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作者：Alon, Noga; Feldman, Michal; Procaccia, Ariel D.; Tennenholtz, Moshe
作者单位：Microsoft; MICROSOFT ISRAEL; Tel Aviv University; Hebrew University of Jerusalem; Hebrew University of Jerusalem; Harvard University; Technion Israel Institute of Technology
摘要：We consider the problem of locating a facility on a network represented by a graph. A set of strategic agents have different ideal locations for the facility; the cost of an agent is the distance between its ideal location and the facility. A mechanism maps the locations reported by the agents to the location of the facility. We wish to design mechanisms that are strategyproof (SP) in the sense that agents can never benefit by lying and, at the same time, provide a small approximation ratio wi...
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作者：Faure, Mathieu; Roth, Gregory
作者单位：University of Neuchatel
摘要：A successful method to describe the asymptotic behavior of a discrete time stochastic process governed by some recursive formula is to relate it to the limit sets of a well-chosen mean differential equation. Under an attainability condition, Benaim proved that convergence to a given attractor of the flow induced by this dynamical system occurs with positive probability for a class of Robbins Monro algorithms. Benaim, Hofbauer, and Sorin generalised this approach for stochastic approximation al...
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作者：Seifried, Frank Thomas
作者单位：University of Kaiserslautern
摘要：We investigate the optimal portfolio problem under the threat of a financial market crash in a multidimensional jump-diffusion framework. We set up a nonprobabilistic crash model and consider an investor that seeks to maximize CRRA utility in the worst possible crash scenario. We recast the problem as a stochastic differential game; with the help of the fundamental notion of indifference strategies, we completely solve the portfolio problem using martingale arguments.
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作者：Bertsimas, Dimitris; Doan, Xuan Vinh; Natarajan, Karthik; Teo, Chung-Piaw
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); City University of Hong Kong; National University of Singapore
摘要：We propose a semidefinite optimization (SDP) model for the class of minimax two-stage stochastic linear optimization problems with risk aversion. The distribution of second-stage random variables belongs to a set of multivariate distributions with known first and second moments. For the minimax stochastic problem with random objective, we provide a tight SDP formulation. The problem with random right-hand side is NP-hard in general. In a special case, the problem can be solved in polynomial ti...
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作者：Conforti, Michele; Wolsey, Laurence A.; Zambelli, Giacomo
作者单位：University of Padua; Universite Catholique Louvain
摘要：We consider the mixed-integer version of bipartite vertex cover. This is equivalent to a mixed-integer network dual model, introduced recently, that generalizes several mixed-integer sets arising in production planning. We derive properties of inequalities that are valid for the convex hull of the mixed-integer bipartite covers by projecting an extended formulation onto the space of the original variables. This permits us to give a complete description of the facet-inducing inequalities of the...
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作者：Basu, Amitabh; Conforti, Michele; Cornuejols, Gerard; Zambelli, Giacomo
作者单位：Carnegie Mellon University; University of Padua
摘要：We consider a model that arises in integer programming and show that all irredundant inequalities are obtained from maximal lattice-free convex sets in an affine subspace. We also show that these sets are polyhedra. The latter result extends a theorem of Lovasz characterizing maximal lattice-free convex sets in R-n.
