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作者：Gamarnik, David; Goldberg, David A.; Weber, Theophane
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); University System of Georgia; Georgia Institute of Technology; Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：We consider a decision network on an undirected graph in which each node corresponds to a decision variable, and each node and edge of the graph is associated with a reward function whose value depends only on the variables of the corresponding nodes. The goal is to construct a decision vector that maximizes the total reward. This decision problem encompasses a variety of models, including maximum-likelihood inference in graphical models (Markov Random Fields), combinatorial optimization on gr...
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作者：Oksendal, Bernt; Sulem, Agnes; Zhang, Tusheng
作者单位：University of Oslo; Universite Gustave-Eiffel; University of Manchester
摘要：We consider general singular control problems for random fields given by a stochastic partial differential equation (SPDE). We show that under some conditions the optimal singular control can be identified with the solution of a coupled system of SPDE and a reflected backward SPDE (RBSPDE). As an illustration we apply the result to a singular optimal harvesting problem from a population whose density is modeled as a stochastic reaction-diffusion equation. Existence and uniqueness of solutions ...
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作者：Jonckheere, Matthieu; Lopez, Sergio
作者单位：Consejo Nacional de Investigaciones Cientificas y Tecnicas (CONICET); University of Buenos Aires; Universidad Nacional Autonoma de Mexico
摘要：We address a conjecture introduced by Massoulie [Massoulie L (2007) Structural properties of proportional fairness: Stability and insensitivity. Ann. Appl. Probab. 17(3):809-839], concerning the large deviations of the stationary measure of bandwidth-sharing networks functioning under the proportional fair allocation. For Markovian networks, we prove that proportional fair and an associated reversible allocation are geometrically ergodic and have the same large deviations characteristics using...
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作者：Gurvich, Itai; Huang, Junfei; Mandelbaum, Avishai
作者单位：Northwestern University; Chinese University of Hong Kong; Technion Israel Institute of Technology
摘要：We revisit many-server approximations for the well-studied Erlang-A queue. This is a system with a single pool of i.i.d. servers that serve one class of impatient i.i.d. customers. Arrivals follow a Poisson process and service times are exponentially distributed as are the customers' patience times. We propose a diffusion approximation that applies simultaneously to all existing many-server heavy-traffic regimes: quality and efficiency driven, efficiency driven, quality driven, and nondegenera...
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作者：Adelman, Daniel; Barz, Christiane
作者单位：University of Chicago; University of California System; University of California Los Angeles
摘要：We formulate the well-known economic lot scheduling problem (ELSP) with sequence-dependent setup times and costs as a semi-Markov decision process. Using an affine approximation of the bias function, we obtain a semi-infinite linear program determining a lower bound for the minimum average cost rate. Under a very mild condition, we can reduce this problem to a relatively small convex quadratically constrained linear problem by exploiting the structure of the objective function and the state sp...
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作者：Li, Chenxu
作者单位：Peking University
摘要：Enlightened by the theory of Watanabe [Watanabe S (1987) Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels. Ann. Probab. 15:1-39] for analyzing generalized random variables and its further development in Yoshida [Yoshida N (1992a) Asymptotic expansions for statistics related to small diffusions. J. Japan Statist. Soc. 22: 139-159], Takahashi [Takahashi A (1995) Essays on the valuation problems of contingent claims. Ph.D. thesis, Haas School of Business, U...
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作者：Mordukhovich, Boris S.; Nghia, T. T. A.
作者单位：Wayne State University
摘要：This paper is devoted to the study of general nonsmooth problems of cone-constrained optimization (or conic programming) important for various aspects of optimization theory and applications. Based on advanced constructions and techniques of variational analysis and generalized differentiation, we derive new necessary optimality conditions (in both exact and fuzzy forms) for nonsmooth conic programs, establish characterizations of well-posedness for cone-constrained systems, and develop new ap...
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作者：Van Foreest, Nicky D.; Wijngaard, Jacob
作者单位：University of Groningen
摘要：In this paper, we consider a single-item, one-machine production-inventory system with compound Poisson demand. The production facility may be on or off. While on, the production rate is constant, and, while off, the production rate is zero. System costs consist of switching costs and inventory and backlogging costs. We provide conditions when (s 1 S)-policies are optimal under the long-run average expected cost criterion. These conditions are met in particular, but not necessarily, when the i...
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作者：Schalekamp, Frans; Williamson, David P.; van Zuylen, Anke
作者单位：William & Mary; Cornell University
摘要：Determining the precise integrality gap for the subtour linear programming (LP) relaxation of the traveling salesman problem is a significant open question, with little progress made in thirty years in the general case of symmetric costs that obey triangle inequality. Boyd and Carr [Boyd S, Carr R (2011) Finding low cost TSP and 2-matching solutions using certain half-integer subtour vertices. Discrete Optim. 8:525-539. Prior version accessed June 27, 2011, http://www.site.uottawa.ca/(similar ...
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作者：Antoniadou, Elena; Mirman, Leonard J.; Ruble, Richard
作者单位：Australian National University; University of Virginia; emlyon business school; Centre National de la Recherche Scientifique (CNRS); Ecole Normale Superieure de Lyon (ENS de LYON); Universite Claude Bernard Lyon 1; Universite Jean Monnet; Universite Lyon 2; CNRS - Institute for Humanities & Social Sciences (INSHS)
摘要：We consider the consumer problem under uncertainty when the consumer can choose the quantity of a risk-free good and the lottery, or distribution, of a risky good from a set of distributions. These goods are imperfect substitutes in the consumer preferences, with additive preferences a special case. We develop sufficient conditions for the choice of the risky good to be monotone with respect to income, exploring different notions of monotonicity. The sufficient conditions are ordinal, independ...
