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作者：Dayanik, Savas; Sezer, Semih Onur
作者单位：Princeton University; Princeton University
摘要：In the compound Poisson disorder problem, arrival rate and/or jump distribution of some compound Poisson process changes suddenly at some unknown and unobservable time. The problem is to detect the change (or disorder) time as quickly as possible. A sudden regime shift may require some countermeasures be taken promptly, and a quickest detection rule can help with those efforts. We describe complete solution of the compound Poisson disorder problem with several standard Bayesian risk measures. ...
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作者：Guerraggio, Angelo; Luc, Dinh The
作者单位：Bocconi University; Avignon Universite
摘要：We study maximal points in a locally convex space partially ordered by a convex cone with a bounded base. Properly maximal points are defined and compared with other concepts of efficiency. Existence and density theorems are given which unify and generalize several results known in recent literature. Particular attention is paid on properly maximal points in a product space which has an interesting application in obtaining a multiplier rule for convex set-valued problems in a general setting.
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作者：Bayraktar, Erhan; Dayanik, Savas
作者单位：University of Michigan System; University of Michigan; Princeton University
摘要：We solve the Poisson disorder problem when the delay is penalized exponentially. Our objective is to detect as quickly as possible the unobservable time of the change (or disorder) in the intensity of a Poisson process. The disorder time delimits two different regimes in which one employs distinct strategies (e.g., investment, advertising, manufacturing). We seek a stopping rule that minimizes the frequency of false alarms and an exponential (unlike previous formulations, which use a linear) c...
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作者：Gossner, O; Tomala, T
作者单位：Centre National de la Recherche Scientifique (CNRS); CNRS - Institute for Humanities & Social Sciences (INSHS); Universite PSL; Ecole Normale Superieure (ENS); Ecole des Hautes Etudes en Sciences Sociales (EHESS); Institut Polytechnique de Paris; Ecole des Ponts ParisTech; Northwestern University; Universite PSL; Universite Paris-Dauphine; Centre National de la Recherche Scientifique (CNRS)
摘要：Let (x(n))(n) be a process with values in a finite set X and law P, and let y(n) = f(x(n)) be a function of the process. At stage n, the conditional distribution p(n) = P(x(n) vertical bar x(1),..., x(n-1)), element of Pi = Delta(X), is the belief that a perfect observer, who observes the process online, holds on its realization at stage n. A statistician observing the signals y1,..., y(n) holds a belief e(n) = P(p(n) vertical bar x(1),..., x(n)) is an element of Delta(Pi) on the possible pred...
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作者：Bayraktar, Erhan; Horst, Ulrich; Sircar, Ronnie
作者单位：University of Michigan System; University of Michigan; University of British Columbia; Princeton University; Princeton University
摘要：We study the effect of investor inertia on stock price fluctuations with a market microstructure model comprising many small investors who are inactive most of the time. It turns out that semi-Markov processes are tailor made for modelling inert investors. With a suitable scaling, we show that when the price is driven by the market imbalance, the log price process is approximated by a process with long-range dependence and non-Gaussian returns distributions, driven by a fractional Brownian mot...
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作者：Benaim, Michel; Hofbauer, Josef; Sorin, Sylvain
作者单位：University of Neuchatel; University of London; University College London; University of Vienna; Sorbonne Universite
摘要：We apply the theoretical results on stochastic approximations and differential inclusions developed in Benaim et al. [M. Benaim, J. Hofbauer, S. Sorin. 2005. Stochastic approximations and differential inclusions. SIAM J. Control Optim. 44 328-348] to several adaptive processes used in game theory, including classical and generalized approachability, no-regret potential procedures (Hart and Mas-Colell [S. Hart, A. Mas-Colell. 2003. Regret-based continuous time dynamics. Games Econom. Behav. 45 ...
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作者：Sun, Defeng
作者单位：National University of Singapore
摘要：For a locally optimal solution to the nonlinear semidefinite programming problem, under Robinson's constraint qualification, the following conditions are proved to be equivalent: the strong second-order sufficient condition and constraint nondegeneracy; the nonsingularity of Clarke's Jacobian of the Karush-Kuhn-Tucker system; the strong regularity of the Karush-Kuhn-Tucker point; and others.
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作者：Plambeck, Erica L.; Ward, Amy R.
作者单位：Stanford University; University System of Georgia; Georgia Institute of Technology
摘要：We consider an assemble-to-order system with a high volume of prospective customers arriving per unit time. Our objective is to maximize expected infinite-horizon discounted profit by choosing product prices, component production capacities, and a dynamic policy for sequencing customer orders for assembly. We prove that a myopic discrete-review sequencing policy, which allocates scarce components among orders for different products to minimize instantaneous physical and financial holding costs...
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作者：Calvin, James M.; Nakayama, Marvin K.
作者单位：New Jersey Institute of Technology
摘要：We describe an extension procedure for constructing new standardized time series procedures from existing ones. The approach is based on averaging over sample paths obtained by permuting path segments. Analytical and empirical results indicate that permuting improves standardized time series methods. We compare permuting to an alternative extension procedure known as batching. We demonstrate the permuting method by applying it to estimators based on the maximum and the area of a normalized path.
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作者：Becchetti, L; Leonardi, S; Marchetti-Spaccamela, A; Schäfer, G; Vredeveld, T
作者单位：Sapienza University Rome; Technical University of Berlin; Maastricht University
摘要：In this paper, we introduce the notion of smoothed competitive analysis of online algorithms. Smoothed analysis has been proposed by Spielman and Teng [25] to explain the behavior of algorithms that work well in practice while performing very poorly from a worst-case analysis point of view. We apply this notion to analyze the multilevel feedback algorithm (MLF) to minimize the total flow time on a sequence of jobs released over time when the processing time of a job is only known at time of co...
