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作者：Cohen, Asaf; Solan, Eilon
作者单位：Tel Aviv University
摘要：Bandit problems model the trade-off between exploration and exploitation in various decision problems. We study two-armed bandit problems in continuous time, where the risky arm can have two types: High or Low; both types yield stochastic payoffs generated by a Levy process. We show that the optimal strategy is a cut-off strategy and we provide an explicit expression for the cut-off and for the optimal payoff.
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作者：Hoshino, Richard; Kawarabayashi, Ken-ichi
作者单位：Research Organization of Information & Systems (ROIS); National Institute of Informatics (NII) - Japan; Japan Science & Technology Agency (JST)
摘要：The bipartite traveling tournament problem (BTTP) is an NP-complete scheduling problem whose solution is a double round-robin inter-league tournament with minimum total travel distance. The 2n-team BTTP is a variant of the well-known traveling salesman problem (TSP), albeit much harder as it involves the simultaneous coordination of 2n teams playing a sequence of home and away games under fixed constraints, rather than a single entity passing through the locations corresponding to the teams' h...
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作者：Gouveia, Joao; Parrilo, Pablo A.; Thomas, Rekha R.
作者单位：Universidade de Coimbra; Massachusetts Institute of Technology (MIT); University of Washington; University of Washington Seattle
摘要：In this paper, we address the basic geometric question of when a given convex set is the image under a linear map of an affine slice of a given closed convex cone. Such a representation or lift of the convex set is especially useful if the cone admits an efficient algorithm for linear optimization over its affine slices. We show that the existence of a lift of a convex set to a cone is equivalent to the existence of a factorization of an operator associated to the set and its polar via element...
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作者：Wang, C. Y.; Yang, X. Q.; Yang, X. M.
作者单位：Qufu Normal University; Hong Kong Polytechnic University; Chongqing Normal University
摘要：In this paper, a unified framework of a nonlinear augmented Lagrangian dual problem is investigated for the primal problem of minimizing an extended real-valued function by virtue of a nonlinear augmenting penalty function. Our framework is more general than the ones in the literature in the sense that our nonlinear augmenting penalty function is defined on an open set and that our assumptions are presented in terms of a substitution of the dual variable, so our scheme includes barrier penalty...
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作者：Laeven, Roger J. A.; Stadje, Mitja
作者单位：University of Amsterdam; Tilburg University
摘要：We introduce two subclasses of convex measures of risk, referred to as entropy coherent and entropy convex measures a risk. Entropy coherent and entropy convex measures of risk are special cases of phi-coherent and phi-convex measures of risk. Contrary to the classical use of coherent and convex measures of risk, which for a given probabilistic model entails evaluating a financial position by considering its expected loss, phi-coherent and phi-convex measures of risk evaluate a financial posit...
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作者：Acemoglu, Daron; Como, Giacomo; Fagnani, Fabio; Ozdaglar, Asuman
作者单位：Massachusetts Institute of Technology (MIT); Lund University; Polytechnic University of Turin; Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：We study a tractable opinion dynamics model that generates long-run disagreements and persistent opinion fluctuations. Our model involves an inhomogeneous stochastic gossip process of continuous opinion dynamics in a society consisting of two types of agents: (1) regular agents who update their beliefs according to information that they receive from their social neighbors and (2) stubborn agents who never update their opinions and might represent leaders, political parties, or media sources at...
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作者：Ghamami, Samim; Ward, Amy R.
作者单位：University of California System; University of California Berkeley; University of Southern California
摘要：We consider a dynamic control problem for a parallel server system commonly known as the N-system. An N-system is a two-server parallel server system with two job classes, one server that can serve both classes, and one server that can only serve one class. We assume that jobs within each class arrive according to a renewal process. The random service time of a job has a general distribution that may depend on both the job's class and the server providing the service. Each job independently re...
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作者：Perry, Ohad; Whitt, Ward
作者单位：Northwestern University; Columbia University
摘要：We prove a many-server heavy-traffic fluid limit for an overloaded Markovian queueing system having two customer classes and two service pools, known in the call-center literature as the X model. The system uses the fixed-queue-ratio-with-thresholds (FQR-T) control, which we proposed in a recent paper as a way for one service system to help another in face of an unexpected overload. Under FQR-T, customers are served by their own service pool until a threshold is exceeded. Then, one-way sharing...
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作者：Klep, Igor; Schweighofer, Markus
作者单位：University of Auckland; University of Konstanz
摘要：Farkas' lemma is a fundamental result from linear programming providing linear certificates for infeasibility of systems of linear inequalities. In semidefinite programming, such linear certificates only exist for strongly infeasible linear matrix inequalities. We provide nonlinear algebraic certificates for all infeasible linear matrix inequalities in the spirit of real algebraic geometry: A linear matrix inequality A(x)>= 0 is infeasible if and only if -1 lies in the quadratic module associa...
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作者：Chen, Nan; Huang, Zhengyu
作者单位：Chinese University of Hong Kong
摘要：Generating sample paths of stochastic differential equations (SDE) using the Monte Carlo method finds wide applications in financial engineering. Discretization is a popular approximate approach to generating those paths: it is easy to implement but prone to simulation bias. This paper presents a new simulation scheme to exactly generate samples for SDEs. The key observation is that the law of a general SDE can be decomposed into a product of the law of standard Brownian motion and the law of ...
