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作者：Ciocan, Dragos Florin; Farias, Vivek
作者单位：Massachusetts Institute of Technology (MIT)
摘要：The present paper develops a simple, easy to interpret algorithm for a large class of dynamic allocation problems with unknown, volatile demand. Potential applications include ad display problems and network revenue management problems. The algorithm operates in an online fashion and relies on reoptimization and forecast updates. The algorithm is robust (as witnessed by uniform worst-case guarantees for arbitrarily volatile demand) and in the event that demand volatility (or equivalently devia...
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作者：Henrion, Rene; Moeller, Andris
作者单位：Leibniz Association; Weierstrass Institute for Applied Analysis & Stochastics
摘要：We provide an explicit gradient formula for linear chance constraints under a (possibly singular) multivariate Gaussian distribution. This formula allows one to reduce the calculus of gradients to the calculus of values of the same type of chance constraints (in smaller dimension and with different distribution parameters). This is an important aspect for the numerical solution of stochastic optimization problems because existing efficient codes for, e.g., calculating singular Gaussian distrib...
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作者：Sezer, Ali Devin; Haksoz, Cagn
作者单位：Middle East Technical University; Sabanci University
摘要：We consider a hypothetical company that is assumed to have just manufactured and sold a number of copies of a product. It is known that, with a small probability, the company has committed a manufacturing fault that will require a recall. The company is able to observe the expiration times of the sold items whose distribution depends on whether the fault is present or absent. At the expiration of each item, a public inspection takes place that may reveal the fault, if it exists. Based on this ...
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作者：Harks, Tobias; Klimm, Max
作者单位：Maastricht University; Technical University of Berlin
摘要：We study the existence of pure Nash equilibria in weighted congestion games. Let C denote a set of cost functions. We say that C is consistent if every weighted congestion game with cost functions in C possesses a pure Nash equilibrium. Our main contribution is a complete characterization of consistency of continuous cost functions. We prove that a set C of continuous functions is consistent for two-player games if and only if C contains only monotonic functions and for all nonconstant functio...
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作者：Bouchard, Bruno; Thanh Nam Vu
作者单位：Universite PSL; Universite Paris-Dauphine; Institut Polytechnique de Paris; ENSAE Paris
摘要：Within a Brownian diffusion Markovian framework, we provide a direct PDE characterization of the minimal initial endowment required so that the terminal wealth of a financial agent (possibly diminished by the payoff of a random claim) can match a set of constraints in probability. Such constraints should be interpreted as a rough description of a targeted profit and loss (P&L) distribution. This allows us to give a price to options under a P&L constraint, or to provide a description of the dis...
