2期

最新文章

• No-Arbitrage and Hedging with Liquid American Options AI翻译
  作者：Bayraktar, Erhan; Zhou, Zhou
  作者单位：University of Michigan System; University of Michigan; University of Sydney
  摘要：Since most of the traded options on individual stocks are of American type, it is of interest to generalize the results obtained in semistatic trading to the case when one is allowed to statically trade American options. However, this problem has proved to be elusive so far because of the asymmetric nature of the positions of holding versus shorting such options. Here, we provide a unified framework and generalize the fundamental theorem of asset pricing (FTAP) and hedging dualities in Bayrakt...
• A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs AI翻译
  作者：De Angelis, Tiziano; Ferrari, Giorgio; Moriarty, John
  作者单位：University of Leeds; University of Bielefeld; University of London; Queen Mary University London
  摘要：In this paper we provide a complete theoretical analysis of a two-dimensional degenerate nonconvex singular stochastic control problem. The optimisation is motivated by a storage-consumption model in an electricity market, and features a stochastic real-valued spot price modelled by Brownian motion. We find analytical expressions for the value function, the optimal control, and the boundaries of the action and inaction regions. The optimal policy is characterised in terms of two monotone and d...
• Quantifying Distributional Model Risk via Optimal Transport AI翻译
  作者：Blanchet, Jose; Murthy, Karthyek
  作者单位：Stanford University; Singapore University of Technology & Design
  摘要：This paper deals with the problem of quantifying the impact of model mis-specification when computing general expected values of interest. The methodology that we propose is applicable in great generality; in particular, we provide examples involving path-dependent expectations of stochastic processes. Our approach consists of computing bounds for the expectation of interest regardless of the probability measure used, as long as the measure lies within a prescribed tolerance measured in terms ...
• Explore First, Exploit Next: The True Shape of Regret in Bandit Problems AI翻译
  作者：Garivier, Aurelien; Menard, Pierre; Stoltz, Gilles
  作者单位：Universite de Toulouse; Universite Toulouse III - Paul Sabatier; Centre National de la Recherche Scientifique (CNRS); Hautes Etudes Commerciales (HEC) Paris; Centre National de la Recherche Scientifique (CNRS)
  摘要：We revisit lower bounds on the regret in the case of multiarmed bandit problems. We obtain nonasymptotic, distribution-dependent bounds and provide simple proofs based only on well-known properties of Kullback-Leibler divergences. These bounds show in particular that in the initial phase the regret grows almost linearly, and that the well-known logarithmic growth of the regret only holds in a final phase. The proof techniques come to the essence of the information-theoretic arguments used and ...
• Probabilistic Bisection Converges Almost as Quickly as Stochastic Approximation AI翻译
  作者：Frazier, Peter, I; Henderson, Shane G.; Waeber, Rolf
  作者单位：Cornell University
  摘要：The probabilistic bisection algorithm (PBA) solves a class of stochastic root-finding problems in one dimension by successively updating a prior belief on the location of the root based on noisy responses to queries at chosen points. The responses indicate the direction of the root from the queried point and are incorrect with a fixed probability. The fixed-probability assumption is problematic in applications, and so we extend the PBA to apply when this assumption is relaxed. The extension in...
• On the Control of Fork-Join Networks AI翻译
  作者：Ozkan, Erhun; Ward, Amy R.
  作者单位：University of Southern California
  摘要：Networks in which the processing of jobs occurs both sequentially and in parallel are prevalent in many application domains, such as computer systems, healthcare, manufacturing, and project management. The parallel processing of jobs gives rise to synchronization constraints that can be a main reason for job delay. In comparison with feed-forward queueing networks that have only sequential processing of jobs, the approximation and control of networks that have synchronization constraints is le...
• An Inverse Optimal Stopping Problem for Diffusion Processes AI翻译
  作者：Kruse, Thomas; Strack, Philipp
  作者单位：University of Duisburg Essen; University of California System; University of California Berkeley
  摘要：Let X be a one-dimensional diffusion and let g be a real-valued function depending on time and the value of X. This article analyzes the inverse optimal stopping problem of finding a time-dependent real-valued function pi depending only on time such that a given stopping time tau(star) is a solution of the stopping problem sup(tau) E[g(tau, X-tau) + pi(tau)]. Under regularity and monotonicity conditions, there exists such a transfer pi if and only if tau(star) is the first time when X exceeds ...
• Sampling-Based Approximation Schemes for Capacitated Stochastic Inventory Control Models AI翻译
  作者：Cheung, Wang Chi; Simchi-Levi, David
  作者单位：Agency for Science Technology & Research (A*STAR); A*STAR - Institute of High Performance Computing (IHPC); Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
  摘要：We study the classical multiperiod capacitated stochastic inventory control problems in a data-driven setting. Instead of assuming full knowledge of the demand distributions, we assume that the demand distributions can only be accessed through drawing random samples. Such data-driven models are ubiquitous in practice, where the cumulative distribution functions of the underlying random demand are either unavailable or too complex to work with. We consider the sample average approximation (SAA)...
• Approximation Algorithms for Dynamic Assortment Optimization Models AI翻译
  作者：Aouad, Ali; Levi, Retsef; Segev, Danny
  作者单位：University of London; London Business School; Massachusetts Institute of Technology (MIT); University of Haifa
  摘要：We consider the single-period joint assortment and inventory planning problem with stochastic demand and dynamic substitution across products, motivated by applications in highly differentiated markets, such as online retailing and airlines. This class of problems is known to be notoriously hard to deal with from a computational standpoint. In fact, prior to the present paper, only a handful of modeling approaches were shown to admit provably good algorithms, at the cost of strong restrictions...
• On the Nonergodic Convergence Rate of an Inexact Augmented Lagrangian Framework for Composite Convex Programming AI翻译
  作者：Liu, Ya-Feng; Liu, Xin; Ma, Shiqian
  作者单位：Chinese Academy of Sciences; Academy of Mathematics & System Sciences, CAS; Chinese Academy of Sciences; Academy of Mathematics & System Sciences, CAS; Chinese Academy of Sciences; University of Chinese Academy of Sciences, CAS; University of California System; University of California Davis
  摘要：In this paper, we consider the linearly constrained composite convex optimization problem, whose objective is a sum of a smooth function and a possibly nonsmooth function. We propose an inexact augmented Lagrangian (IAL) framework for solving the problem. The stopping criterion used in solving the augmented Lagrangian subproblem in the proposed IAL framework is weaker and potentially much easier to check than the one used in most of the existing IAL frameworks/methods. We analyze the global co...