-
作者：Glasserman, Paul; Juneja, Sandeep
作者单位：Columbia University; Tata Institute of Fundamental Research (TIFR)
摘要：Successful efficient rare-event simulation typically involves using importance sampling tailored to a specific rare event. However, in applications one may be interested in simultaneous estimation of many probabilities or even an entire distribution. In this paper, we address this issue in a simple but fundamental setting. Specifically, we consider the problem of efficient estimation of the probabilities P(S-n >= na) for large n, for all a lying in an interval A, where S-n denotes the sum of n...
-
作者：Mandelbaum, Avishai; Momcilovic, Petar
作者单位：University of Michigan System; University of Michigan; Technion Israel Institute of Technology
摘要：We consider a first-come first-served multiserver queue in the Quality- and Efficiency-Driven ( QED) regime. In this regime, which was first formalized by Halfin and Whitt, the number of servers N is not small, servers' utilization is 1-O(1/root N) (Efficiency-Driven) while waiting time is O(1/root N) ( Quality- Driven). This is equivalent to having the number of servers N being approximately equal to R+beta root R, where R is the offered load and beta is a positive constant. For the G/D-K/N q...
-
作者：Reiman, Martin I.; Wang, Qiong
作者单位：Alcatel-Lucent
摘要：We consider a canonical revenue management problem in a network setting where the goal is to find a customer admission policy to maximize the total expected revenue over a fixed finite horizon. There is a set of resources, each of which has a fixed capacity. There are several customer classes, each with an associated arrival process, price, and resource consumption vector. If a customer is accepted, it effectively removes the resources that it consumes from the system. The exact solution canno...
-
作者：Caprara, Alberto
作者单位：University of Bologna
摘要：We consider the d-dimensional bin-packing problem, the most relevant generalization of classical bin packing, and show a general result about the asymptotic worst-case ratio of a wide class of approximation algorithms that construct solutions in d stages, containing many heuristics previously considered in the literature. Moreover, we give the exact value of the asymptotic worst-case ratio between the optimal solution and the best solution obtainable by packing the items in d stages, showing h...
-
作者：Montrucchio, Luigi; Semeraro, Patrizia
作者单位：Collegio Carlo Alberto; University of Turin; University of Turin
摘要：A definition of setwise differentiability for set functions is given through refining the partitions of sets. Such a construction is closely related to the one proposed by Rosenmuller [Rosenmuller, J. 1977. Extreme Games and Their Solutions. Springer-Verlag, Berlin], Epstein [Epstein, L. 1999. A definition of uncertainty aversion. Rev. Econom. Stud. 66 579-608], and Epstein and Marinacci [Epstein, L., M. Marinacci. 2001. The core of large differentiable TU games. J Econom. Theory 100 235-273]....
-
作者：Carmona, Rene; Dayanik, Savas
作者单位：Princeton University; Princeton University
摘要：Motivated by the analysis of financial instruments with multiple exercise rights of American type and mean reverting underlyers, we formulate and solve the optimal multiple-stopping problem for a general linear regular diffusion process and a general reward function. Instead of relying on specific properties of geometric Brownian motion and call and put option payoffs as in most of the existing literature, we use general theory of optimal stopping for diffusions, and we illustrate the resultin...
-
作者：Simsek, Alp; Ozdaglar, Asuman; Acemoglu, Daron
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：We provide an index formula for solutions of variational inequality problems defined by a continuously differentiable function F over a convex set At represented by a finite number of inequality constraints. Our index formula can be applied when the solutions are nonsingular and possibly degenerate, as long as they also satisfy the injective normal map (INM) property, which is implied by strong stability. We show that when the INM property holds, the degeneracy in a solution can be removed by ...
-
作者：Carrizosa, Emilio; Plastria, Frank
作者单位：University of Sevilla; Vrije Universiteit Brussel
摘要：One recently proposed criterion to separate two data sets in discriminant analysis is to use a hyperplane, which minimizes the sum of distances to it from all the misclassified data points. Here all distances are supposed to be measured by way of some fixed norm, while misclassification means lying in the wrong halfspace. In this paper we study the problem of determining such an optimal halfspace when points are distributed according to an arbitrary random vector X in R-d. In the unconstrained...
-
作者：Rockafellar, R. Tyrrell; Uryasev, Stan; Zabarankin, Michael
作者单位：University of Washington; University of Washington Seattle; State University System of Florida; University of Florida; Stevens Institute of Technology
摘要：A framework is set up in which linear regression, as a way of approximating a random variable by other random variables, can be carried out in a variety of ways, which, moreover, can be tuned to the needs of a particular model in finance, or operations research more broadly. Although the idea of adapting the form of regression to the circumstances at hand has already found advocates in promoting quantile regression as an alternative to classical least-squares approaches, it is carried here muc...
-
作者：Levi, Retsef; Lodi, Andrea; Sviridenko, Maxim
作者单位：Massachusetts Institute of Technology (MIT); University of Bologna; International Business Machines (IBM); IBM USA
摘要：We study the classical capacitated multi-item lot-sizing problem with hard capacities. There are N items, each of which has a specified sequence of demands over a finite planning horizon of T discrete periods; the demands are known in advance but can vary from period to period. All demands must be satisfied on time. Each order incurs a time-dependent fixed ordering cost regardless of the combination of items or the number of units ordered, but the total number of units ordered cannot exceed a ...
