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作者：Burke, James, V; Engle, Abraham
作者单位：University of Washington; University of Washington Seattle
摘要：This work concerns the local convergence theory of Newton and quasi-Newton methods for convex composite optimization: where one minimizes an objective that can be written as the composition of a convex function with one that is continuiously differentiable. We focus on the case in which the convex function is a potentially infinite-valued piecewise linear-quadratic function. Such problems include nonlinear programming, minimax optimization, and estimation of nonlinear dynamics with non-Gaussia...
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作者：Aghajani, Reza; Ramanan, Kavita
作者单位：University of California System; University of California San Diego; Brown University
摘要：We consider the so-called GI/GI/N queue, in which a stream of jobs with independent and identically distributed service times arrive as a renewal process to a common queue that is served by N identical parallel servers in a first-come, first-served manner. We introduce a new representation for the state of the system and, under suitable conditions on the service and interarrival distributions, establish convergence of the corresponding sequence of centered and scaled stationary distributions i...
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作者：Li, Shi
作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY
摘要：We study the nonuniform capacitated multi-item lot-sizing problem. In this problem, there is a set of demands over a planning horizon of T discrete time periods, and all demands must be satisfied on time. We can place an order at the beginning of each period s, incurring an ordering cost K-s. In this order, we can order up to C-s units of products. On the other hand, carrying inventory from time to time incurs an inventory holding cost. The goal of the problem is to find a feasible solution th...
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作者：Pender, Jamol; Rand, Richard; Wesson, Elizabeth
作者单位：Cornell University; Cornell University; Cornell University
摘要：Many service systems provide queue length information to customers, thereby allowing customers to choose among many options of service. However, queue length information is often delayed, and it is often not provided in real time. Recent work by Dong et al. [Dong J, Yom-Tov E, Yom-Tov GB (2018) The impact of delay announcements on hospital network coordination and waiting times. Management Sci. 65(5):1969-1994.] explores the impact of these delays in an empirical study in U.S. hospitals. Work ...
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作者：Anselmi, Jonatha; Dufour, Francois
作者单位：Communaute Universite Grenoble Alpes; Institut National Polytechnique de Grenoble; Universite Grenoble Alpes (UGA); Centre National de la Recherche Scientifique (CNRS); Inria; Universite de Bordeaux
摘要：In multiserver distributed queueing systems, the access of stochastically arriving jobs to resources is often regulated by a dispatcher, also known as a load balancer. A fundamental problem consists in designing a load-balancing algorithm that minimizes the delays experienced by jobs. During the last two decades, the power-of-d-choice algorithm, based on the idea of dispatching each job to the least loaded server out of d servers randomly sampled at the arrival of the job itself, has emerged a...
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作者：Budhiraja, Amarjit; Johnson, Dane
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：We consider resource sharing networks of the form introduced in work of Massoulie and Roberts as models for Internet flows. The goal is to study the open problem, formulated in Harrison et al. (2014) [Harrison JM, Mandayam C, Shah D, Yang Y (2014) Resource sharing networks: Overview and an open problem. Stochastic Systems 4(2):524-555.], of constructing simple form rate-allocation policies for broad families of resource sharing networks with associated costs converging to the hierarchical gree...
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作者：Segal-Halevi, Erel; Nitzan, Shmuel; Hassidim, Avinatan; Aumann, Yonatan
作者单位：Ariel University; Bar Ilan University
摘要：Classic cake-cutting algorithms enable people with different preferences to divide among them a heterogeneous resource (cake) such that the resulting division is fair according to each agent's individual preferences. However, these algorithms either ignore the geometry of the resource altogether or assume it is one-dimensional. In practice, it is often required to divide multidimensional resources, such as land estates or advertisement spaces in print or electronic media. In such cases, the ge...
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作者：Capponi, Agostino; Sun, Xu; Yao, David D.
作者单位：Columbia University; State University System of Florida; University of Florida
摘要：We develop a dynamic model of interbank borrowing and lending activities in which banks are organized into clusters, and adjust their monetary reserve levels to meet prescribed capital requirements. Each bank has its own initial monetary reserve level and faces idiosyncratic risks characterized by an independent Brownian motion, whereas system wide, the banks form a hierarchical structure of clusters. We model the interbank transactional dynamics through a set of interacting measure-valued pro...
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作者：Wang, Ruodu; Wei, Yunran; Willmot, Gordon E.
作者单位：University of Waterloo
摘要：This article contains various results on a class of nonmonotone, law-invariant risk functionals called the signed Choquet integrals. A functional characterization via comonotonic additivity is established along with some theoretical properties, including six equivalent conditions for a signed Choquet integral to be convex. We proceed to address two practical issues currently popular in risk management, namely robustness (continuity) issues and risk aggregation with dependence uncertainty, for ...
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作者：Lehrer, Ehud; Shaiderman, Dimitry
作者单位：Tel Aviv University; INSEAD Business School
摘要：A sequence of random variables is exchangeable if the joint distribution of any finite subsequence is invariant to permutations. De Finetti's representation theorem states that every exchangeable infinite sequence is a convex combination of independent and identically distributed processes. In this paper, we explore the relationship between exchangeability and frequency-dependent posteriors. We show that any stationary process is exchangeable if and only if its posteriors depend only on the em...
