2期

最新文章

• Rescaling Algorithms for Linear Conic Feasibility AI翻译
  作者：Dadush, Daniel; Vegh, Laszlo A.; Zambelli, Giacomo
  作者单位：University of London; London School Economics & Political Science
  摘要：We propose simple polynomial-time algorithms for two linear conic feasibility problems. For a matrix A is an element of R-mxn, the kernel problem requires a positive vector in the kernel of A, and the image problem requires a positive vector in the image of A(T). Both algorithms iterate between simple first-order steps and resealing steps. These rescalings improve natural geometric potentials. If Goffin's condition measure rho(A) is negative, then the kernel problem is feasible, and the worst-...
• Synthesis and Generalization of Structural Results in Inventory Management: A Generalized Convexity Property AI翻译
  作者：Federgruen, Awi; Liu, Zhe; Lu, Lijian
  作者单位：Columbia University
  摘要：We address a general periodic review inventory control model with the simultaneous presence of the following complications: (a) bilateral inventory adjustment options, via procurement orders and salvage sales or returns to the supplier; (b) fixed costs associated with procurement orders and downward inventory adjustments (via salvage sales or returns); and (c) capacity limits associated with upward or downward inventory adjustments. We characterize the optimal adjustment strategy, both for fin...
• Primal-Dual Interior-Point Methods for Domain-Driven Formulations AI翻译
  作者：Karimi, Mehdi; Tuncel, Levent
  作者单位：University of Waterloo
  摘要：We study infeasible-start, primal-dual interior-point methods for convex optimization problems given in a typically natural form we denote as domain-driven formulations. Our algorithms extend many advantages of primal-dual interior-point techniques available for conic formulations, such as the current best complexity bounds, and more robust certificates of approximate optimality, unboundedness, and infeasibility, to domain-driven formulations. The complexity results are new for the infeasible-...
• Epi-Regularization of Risk Measures AI翻译
  作者：Kouri, Drew P.; Surowiec, Thomas M.
  作者单位：United States Department of Energy (DOE); Sandia National Laboratories; Philipps University Marburg
  摘要：Uncertainty pervades virtually every branch of science and engineering, and in many disciplines, the underlying phenomena can be modeled by partial differential equations (PDEs) with uncertain or random inputs. This work is motivated by risk-averse stochastic programming problems constrained by PDEs. These problems are posed in infinite dimensions, which leads to a significant increase in the scale of the (discretized ) problem. In order to handle the inherent nonsmoothness of, for example, co...
• A Verification Theorem for Threshold-Indexability of Real-State Discounted Restless Bandits AI翻译
  作者：Nino-Mora, Jose
  摘要：The Whittle index, which characterizes optimal policies for controlling certain single restless bandit projects (a Markov decision process with two actions: active and passive) is the basis for a widely used heuristic index policy for the intractable restless multiarmed bandit problem. Yet two roadblocks need to be overcome to apply such a policy: the individual projects in the model at hand must be shown to be indexable, so that they possess a Whittle index; and the index must be evaluated. S...
• Future Expectations Modeling, Random Coefficient Forward-Backward Stochastic Differential Equations, and Stochastic Viscosity Solutions AI翻译
  作者：Kartala, Xanthi-Isidora; Englezos, Nikolaos; Yannacopoulos, Athanasios N.
  作者单位：Athens University of Economics & Business; University of Piraeus; Athens University of Economics & Business
  摘要：In this paper we study a class of infinite horizon fully coupled forward-backward stochastic differential equations (FBSDEs) with random coefficients that are stimulated by various continuous time future expectations models. Under standard Lipschitz and monotonicity conditions and by means of the contraction mapping principle, we establish existence and uniqueness of an adapted solution, and we obtain results regarding the dependence of this solution on the data of the problem. Making further ...
• The Pareto Comparisons of a Group of Exponential Discounters AI翻译
  作者：Chambers, Christopher P.; Echenique, Federico
  作者单位：Georgetown University; California Institute of Technology
  摘要：Agents with different discount factors disagree about some intertemporal trade-offs, but they will also agree sometimes. We seek to understand precisely the nature of their agreements and disagreements. A group of agents is identified with a set of discount factors. We characterize the comparisons that a given interval of discount factors will agree on, including what all discount factors in the interval [0,1] will agree on. Our result is analogous to how all risk-averse and monotone agents ag...