connected graph with these alternatives as vertices. A probabilistic rule assigns to each preference profile a probability distribution over the alternatives. First, all unanimous and strategy-proof probabilistic rules are characterized when the graph is a tree. These rules are uniquely determined by their outcomes at those preference profiles at which all peaks are on leaves of the tree and,...
• Consumption Smoothing and Discounting in Infinite-Horizon, Discrete-Choice Problems AI翻译
  作者：Kettering, Jeremy; Kochov, Asen
  作者单位：University of Rochester
  摘要：Suppose the consumption space is discrete. Our first contribution is a technical result showing that any continuous utility function of any stationary preference relation over infinite consumption streams has convex range, provided that the agent is sufficiently patient. Putting the result to use, we consider a model of endogenous discounting (a generalization of the standard model with geometric discounting) and show the uniqueness of the consumption-dependent discount factor as well as the c...
• Asymptotic Properties of Stationary Solutions of Coupled Nonconvex Nonsmooth Empirical Risk Minimization AI翻译
  作者：Qi, Zhengling; Cui, Ying; Liu, Yufeng; Pang, Jong-Shi
  作者单位：George Washington University; University of Minnesota System; University of Minnesota Twin Cities; University of North Carolina; University of North Carolina Chapel Hill; University of Southern California
  摘要：This paper has two main goals: (a) establish several statistical properties-con-sistency, asymptotic distributions, and convergence rates-of stationary solutions and values of a class of coupled nonconvex and nonsmooth empirical risk-minimization problems and (b) validate these properties by a noisy amplitude-based phase-retrieval problem, the latter being of much topical interest. Derived from available data via sampling, these empirical risk-minimization problems are the computational workho...
• Minimal and Locally Edge Minimal Fluid Models for Resource-Sharing Networks AI翻译
  作者：Kruk, Lukasz
  作者单位：Maria Curie-Sklodowska University
  摘要：We investigate minimal and locally edge minimal fluid models for real-time resource-sharing networks, which are natural counterparts of pathwise minimal and locally edge minimal performance processes for the corresponding real-time stochastic systems. The models under study arise as optimizers of appropriate idleness-based criteria within a suitable family of fluid models for a given resource-sharing network. The class of minimal fluid models is fairly general, corresponding to efficient servi...
• Shapley-Snow Kernels, Multiparameter Eigenvalue Problems, and Stochastic Games AI翻译
  作者：Attia, Luc; Oliu-Barton, Miquel
  作者单位：Universite PSL; Universite Paris-Dauphine; Centre National de la Recherche Scientifique (CNRS)
  摘要：We propose a connection between matrix games, finite zero-sum stochastic games (henceforth stochastic games) and multiparameter eigenvalue problems. From this connection, we derive a handful of new results for stochastic games.
• Affine Storage and Insurance Risk Models AI翻译
  作者：Boxma, Onno; Mandjes, Michel
  作者单位：Eindhoven University of Technology; University of Amsterdam
  摘要：The aim of this paper is to analyze a general class of storage processes, in which the rate at which the storage level increases or decreases is assumed to be an affine function of the current storage level, and, in addition, both upward and downward jumps are allowed. To do so, we first focus on a related insurance risk model, for which we determine the ruin probability at an exponentially distributed epoch jointly with the corresponding undershoot and overshoot, given that the capital level ...
• Optimal Policy for Dynamic Assortment Planning Under Multinomial Logit Models AI翻译
  作者：Chen, Xi; Wang, Yining; Zhou, Yuan
  作者单位：New York University; State University System of Florida; University of Florida; University of Illinois System; University of Illinois Urbana-Champaign
  摘要：We study the dynamic assortment planning problem, where for each arriving customer, the seller offers an assortment of substitutable products and the customer makes the purchase among offered products according to an uncapacitated multinomial logit (MNL) model. Because all the utility parameters of theMNLmodel are unknown, the seller needs to simultaneously learn customers' choice behavior and make dynamic decisions on assortments based on the current knowledge. The goal of the seller is to ma...