-
作者：Blanchet, Jose; Chen, Xinyun
作者单位：Stanford University; Wuhan University
摘要：We provide the first perfect sampling algorithm for a generalized Jackson network of first-in, first-out queues under arbitrary topology and non-Markovian assumptions on the input of the network. We assume (in addition to stability) that the interarrival and service times of customers have a finite moment-generating function in a neighborhood of the origin, and the interarrival times have unbounded support.
-
作者：Dao, Minh N.; Phan, Hung M.
作者单位：University of Newcastle; University of Massachusetts System; University of Massachusetts Lowell
摘要：Projection algorithms are well known for their simplicity and flexibility in solving feasibility problems. They are particularly important in practice owing to minimal requirements for software implementation and maintenance. In this work, we study linear convergence of several projection algorithms for systems of finitely many closed sets. The results complement contemporary research on the same topic.
-
作者：Chen, Qi (George); Jasin, Stefanus; Duenyas, Izak
作者单位：University of London; London Business School; University of Michigan System; University of Michigan
摘要：We study a multiperiod network revenue management problem where a seller sells multiple products made from multiple resources with finite capacity in an environment where the underlying demand function is a priori unknown (in the nonparametric sense). The objective of the seller is to simultaneously learn the unknown demand function and dynamically price the products to minimize the expected revenue loss. For the problem where the number of selling periods and initial capacity are scaled by k ...
-
作者：Lacker, Daniel; Ramanan, Kavita
作者单位：Columbia University; Brown University
摘要：We study a static game played by a finite number of agents, in which agents are assigned independent and identically distributed random types and each agent minimizes its objective function by choosing from a set of admissible actions that depends on its type. The game is anonymous in the sense that the objective function of each agent depends on the actions of other agents only through the empirical distribution of their type-action pairs. We study the asymptotic behavior of Nash equilibria, ...
-
作者：Cohen, Asaf
作者单位：University of Haifa
摘要：We consider a multidimentional Brownian control problem (BCP) with model uncertainty that formally emerges from a multiclass M/M/1 queueing control problem under heavy traffic with model uncertainty. The BCP is formulated as a multidimensional stochastic differential game with two players: a minimizer who has an equivalent role to the decision maker in the queueing control problem and a maximizer whose role is to set up the uncertainty of the model. The dynamics are driven by a Brownian motion...
-
作者：Elie, Romuald; Mastrolia, Thibaut; Possamai, Dylan
作者单位：Universite Gustave-Eiffel; Institut Polytechnique de Paris; Ecole Polytechnique; Universite Paris Saclay; Columbia University
摘要：In this paper, we investigate a moral hazard problem in finite time with lump-sum and continuous payments, involving infinitely many agents with mean-field type interactions, hired by one principal. By reinterpreting the mean-field game faced by each agent in terms of a mean-field forward-backward stochastic differential equation (FBSDE), we are able to rewrite the principal's problem as a control problem of the McKean-Vlasov stochastic differential equations. We review one general approach to...
