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作者：Klein, Manuel
作者单位：INSEAD Business School
摘要：In a recent contribution to this journal, Decamps et al. [Decamps, J.-P., T. Mariotti, S. Villeneuve. 2005. Investment timing under incomplete information. Math. Oper. Res. 30(2) 472-500] analyze the decision of when to invest in a project whose value is perfectly observable but driven by a parameter that is unknown to the decision maker ex ante. Using filtering and martingale techniques, they find that (i) the decision maker always benefits from an uncertain drift relative to an average drift...
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作者：Litvak, Nelly; Ejov, Vladimir
作者单位：University of Twente; University of South Australia
摘要：We consider the Hamiltonian cycle problem (HCP) embedded in a controlled Markov decision process. In this setting, HCP reduces to an optimization problem on a set of Markov chains corresponding to a given graph. We prove that Hamiltonian cycles are minimizers for the trace of the fundamental matrix on a set of all stochastic transition matrices. In case of doubly stochastic matrices with symmetric linear perturbation, we show that Hamiltonian cycles minimize a diagonal element of a fundamental...
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作者：Ben-Tal, Aharon; Nemirovski, Arkadi
作者单位：Technion Israel Institute of Technology; University System of Georgia; Georgia Institute of Technology
摘要：In the paper we consider the chance-constrained version of an affinely perturbed linear matrix inequality (LMI) constraint, assuming the primitive perturbations to be independent with light-tail distributions (e.g., bounded or Gaussian). Constraints of this type, playing a central role in chance-constrained linear/conic quadratic/semidefinite programming, are typically computationally intractable. The goal of this paper is to develop a tractable approximation to these chance constraints. Our a...
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作者：Qi, Houduo
作者单位：University of Southampton
摘要：Recently, Chan and Sun [Chan, Z. X., D. Sun. Constraint nondegeneracy, strong regularity and nonsingularity in semidefinite programming. SIAM J. Optim. 19 370-376.] reported for semidefinite programming (SDP) that the primal/dual constraint nondegeneracy is equivalent to the dual/primal strong second order sufficient condition (SSOSC). This result is responsible for a number of important results in stability analysis of SDP. In this paper, we study duality of this type in nonlinear semidefinit...
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作者：Olszewski, Wojciech; Sandroni, Alvaro
作者单位：Northwestern University; University of Pennsylvania; Northwestern University
摘要：Theories can be produced by experts seeking a reputation for having knowledge. Hence, a tester could anticipate that theories may have been strategically produced by uninformed experts who want to pass an empirical test. We show that, with no restriction on the domain of permissible theories, strategic experts cannot be discredited for an arbitrary but given number of periods, no matter which test is used (provided that the test does not reject the actual data-generating process). Natural ways...
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作者：Conforti, Michele; Di Summa, Marco; Eisenbrand, Friedrich; Wolsey, Laurence A.
作者单位：University of Padua; Universite Catholique Louvain; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：We consider mixed-integer sets described by system of linear inequalities in which the constraint matrix A is totally unimodular; the right-hand side is arbitrary vector; and a subset of the variables is required to be integer. We show that the problem of checking nonemptiness of a set of this type is NP-complete, even in the case in which the linear system describes mixed-integer network flows with half-integral requirement on the nodes. This is in contrast to the case in which A is totally u...
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作者：Huh, Woonghee Tim; Rusmevichientong, Paat
作者单位：Columbia University; Cornell University
摘要：We study stochastic inventory planning with lost sales and instantaneous replenishment where, contrary to the classical inventory theory, knowledge of the demand distribution is not available. Furthermore, we observe only the sales quantity in each period and lost sales are unobservable, that is, demand data are censored. The manager must make an ordering decision in each period based only on historical sales data. Excess inventory is either perishable or carried over to the next period. In th...
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作者：Glazebrook, K. D.; Minty, R.
作者单位：Lancaster University
摘要：We generalise classical multiarmed bandits to allow for the distribution of a (fixed amount of a) divisible resource among the constituent bandits at each decision point. Bandit activation consumes amounts of the available resource, which may vary by bandit and state. Any collection of bandits may be activated at any decision epoch, provided they do not consume more resource than is available. We propose suitable bandit indices that reduce to those proposed by Gittins [Gittins, J. C. 1979. Ban...
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作者：Nascimento, Juliana M.; Powell, Warren B.
作者单位：Princeton University
摘要：We consider a multistage asset acquisition problem where assets are purchased now, at a price that varies randomly over time, to be used to satisfy a random demand at a particular point in time in the future. We provide a rare proof of convergence for an approximate dynamic programming algorithm using pure exploitation, where the states we visit depend on the decisions produced by solving the approximate problem. The resulting algorithm does not require knowing the probability distribution of ...
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作者：Randhawa, Ramandeep S.; Kumar, Sunil
作者单位：University of Texas System; University of Texas Austin; Stanford University
摘要：We study a multiserver loss system with two kinds of customers: subscribers and infrequent users. We model the infrequent users' requests for service by a Poisson process. However, noting that the Poisson process is unable to capture repeated interactions as well as retrials, we propose a Markovian on-off-hold model for the subscribers' requests for service that takes into account retrials by subscribers denied service. We analyze this system in an asymptotic regime where the number of subscri...
