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作者：Zanger, Daniel Z.
摘要：We establish error estimates for the Longstaff-Schwartz algorithm, employing just a single set of independent Monte Carlo sample paths that is reused for all exercise time steps. We obtain, within the context of financial derivative payoff functions bounded according to the uniform norm, new bounds on the stochastic part of the error of this algorithm for an approximation architecture that may be any arbitrary set of L-2 functions of finite Vapnik-Chervonenkis (VC) dimension whenever the algor...
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作者：Kim, Michael Jong
作者单位：University of British Columbia
摘要：Sequential Bayesian optimization constitutes an important and broad class of problems where model parameters are not known a priori but need to be learned over time using Bayesian updating. It is known that the solution to these problems can in principle be obtained by solving the Bayesian dynamic programming (BDP) equation. Although the BDP equation can be solved in certain special cases (for example, when posteriors have low-dimensional representations), solving this equation in general is c...
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作者：Calleja, Pedro; Llerena, Francesc; Sudholter, Peter
作者单位：University of Barcelona; Universitat Rovira i Virgili; Universitat Rovira i Virgili; University of Southern Denmark
摘要：A solution on a set of transferable utility (TU) games satisfies strong aggregate monotonicity (SAM) if every player can improve when the grand coalition becomes richer. It satisfies equal surplus division (ESD) if the solution allows the players to improve equally. We show that the set of weight systems generating weighted prenucleoli that satisfy SAM is open, which implies that for weight systems close enough to any regular system, the weighted prenucleolus satisfies SAM. We also provide a n...
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作者：Hong, Mingyi; Chang, Tsung-Hui; Wang, Xiangfeng; Razaviyayn, Meisam; Ma, Shiqian; Luo, Zhi-Quan
作者单位：University of Minnesota System; University of Minnesota Twin Cities; The Chinese University of Hong Kong, Shenzhen; Shenzhen Research Institute of Big Data; East China Normal University; University of Southern California; University of California System; University of California Davis
摘要：Consider the problem of minimizing the sum of a smooth convex function and a separable nonsmooth convex function subject to linear coupling constraints. Problems of this form arise in many contemporary applications, including signal processing, wireless networking, and smart grid provisioning. Motivated by the huge size of these applications, we propose a new class of first-order primal-dual algorithms called the block successive upper-bound minimization method of multipliers (BSUM-M) to solve...
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作者：Braverman, Anton
作者单位：Northwestern University
摘要：This paper studies the steady-state properties of the join-the-shortest-queue model in the Halfin-Whitt regime. We focus on the process tracking the number of idle servers and the number of servers with nonempty buffers. Recently, Eschenfeldt and Gamarnik proved that a scaled version of this process converges, over finite time intervals, to a two-dimensional diffusion limit as the number of servers goes to infinity. In this paper, we prove that the diffusion limit is exponentially ergodic and ...
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作者：Renault, Jerome; Ziliotto, Bruno
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Universite PSL; Universite Paris-Dauphine; Centre National de la Recherche Scientifique (CNRS)
摘要：We study the limit of equilibrium payoffs, as the discount factor goes to one, in non-zero-sum stochastic games. We first show that the set of stationary equilibrium payoffs always converges. We then provide two-player examples in which the whole set of equilibrium payoffs diverges. The construction is robust to perturbations of the payoffs and to the introduction of normal-form correlation.
