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作者：Haskell, William B.; Jain, Rahul; Kalathil, Dileep
作者单位：National University of Singapore; University of Southern California; University of Southern California; University of Southern California; University of California System; University of California Berkeley
摘要：We propose empirical dynamic programming algorithms for Markov decision processes. In these algorithms, the exact expectation in the Bellman operator in classical value iteration is replaced by an empirical estimate to get empirical value iteration (EVI). Policy evaluation and policy improvement in classical policy iteration are also replaced by simulation to get empirical policy iteration (EPI). Thus, these empirical dynamic programming algorithms involve iteration of a random operator, the e...
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作者：Lu, Hongyuan; Pang, Guodong
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We study a fork-join network of stations with multiple servers and nonexchangeable synchronization in heavy traffic under the first-come-first-served (FCFS) discipline. Tasks are only synchronized if all the tasks associated with the same job are completed. Service times of parallel tasks of each job can be correlated. We jointly consider the number of tasks in each waiting buffer for synchronization with the number of tasks in each parallel service station and the number of synchronized jobs....
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作者：Sun, Hailin; Xu, Huifu
作者单位：Harbin Institute of Technology; Nanjing University of Science & Technology; University of Southampton
摘要：In this paper, we study distributionally robust optimization approaches for a one-stage stochastic minimization problem, where the true distribution of the underlying random variables is unknown but it is possible to construct a set of probability distributions, which contains the true distribution and optimal decision is taken on the basis of the worst-possible distribution from that set. We consider the case when the distributional set (which is also known as the ambiguity set) varies and it...
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作者：Pennanen, Teemu
作者单位：University of London; King's College London
摘要：In Pennanen [2] [Pennanen T (2011) Convex duality in stochastic optimization and mathematical finance. Math. Oper. Res. 36(2):340-362], Theorem 2.2 is not valid as stated. It omits certain integrability conditions that are needed in general. The additional conditions are satisfied in most of the applications given in Pennanen [2]. For the remaining ones, sufficient conditions are given below. The topological results in Section 5 remain unaffected. A corrected version is given.
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作者：Thai Doan Chuong; Do Sang Kim
作者单位：Saigon University; Pukyong National University
摘要：We introduce concepts of metric regularity and metric subregularity of a positive-order for an implicit multifunction and provide new sufficient conditions for the implicit multifunctions to achieve the addressed properties. The conditions provided are presented in terms of the Frechet/Mordukhovich coderivative of the corresponding parametric multifunction formulated the implicit multifunction. We show that such sufficient conditions are also necessary for the metric regularity/subregularity o...
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作者：Yoda, Kunikazu; Prekopa, Andras
作者单位：Rutgers University System; Rutgers University New Brunswick
摘要：In the multidimensional 0-1 knapsack problem, we are given a set of items, each with a value and multiple attributes, and we want to select a subset in such a way that the total value is maximized while the total quantity of each attribute satisfies a capacity constraint. In this paper, we assume that quantities of the item attributes are independent random variables such that those of the same attribute across different items follow the same type of probability distribution, not necessarily w...
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作者：Fusai, Gianluca; Kyriakou, Ioannis
作者单位：University of Eastern Piedmont Amedeo Avogadro; City St Georges, University of London
摘要：We propose an accurate method for pricing arithmetic Asian options on the discrete or continuous average in a general model setting by means of a lower bound approximation. In particular, we derive analytical expressions for the lower bound in the Fourier domain. This is then recovered by a single univariate inversion and sharpened using an optimization technique. In addition, we derive an upper bound to the error from the lower bound price approximation. Our proposed method can be applied to ...
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作者：Bolte, Jerome; Pauwels, Edouard
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Technion Israel Institute of Technology
摘要：In view of solving nonsmooth and nonconvex problems involving complex constraints (like standard NLP problems), we study general maximization-minimization procedures produced by families of strongly convex subproblems. Using techniques from semi-algebraic geometry and variational analysis-in particular Lojasiewicz inequality-we establish the convergence of sequences generated by these types of schemes to critical points. The broad applicability of this process is illustrated in the context of ...
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作者：Del Pia, Alberto; Hildebrand, Robert; Weismantel, Robert; Zemmer, Kevin
作者单位：University of Wisconsin System; University of Wisconsin Madison; University of Wisconsin System; University of Wisconsin Madison; Swiss Federal Institutes of Technology Domain; ETH Zurich
摘要：We complete the complexity classification by degree of minimizing a polynomial over the integer points in a polyhedron in a real vector space of dimension two. Previous work shows that optimizing a quadratic polynomial over the integer points in a polyhedral region in a real vector space of dimension two can be done in polynomial time, whereas optimizing a quartic polynomial in the same type of region is NP-hard. We close the gap by showing that this problem can be solved in polynomial time fo...
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作者：Dai, Min; Yang, Zhou; Zhang, Qing; Zhu, Qiji Jim
作者单位：National University of Singapore; National University of Singapore; South China Normal University; University System of Georgia; University of Georgia; Western Michigan University
摘要：This paper is concerned with the optimality of a trend following trading rule. The underlying market is modeled like a bull-bear switching market in which the drift of the stock price switches between two states:the uptrend (bull market) and the down trend (bear market). We consider the case when the market mode is not directly observable and model the switching process as a hidden Markov chain. This is a continuation of our earlier study reported in Dai et al. [Dai M, Zhang Q, Zhu Q (2010) Tr...
