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作者：Banerjee, Imon; Honnappa, Harsha; Rao, Vinayak
作者单位：Northwestern University; Purdue University System; Purdue University; Purdue University System; Purdue University
摘要：In this work, we study a natural nonparametric estimator of the transition probability matrices of a finite controlled Markov chain. We consider an off-line setting with a fixed data set of size m, collected using a so-called logging policy. We develop sample complexity bounds for the estimator and establish conditions for minimaxity. Our statistical bounds depend on the logging policy through its mixing properties. We show that achieving a particular statistical risk bound involves a subtle a...
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作者：Alaei, Saeed; Makhdoumi, Ali; Malekian, Azarakhsh
作者单位：Alphabet Inc.; Google Incorporated; Duke University; University of Toronto
摘要：We consider the problem of selling k units of an item to n unit-demand buyers to maximize revenue, where the buyers' values are independently distributed (not necessarily identical) according to publicly known distributions but unknown to the buyers themselves, with the option of allowing buyers to inspect the item at a cost. This problem can be interpreted as a revenue-maximizing variant of Weitzman's Pandora's problem with a nonobligatory inspection. We first fully characterize the optimal m...
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作者：Cheng, Chun; Sim, Melvyn; Zhao, Yue
作者单位：Dalian University of Technology; National University of Singapore; National University of Singapore
摘要：We investigate how crowdsourced delivery platforms with both contracted and ad hoc couriers can effectively manage their workforce to meet delivery demands amidst uncertainties. Our objective is to minimize the hiring costs of contracted couriers and the crowdsourcing costs of ad hoc couriers, while considering the uncertain availability and behavior of the latter. Because of the complication of calibrating these uncertainties through data-driven approaches, we instead introduce a basic reduce...
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作者：Zhang, Luhao; Yang, Jincheng; Gao, Rui
作者单位：Johns Hopkins University; University of Chicago; University of Texas System; University of Texas Austin
摘要：We present a general duality result for Wasserstein distributionally robust optimization that holds for any Kantorovich transport cost, measurable loss function, and nominal probability distribution. Assuming an interchangeability principle inherent in existing duality results, our proof only uses one-dimensional convex analysis. Furthermore, we demonstrate that the interchangeability principle holds if and only if certain measurable projection and weak measurable selection conditions are sati...
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作者：Gao, Jianjun; Wang, Zizhuo; Wu, Weiping; Yu, Dian
作者单位：Shanghai University of Finance & Economics; Shanghai University of Finance & Economics; The Chinese University of Hong Kong, Shenzhen; Fuzhou University; Industrial Bank China
摘要：Prediction markets are long known for prediction accuracy. This study systematically explores the fundamental properties of prediction markets, addressing questions about their information aggregation process and the factors contributing to their remarkable efficacy. We propose a novel multivariate utility-based mechanism that unifies several existing automated market-making schemes. Using this mechanism, we establish the convergence results for markets comprised of risk-averse traders who hav...
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作者：Chan, Timothy C. Y.; Mahmood, Rafid; Zhu, Ian Yihang
作者单位：University of Toronto; University of Ottawa; National University of Singapore
摘要：Inverse optimization describes a process that is the reverse of traditional mathematical optimization. Unlike traditional optimization, which seeks to compute optimal decisions given an objective and constraints, inverse optimization takes decisions as input and determines objective and/or constraint parameters that render these decisions approximately or exactly optimal. In recent years, there has been an explosion of interest in the mathematics and applications of inverse optimization. This ...
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作者：Kaps, Christian; Netessine, Serguei
作者单位：Harvard University; University of Pennsylvania
摘要：In this study, we investigate households' investments in behind-the-meter battery storage alongside rooftop solar and examine the effects of these batteries on consumers, the power market, and environmental emissions. We develop a structural estimation model of residential electricity usage that separates observed demand and consumption preferences and lets us estimate a nonfinancial utility that households may have for using self-generated solar power over grid-procured electricity. We call t...
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作者：Lyu, Bochuan; Hicks, Illya, V; Huchette, Joey
作者单位：Rice University; Alphabet Inc.; Google Incorporated
摘要：We study mixed-integer programming formulations for the piecewise linear lower and upper bounds (in other words, piecewise linear relaxations) of nonlinear functions that can be modeled by a new class of combinatorial disjunctive constraints (CDCs), generalized nD-ordered CDCs. We first introduce a general formulation technique to model piecewise linear lower and upper bounds of univariate nonlinear functions concurrently so that it uses fewer binary variables than modeling bounds separately. ...
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作者：Hey, Natascha; Mastromatteo, Iacopo; Muhle-Karbe, Johannes; Webster, Kevin
作者单位：Institut Polytechnique de Paris; Ecole Polytechnique; Imperial College London
摘要：We study statistical arbitrage problems accounting for the nonlinear and transient price impact of metaorders observed empirically. We show that simple explicit trading rules can be derived even for general nonparametric alpha and liquidity signals and also discuss extensions to several impact decay timescales. These results are illustrated using a proprietary data set of Capital Fund Management metaorders, which allows us to calibrate the levels, concavity, and decay parameters of the price i...
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作者：Enikeeva, Farida; Klopp, Olga
作者单位：Universite de Poitiers
摘要：Structural changes occur in dynamic networks quite frequently and their detection is an important question in many situations, such as fraud detection or cybersecurity. Real-life networks are often incompletely observed because of individual nonresponse or network size. In the present paper, we consider the problem of change-point detection at a temporal sequence of partially observed networks. The goal is to test whether there is a change in the network parameters. Our approach is based on th...
