-
作者：Cheung, Wang Chi; Lyu, Guodong
作者单位：National University of Singapore; Hong Kong University of Science & Technology
摘要：A central issue in (finite horizon) online planning problems is to synthesize the impact of real-time decisions on the subsequent states of the system and the performance in the remaining time horizon (cost-to-go function). A complete resolution often leads to intractable dynamic programming problems. We propose a computationally efficient approach to this problem that attains near-optimal performance in nonstationary environments. More specifically, we study a general class of online planning...
-
作者：Guo, Siqi; Xiao, Fan; Liang, Zhe
作者单位：Tongji University; Shanghai University
摘要：It is widely acknowledged that deep dual-optimal inequalities (DDOIs) can stabilize the dual of a linear programming problem and accelerate its convergence. However, we find that adding DDOIs is not free but always comes with a price; that is, it increases the number of primal degenerate bases, and extra effort might be needed to achieve dual feasibility and prove its optimality. As a result, when addressing a linear programming problem, it is critical to stabilize the dual on the one hand, re...
-
作者：Sun, Qiuzhuang; Hu, Tiawen; Ye, Zhi-Sheng
作者单位：University of Sydney; University of Electronic Science & Technology of China; National University of Singapore
摘要：Although most on-demand mission-critical systems are engineered to be reliable to support critical tasks, occasional failures may still occur during missions. To increase system survivability, a common practice is to abort the mission before an imminent failure. We consider optimal mission abort for a system whose deterioration follows a general three-state (normal, defective, failed) semi-Markov chain. The failure is assumed selfrevealed, whereas the healthy and defective states have to be in...
-
作者：Abbou, Abderrahmane; Makis, Viliam
作者单位：Mohammed VI Polytechnic University; University of Toronto
摘要：This paper develops the Bayesian analogue to the Shewhart type control chart previously developed for systems monitored by online sensors. Unlike previous work, we allow production sampling to be part of the decision process, so that a decision to take a sample is first made when a sensor generates a warning signal, followed immediately by another decision to interrupt operation. We apply optimal stopping theory along with dynamic programming analysis to prove the average cost optimality of a ...
-
作者：Goyal, Vineet; Iyengar, Garud; Udwani, Rajan
作者单位：Columbia University; University of California System; University of California Berkeley
摘要：We consider the problem of online allocation (matching, budgeted allocations, and assortments) of reusable resources for which an adversarial sequence of resource requests is revealed over time and any allocated resource is used/rented for a stochastic duration drawn independently from a resource-dependent usage distribution. Previously, it was known that a greedy algorithm is 0.5-competitive against the clairvoyant benchmark that knows the entire sequence of requests in advance. We give a nov...
-
作者：Nguyen, Viet Anh; Zhang, Fan; Wang, Shanshan; Blanchet, Jose; Delage, Erick; Ye, Yinyu
作者单位：Chinese University of Hong Kong; Stanford University; Beihang University; Universite de Montreal; HEC Montreal
摘要：We propose a data-driven portfolio selection model that integrates side information, conditional estimation, and robustness using the framework of distributionally robust optimization. Conditioning on the observed side information, the portfolio manager solves an allocation problem that minimizes the worst-case conditional risk-return tradeoff, subject to all possible perturbations of the covariate-return probability distribution in an optimal transport ambiguity set. Despite the nonlinearity ...
-
作者：Qian, Shuaijie; Su, Xizhi; Zhou, Chao
作者单位：Hong Kong University of Science & Technology; National University of Singapore; National University of Singapore
摘要：This work considers a monopolist seller facing both patient and impatient customers. Given the current price, the impatient customers will either purchase or leave immediately, depending on the relative magnitude between this price and their valuation of the product. In comparison, the patient customers will wait for some periods to see if the price will drop to their valuation, and if that occurs, they will purchase immediately. The monopolist designs the pricing strategy to maximize the long...
-
作者：Chan, Timothy C. Y.; Huang, Simon Y.; Sarhangian, Vahid
作者单位：University of Toronto
摘要：We study a control problem for queueing systems in which customers may return for additional episodes of service after their initial service completion. At each service completion epoch, the decision maker can choose to reduce the probability of return for the departing customer but at a cost that is convex increasing in the amount of reduction in the return probability. Other costs are incurred as customers wait in the queue and every time they return for service. Our primary motivation comes...
-
作者：Fibich, Gadi; Levin, Tomer; Gillingham, Kenneth T.
作者单位：Tel Aviv University; Yale University
摘要：We analyze the effect of boundaries in the discrete Bass model on D-dimensional Cartesian networks. In two dimensions, this model describes the diffusion of new products that spread primarily by spatial peer effects, such as residential photovoltaic solar systems. We show analytically that nodes (residential units) that are located near the boundary are less likely to adopt than centrally located ones. This boundary effect is local and decays exponentially with the distance from the boundary. ...
-
作者：Luo, Yiyun; Sun, Will Wei; Liu, Yufeng
作者单位：Shanghai University of Finance & Economics; Purdue University System; Purdue University; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
摘要：In online retailing, the seller aims to offer assortment of items with maximized revenue. We introduce a new online learning problem called dynamic assortment selection with positioning (DAP) that additionally learns the optimal positioning within the assortment. Specifically, the customers make purchases based on the item attractiveness as the product of the position effect and unknown preference parameter through a multinomial logit choice model. We first demonstrate that any assortment-only...
