4期

最新文章

• Random Projections for Linear Programming AI翻译
  作者：Vu, Ky; Poirion, Pierre-Louis; Liberti, Leo
  作者单位：Chinese University of Hong Kong; Huawei Technologies; Institut Polytechnique de Paris; Ecole Polytechnique
  摘要：Random projections are random linear maps, sampled from appropriate distributions, which approximately preserve certain geometrical invariants so that the approximation improves as the dimension of the space grows. The well known Johnson-Lindenstrauss lemma states that there are random matrices with surprisingly few rows which approximately preserve pairwise Euclidean distances among a set of points. This is commonly used to speed up algorithms based on Euclidean distances. We prove that these...
• Comparison of Lasserre's Measure-Based Bounds for Polynomial Optimization to Bounds Obtained by Simulated Annealing AI翻译
  作者：De Klerk, Etienne; Laurent, Monique
  作者单位：Tilburg University; Delft University of Technology
  摘要：We consider the problem of minimizing a continuous function f over a compact set K. We compare the hierarchy of upper bounds proposed by Lasserre [Lasserre JB (2011) A new look at nonnegativity on closed sets and polynomial optimization. SIAM J. Optim. 21(3): 864-885] to bounds that may be obtained from simulated annealing. We show that, when f is a polynomial and K a convex body, this comparison yields a faster rate of convergence of the Lasserre hierarchy than what was previously known in th...
• Optimality Conditions for Problems over Symmetric Cones and a Simple Augmented Lagrangian Method AI翻译
  作者：Lourenco, Bruno F.; Fukuda, Ellen H.; Fukushima, Masao
  作者单位：University of Tokyo; Kyoto University
  摘要：In this work, we are interested in nonlinear symmetric cone problems (NSCPs), which contain as special cases nonlinear semidefinite programming, nonlinear second-order cone programming, and the classical nonlinear programming problems. We explore the possibility of reformulating NSCPs as common nonlinear programs (NLPs), with the aid of squared slack variables. Through this connection, we show how to obtain second-order optimality conditions for NSCPs in an easy manner, thus bypassing a number...
• Optimal Consumption and Portfolio Selection with Early Retirement Option AI翻译
  作者：Yang, Zhou; Koo, Hyeng Keun
  作者单位：South China Normal University; Ajou University
  摘要：In this paper we propose an approach to investigate a model of consumption and investment with a mandatory retirement date and early retirement option; we analyze properties of the optimal strategy and thereby contribute to understanding the interaction between retirement, consumption, and portfolio decisions in the presence of both the important features of retirement. In particular, we provide a characterization of the threshold of wealth as a function of time, and we show that it is strictl...
• Sample Path Large Deviations for Stochastic Evolutionary Game Dynamics AI翻译
  作者：Sandholm, William H.; Staudigl, Mathias
  作者单位：University of Wisconsin System; University of Wisconsin Madison; Maastricht University
  摘要：We study a model of stochastic evolutionary game dynamics in which the probabilities that agents choose suboptimal actions are dependent on payoff consequences. We prove a sample path large deviation principle, characterizing the rate of decay of the probability that the sample path of the evolutionary process lies in a prespecified set as the population size approaches infinity. We use these results to describe excursion rates and stationary distribution asymptotics in settings where the mean...
• A Single-Phase, Proximal Path-Following Framework AI翻译
  作者：Quoc Tran-Dinh; Kyrillidis, Anastasios; Cevher, Volkan
  作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; Rice University; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
  摘要：We propose a new proximal path-following framework for a class of constrained convex problems. We consider settings where the nonlinear-and possibly nonsmooth-objective part is endowed with a proximity operator, and the constraint set is equipped with a self-concordant barrier. Our approach relies on the following two main ideas. First, we reparameterize the optimality condition as an auxiliary problem, such that a good initial point is available; by doing so, a family of alternative paths tow...
• Sparse Recovery via Partial Regularization: Models, Theory, and Algorithms AI翻译
  作者：Lu, Zhaosong; Li, Xiaorui
  作者单位：Simon Fraser University
  摘要：In the context of sparse recovery, it is known that most of the existing regularizers such as l(1) suffer from some bias incurred by some leading entries (in magnitude) of the associated vector. To neutralize this bias, we propose a class of models with partial regularizers for recovering a sparse solution of a linear system. We show that every local minimizer of these models is substantially sparse or the magnitude of all of its nonzero entries is above a uniform constant depending only on th...
• Segmentation, Incentives, and Privacy AI翻译
  作者：Nissim, Kobbi; Smorodinsky, Rann; Tennenholtz, Moshe
  作者单位：Georgetown University; Technion Israel Institute of Technology
  摘要：Data-driven segmentation is the powerhouse behind the success of online advertising. Various underlying challenges for successful segmentation have been studied by the academic community, with one notable exception-consumers' incentives have been typically ignored. This lacuna is troubling, as consumers have much control over the data being collected. Missing or manipulated data could lead to inferior segmentation. The current work proposes a model of prior-free segmentation, inspired by model...
• The Periodic Joint Replenishment Problem Is Strongly NP-Hard AI翻译
  作者：Cohen-Hillel, Tamar; Yedidsion, Liron
  作者单位：Technion Israel Institute of Technology
  摘要：In this paper, we study the long-standing open question regarding the computational complexity of one of the core problems in supply chains management, the periodic joint replenishment problem. This problem has received a lot of attention over the years, and many heuristic and approximation algorithms have been suggested. However, in spite of the vast effort, the complexity of the problem remains unresolved. In this paper, we provide a proof that the problem is indeed strongly NP-hard.
• Optimal Stopping Under Uncertainty in Drift and Jump Intensity AI翻译
  作者：Kraetschmer, Volker; Ladkau, Marcel; Laeven, Roger J. A.; Schoenmakers, John G. M.; Stadjed, Mitja
  作者单位：University of Duisburg Essen; Leibniz Association; Weierstrass Institute for Applied Analysis & Stochastics; University of Amsterdam; Ulm University; Ulm University
  摘要：This paper studies the optimal stopping problem in the presence of model uncertainty (ambiguity). We develop a numerically implementable method to solve this problem in a general setting, allowing for general time-consistent ambiguity-averse preferences and general payoff processes driven by jump diffusions. Our method consists of three steps. First, we construct a suitable Doob martingale associated with the solution to the optimal stopping problem using backward stochastic calculus. Second, ...