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作者：Caragiannis, Ioannis; Voudouris, Alexandros A.
作者单位：University of Patras; University of Oxford
摘要：We study the efficiency of mechanisms for allocating a divisible resource. Given scalar signals submitted by all users, such a mechanism decides the fraction of the resource that each user will receive and a payment that will be collected from her. Users are self-interested and aim to maximize their utility (defined as their value for the resource fraction they receive minus their payment). Starting with the seminal work of Johari and Tsitsiklis, a long list of papers studied the price of anar...
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作者：Chen, Boxiao; Chao, Xiuli; Shi, Cong
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; University of Michigan System; University of Michigan
摘要：We consider a joint pricing and inventory control problem in which the customer's response to selling price and the demand distribution are not known a priori. Unsatisfied demand is lost and unobserved, and the only available information for decision making is the observed sales data (also known as censored demand). Conventional approaches, such as stochastic approximation, online convex optimization, and continuum-armed bandit algorithms, cannot be employed, because neither the realized value...
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作者：Facchinei, Francisco; Kungurtsev, Vyacheslav; Lampariello, Lorenzo; Scutari, Gesualdo
作者单位：Sapienza University Rome; Czech Technical University Prague; Roma Tre University; Purdue University System; Purdue University
摘要：We consider nonconvex constrained optimization problems and propose a new approach to the convergence analysis based on penalty functions. We make use of classical penalty functions in an unconventional way, in that penalty functions only enter in the theoretical analysis of convergence while the algorithm itself is penalty free. Based on this idea, we are able to establish several new results, including the first general analysis for diminishing stepsize methods in nonconvex, constrained opti...
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作者：El Housni, Omar; Goyal, Vineet
作者单位：Columbia University
摘要：In this paper, we study the performance of affine policies for a two-stage, adjustable, robust optimization problem with a fixed recourse and an uncertain right-hand side belonging to a budgeted uncertainty set. This is an important class of uncertainty sets, widely used in practice, in which we can specify a budget on the adversarial deviations of the uncertain parameters from the nominal values to adjust the level of conservatism. The two-stage adjustable robust optimization problem is hard ...
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作者：Carmona, Rene; Wang, Peiqi
作者单位：Princeton University; Bank of America Corporation
摘要：We develop a probabilistic approach to continuous-time finite state mean field games. Based on an alternative description of continuous-time Markov chains by means of semimartingales and the weak formulation of stochastic optimal control, our approach not only allows us to tackle the mean field of states and the mean field of control at the same time, but also extends the strategy set of players from Markov strategies to closed-loop strategies. We show the existence and uniqueness of Nash equi...
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作者：Valizadeh, Mehrdad; Gohari, Amin
作者单位：Sharif University of Technology
摘要：We provide a new tool for simulation of a random variable (target source) from a randomness source with side information. Considering the total variation distance as the measure of precision, this tool offers an upper bound for the precision of simulation, which is vanishing exponentially in the difference of Renyi entropies of the randomness and target sources. This tool finds application in games in which the players wish to generate their actions (target source) as a function of a randomnes...
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作者：Light, Bar
作者单位：Stanford University
摘要：In multiperiod stochastic optimization problems, the future optimal decision is a random variable whose distribution depends on the parameters of the optimization problem. I analyze how the expected value of this random variable changes as a function of the dynamic optimization parameters in the context of Markov decision processes. I call this analysis stochastic comparative statics. I derive both comparative statics results and stochastic comparative statics results showing how the current a...
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作者：Lipshutz, David; Ramanan, Kavita
作者单位：Technion Israel Institute of Technology; Brown University
摘要：Reflected Brownian motion (RBM) in a convex polyhedral cone arises in a variety of applications ranging from the theory of stochastic networks to mathematical finance, and under general stability conditions, it has a unique stationary distribution. In such applications, to implement a stochastic optimization algorithm or quantify robustness of a model, it is useful to characterize the dependence of stationary performance measures on model parameters. In this paper, we characterize parametric s...
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作者：Babichenko, Yakov; Garber, Dan
作者单位：Technion Israel Institute of Technology
摘要：We consider the forecast aggregation problem in repeated settings where the forecasts are of a binary state of nature. In each period multiple experts provide forecasts about the state. The goal of the aggregator is to aggregate those forecasts into a subjective accurate forecast. We assume that the experts are Bayesian and the aggregator is non-Bayesian and ignorant of the information structure (i.e., the distribution over the signals) under which the experts make their forecasts. The aggrega...
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作者：Chen, Yi; Dong, Jing; Ni, Hao
作者单位：Northwestern University; Columbia University; University of London; University College London
摘要：Consider a fractional Brownian motion (fBM) B-H = {B-H(t) : t is an element of [0, 1]} with Hurst index H is an element of (0, 1). We construct a probability space supporting both B-H and a fully simulatable process (B) over cap (H)(epsilon) such that sup(t is an element of[0,1])vertical bar B-H(t) - (B) over cap (H)(epsilon)(t)vertical bar <= epsilon with probability one for any user-specified error bound epsilon > 0. When H > 1/2, we further enhance our error guarantee to the alpha-Holder no...
