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作者：Dayanik, Savas
作者单位：Princeton University; Princeton University
摘要：We propose a new solution method for optimal stopping problems with random discounting for linear diffusions whose state space has a combination of natural, absorbing, or reflecting boundaries. The method uses a concave characterization of excessive functions for linear diffusions killed at a rate determined by a Markov additive functional and reduces the original problem to an undiscounted optimal stopping problem for a standard Brownian motion. The latter can be solved essentially by inspect...
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作者：Aldous, David J.
作者单位：University of California System; University of California Berkeley
摘要：In a network where the cost of flow across an edge is nonlinear in the volume of flow, and where sources and destinations are uniform, one can consider the relationship between total volume of flow through the network and the minimum cost of any flow with given volume. Under a simple probability model (locally tree-like directed network, independent cost-volume functions for different edges) we show how to compute the minimum cost in the infinite-size limit. The argument uses a probabilistic r...
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作者：Levi, Retsef; Janakiraman, Ganesh; Nagarajan, Mahesh
作者单位：Massachusetts Institute of Technology (MIT); New York University; University of British Columbia
摘要：In this paper, we describe the first computationally efficient policies for stochastic inventory models with lost sales and replenishment lead times that admit worst-case performance guarantees. In particular, we introduce dual-balancing policies for lost-sales models that are conceptually similar to dual-balancing policies recently introduced for a broad class of inventory models in which demand is backlogged rather than lost. That is, in each period, we balance two opposing costs: the expect...
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作者：Dayanik, Savas; Goulding, Christian; Poor, H. Vincent
作者单位：Princeton University; Princeton University; Princeton University
摘要：Sequential change diagnosis is the joint problem of detection and identification of a sudden and unobservable change in the distribution of a random sequence. In this problem, the common probability law of a sequence of i.i.d. random variables suddenly changes at some disorder time to one of finitely many alternatives. This disorder time marks the start of a new regime, whose fingerprint is the new law of observations. Both the disorder time and the identity of the new regime are unknown and u...
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作者：Oriolo, Gianpaolo
作者单位：University of Rome Tor Vergata
摘要：A traffic matrix D-1 dominates a traffic matrix D-2 if any capacity reservation supporting D-1 supports D-2 as well. We prove that D-1 dominates D-2 if and only if D-1, considered as a capacity reservation, supports D-2. We show several generalizations of this result.
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作者：Mirman, Leonard J.; Ruble, Richard
作者单位：University of Virginia; emlyon business school
摘要：This paper explores and explains the application of the lattice theoretic approach to classic comparative statics in consumer theory. Through examples of preferences that are not quasiconcave, or not differentiable, or not continuous, the approach is shown to characterize income effects more powerfully than the standard approach. The underlying partial order is key to applying the method. Therefore, several adapted partial orders are introduced and discussed.
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作者：Einy, Ezra; Haimanko, Ori; Moreno, Diego; Shitovitz, Benyamin
作者单位：Hitotsubashi University; Ben-Gurion University of the Negev; Universidad Carlos III de Madrid; University of Haifa
摘要：We establish uniform continuity of the value for zero-sum games with differential information, when the distance between changing information fields of each player is measured by the Boylan pseudometric. We also show that the optimal strategy correspondence is upper semicontinuous when the information fields of players change ( even with the weak topology on players' strategy sets), and is approximately lower semicontinuous.
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作者：Ai, Wenbao; Huang, Yongwei; Zhang, Shuzhong
作者单位：Beijing University of Posts & Telecommunications; Chinese University of Hong Kong
摘要：In this paper we present a polynomial-time procedure to find a low-rank solution for a system of linear matrix inequalities (LMI). The existence of such a low-rank solution was shown in the work of Au-Yeung and Poon and the work of Barvinok. In the approach of Au-Yeung and Poon an earlier unpublished manuscript of Bohnenblust played an essential role. Both proofs in the work of Au-Yeung and Poon and that of Barvinok are nonconstructive in nature. The aim of this paper is to provide a polynomia...
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作者：Sun, Defeng; Sun, Jie
作者单位：National University of Singapore; National University of Singapore
摘要：We study analyticity, differentiability, and semismoothness of Lowner's operator and spectral functions under the framework of Euclidean Jordan algebras. In particular, we show that many optimization-related classical results in the symmetric matrix space can be generalized within this framework. For example, the metric projection operator over any symmetric cone defined in a Euclidean Jordan algebra is shown to be strongly semismooth. The research also raises several open questions, whose ans...
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作者：Ward, Amy R.; Kumar, Sunil
作者单位：University of Southern California; Stanford University
摘要：We consider a GI/GI/1 queue with impatient customers in heavy traffic. We use the solution of an approximating singular diffusion control problem to construct an admission control policy for the queue. The approximating control problem does not admit a so-called pathwise solution. Hence, the resulting admission control policy depends on second-moment data. We prove asymptotic optimality of the constructed policy using weak-convergence methods.
