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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：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：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：Awad, Hernan P.; Glynn, Peter W.; Rubinstein, Reuven Y.
作者单位：University of Miami; Stanford University; Technion Israel Institute of Technology
摘要：We consider the use of importance sampling to compute expectations of functionals of Markov processes. For a class of expectations that can be characterized as positive solutions to a linear system, we show there exists an importance measure that preserves the Markovian nature of the underlying process, and for which a zero-variance estimator can be constructed. The class of expectations considered includes expected infinite horizon discounted rewards as a particular case. In this setting, the...
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作者：d'Aspremont, Alexandre; El Karoui, Noureddine
作者单位：Institut Polytechnique de Paris; Ecole Polytechnique; University of California System; University of California Berkeley
摘要：We study a weaker formulation of the nullspace property which guarantees recovery of sparse signals from linear measurements by l(1) minimization We require this condition to hold only with high probability, given a distribution on the nullspace of the coding matrix A. Under some assumptions on the distribution of the reconstruction error, we show that testing these weak conditions means bounding the optimal value of two classical graph partitioning problems: the k-Dense-Subgraph and MaxCut pr...
