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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：de Farias, Daniela Pucci; Van Roy, Benjamin
作者单位：Massachusetts Institute of Technology (MIT); Stanford University; Stanford University
摘要：We introduce a new algorithm based on linear programming for optimization of average-cost Markov decision processes (MDPs). The algorithm approximates the differential cost function of a perturbed MDP via a linear combination of basis functions. We establish a bound on the performance of the resulting policy that scales gracefully with the number of states without imposing the strong Lyapunov condition required by its counterpart in de Farias and Van Roy (de Farias, D. R, B. Van Roy. 2003. The...
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作者：Arutyunov, Aram K.; Izmailov, Alexey F.
作者单位：Peoples Friendship University of Russia; Lomonosov Moscow State University
摘要：We develop a new regularity concept, unifying metric regularity, Robinson's constraint qualification, and directional regularity. We present the directional stability theorem and the related concept of directional metric regularity. On one hand, our directional stability theorem immediately implies Robinson's stability theorem [Arutyunov, A. V 2005. Covering of nonlinear maps on cone in neighborhood of abnormal point. Math. Notes 77 447-460.] as a particular case, while on the other hand, our ...
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作者：Cesa-Bianchi, Nicolo; Lugosi, Gabor; Stoltz, Gilles
作者单位：University of Milan; Pompeu Fabra University; ICREA; Pompeu Fabra University; Universite PSL; Ecole Normale Superieure (ENS); Universite PSL; Ecole Normale Superieure (ENS); Centre National de la Recherche Scientifique (CNRS)
摘要：We consider repeated games in which the player, instead of observing the action chosen by the opponent in each game round, receives a feedback generated by the combined choice of the two players. We study Hannan-consistent players for these games, that is, randomized playing strategies whose per-round regret vanishes with probability one as the number n of game rounds goes to infinity. We prove a general lower bound of Omega(n(-1/3)) for the convergence rate of the regret, and exhibit a specif...
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作者：Megow, Nicole; Uetz, Marc; Vredeveld, Tjark
作者单位：Technical University of Berlin; Maastricht University
摘要：We consider a model for scheduling under, uncertainty. In this model, we combine the main characteristics of online and stochastic scheduling in a simple and natural way. Job processing times are assumed to be stochastic, but in contrast to traditional stochastic scheduling models, we assume that jobs arrive online, and there is no knowledge about the jobs that will arrive in the future. The model incorporates both stochastic scheduling and online scheduling as a special case. The particular s...
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作者：Lehrer, Ehud; Solan, Eflon
作者单位：Tel Aviv University
摘要：We study the notion of excludability in repeated games with vector payoffs, when one of the players is restricted to strategies with bounded computational capacity. We show that a closed set is excludable by Player 2 when Player 1 is restricted to using only bounded-recall strategies if and only if it does not contain a convex approachable set. We provide partial results when Player 1 is restricted to using strategies that can be implemented by automata.
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作者：Renault, Jerome
作者单位：Universite PSL; Universite Paris-Dauphine
摘要：We consider a two-player zero-sum game, given by a Markov chain over a finite set of states and a family of matrix games indexed by states. The sequence of states follows the Markov chain. At the beginning of each stage, only Player I is informed of the current state, then the corresponding matrix game is played, and the actions chosen are observed by both players before proceeding to the next stage. We call such a game a Markov chain game with lack of information on one side. This model gener...
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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
摘要：We introduce an axiomatic definition of a conditional convex risk mapping and we derive its properties. In particular, we prove a representation theorem for conditional risk mappings in terms of conditional expectations. We also develop dynamic programming relations for multistage optimization problems involving conditional risk mappings.
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作者：Canovas, Maria J.; Lopez, Marco A.; Parra, Juan; Toledo, F. Javier
作者单位：Universidad Miguel Hernandez de Elche; Universitat d'Alacant
摘要：We consider the parametric space of all the linear semi-infinite programming problems with constraint systems having the same index set. Under a certain regularity condition, the so-called well-posedness with respect to the solvability, it is known from Canovas et a]. [2] that the optimal value function is Lipschitz continuous around the nominal problem pi. In this paper we obtain an explicit Lipschitz constant for such a function in a certain neighborhood of pi. We emphasize the fact that bot...
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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
摘要：We consider optimization problems involving convex risk functions. By employing techniques of convex analysis and optimization theory in vector spaces of measurable functions, we develop new representation theorems for risk models, and optimality and duality theory for problems with convex risk functions.
