-
作者：Levi, Retsef; Pal, Martin; Roundy, Robin O.; Shmoys, David B.
作者单位：Massachusetts Institute of Technology (MIT); Alphabet Inc.; Google Incorporated; Cornell University; Cornell University
摘要：We consider two classical stochastic inventory control models, the periodic-review stochastic inventory control problem and the stochastic lot-sizing problem. The goal is to coordinate a sequence of orders of a single commodity, aiming to supply stochastic demands over a discrete, finite horizon with minimum expected overall ordering, holding, and backlogging costs. In this paper, we address the important problem of finding computationally efficient and provably good inventory control policies...
-
作者：Guo, Xianping
作者单位：Sun Yat Sen University
摘要：This paper deals with continuous-time Markov decision processes in Polish spaces, under an expected discounted reward criterion. The transition rates of underlying continuous-time jump Markov processes are allowed to be unbounded, and the reward rates may have neither upper nor lower bounds. We first give conditions on the controlled system's primitive data. Under these conditions we prove that the transition functions of possibly nonhomogeneous continuous-time Markov processes are regular by ...
-
作者：Goldberg, Yair
作者单位：Hebrew University of Jerusalem
摘要：The minmax in repeated games with imperfect monitoring can differ from the minmax of those games with perfect monitoring when two or more players are able to gain common information known only to themselves, and utilize this information at a later stage. Gossner and Tomala showed that in a class of such games, the minmax is given by a weighted average of the payoffs of two main strategies: one in which the information is gained, and the other in which the information is utilized. However, all ...
-
作者：Xu, Huifu; Meng, Fanwen
作者单位：University of Southampton; National University of Singapore
摘要：In this paper we discuss the sample average approximation (SAA) method for a class of stochastic programs with nonsmooth equality constraints. We derive a uniform Strong Law of Large Numbers for random compact set-valued mappings and use it to investigate the convergence of Karush-Kuhn-Tucker points of SAA programs as the sample size increases. We also study the exponential convergence of global minimizers of the SAA problems to their counterparts of the true problem. The convergence analysis ...
-
作者：Ruszczynski, Andrzej; Shapiro, Alexander
作者单位：Rutgers University System; Rutgers University New Brunswick; University System of Georgia; Georgia Institute of Technology
-
作者：Carassus, Laurence; Rasonyi, Miklos
作者单位：Universite Paris Cite; Hungarian Academy of Sciences; HUN-REN; HUN-REN Institute for Computer Science & Control
摘要：A discrete-time financial market model is considered with a sequence of investors whose preferences are described by their utility functions U-n, defined on the whole real line and assumed to be strictly concave and increasing. Under suitable hypotheses, it is shown that whenever U-n tends to another utility function U-infinity the respective optimal strategies converge, too. Under additional assumptions the rate of convergence is estimated. We also establish the continuity of the fair price o...
-
作者：Cheevaprawatdomrong, Torpong; Schochetman, Irwin E.; Smith, Robert L.; Garcia, Alfredo
作者单位：Oakland University; University of Michigan System; University of Michigan; University of Virginia
摘要：We consider a nonhomogeneous infinite-horizon Markov Decision Process (MDP) problem with multiple optimal first-period policies. We seek an algorithm that, given finite data, delivers an optimal first-period policy. Such an algorithm can thus recursively generate, within a rolling-horizon procedure, an infinite-horizon optimal solution to the original problem. However, it can happen that no such algorithm exists, i.e., the MDP is not well posed. Equivalently, it is impossible to solve the prob...
-
作者：Naddef, Denis; Rinaldi, Giovanni
作者单位：Communaute Universite Grenoble Alpes; Institut National Polytechnique de Grenoble; Universite Grenoble Alpes (UGA); Centre National de la Recherche Scientifique (CNRS); Consiglio Nazionale delle Ricerche (CNR); Istituto di Analisi dei Sistemi ed Informatica Antonio Ruberti (IASI-CNR)
摘要：The path, the wheelbarrow, and the bicycle inequalities have been shown by Cornuejols, Fonlupt, and Naddef to be facet-defining for the graphical relaxation of STSP(n), the polytope of the symmetric traveling salesman problem on an n-node complete graph. We show that these inequalities, and some generalizations of them, define facets also for STSP(n). In conclusion, we characterize a large family of facet-defining inequalities for STSP(n) that include, as special cases, most of the inequalitie...
-
作者：Jofre, Alejandro; Rockafellar, R. Terry; Wets, Roger J-B.
作者单位：Universidad de Chile; Universidad de Chile; University of Washington; University of Washington Seattle; University of California System; University of California Davis
摘要：Variational inequality representations are set up for a general Walrasian model of consumption and production with trading in a market. The variational inequalities are of functional rather than geometric type and therefore are able to accommodate a wider range of utility functions than has been covered satisfactorily in the past. They incorporate Lagrange multipliers for budget constraints, which are shown to lead to an enhanced equilibrium framework with features of collective optimization. ...
-
作者：Huang, Yongwei; Zhang, Shuzhong
作者单位：Chinese University of Hong Kong
摘要：This paper studies the possibilities of the linear matrix inequality characterization of the matrix cones formed by nonnegative complex Hermitian quadratic functions over specific domains in the complex space. In its real-case analog, such studies were conducted in Sturm and Zhang [Sturm, J. F., S. Zhang. 2003. On cones of nonnegative quadratic functions. Math. Oper Res. 28 246-267]. In this paper it is shown that stronger results can be obtained for the complex Hermitian case. In particular, ...
