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作者：Winnicki, Anna; Lubars, Joseph; Livesay, Michael; Srikant, R.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of Illinois System; University of Illinois Urbana-Champaign; United States Department of Energy (DOE); Sandia National Laboratories; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Function approximation is widely used in reinforcement learning to handle the computational difficulties associated with very large state spaces. However, function approximation introduces errors that may lead to instabilities when using approximate dynamic programming techniques to obtain the optimal policy. Therefore, techniques such as lookahead for policy improvement and m-step rollout for policy evaluation are used in practice to improve the performance of approximate dynamic programming ...
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作者：Chao, Xiuli; Jasin, Stefanus; Miao, Sentao
作者单位：University of Michigan System; University of Michigan; University of Michigan System; University of Michigan; University of Colorado System; University of Colorado Boulder
摘要：We consider the inventory control problem of a multiwarehouse, multistore system over a time horizon when the warehouses receive no external replenishment. This problem is prevalent in retail settings, and it is referred to in the work of [Jackson PL (1988) Stock allocation in a two -echelon distribution system or what to do until your ship comes in. Management Sci. 34(7):880-895] as the problem of what to do until your (external) shipment comes in. The warehouses are stocked with initial inve...
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作者：Wu, Zerui; Liu, Ran; Sun, Xu
作者单位：Shanghai Jiao Tong University; University of Miami
摘要：We study dynamic pricing and resource allocation in large-scale service systems where multiple service units serve customers who are both price and delay sensitive. Customers are segmented into classes characterized by class-specific service rates and demand functions shaped by posted prices and estimated delays. To jointly optimize revenue and delay performance, we propose a family of state-dependent greedy heuristics that (i) assign dedicated service capacities to each customer class, and (i...
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作者：Chen, Ying; Horst, Ulrich; Tran, Hoang Hai
作者单位：National University of Singapore; Humboldt University of Berlin; National University of Singapore
摘要：We consider an optimal liquidation model in which an investor is required to execute meta-orders during intraday trading periods, and his trading activity triggers child orders and endogenously affects future order flow, both instantaneously and permanently. Under the assumptions of risk neutrality and deterministic constants of the impact parameters, we provide closed-form solutions and illustrate the relationship between trading strategies and feedback effects. The optimal trading strategy i...
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作者：Wang, Yining; Liu, Quanquan
作者单位：University of Texas System; University of Texas Dallas
摘要：Personalized pricing with contextual information is a widespread practice in a number of revenue management problems. A pricing algorithm or platform utilizes users' personal data to make the most profitable pricing decisions, which could vary among individuals. In this paper, we study the question of estimating a contextual demand regression model with high-dimensional data, incorporating an unknown, nonparametric pricing function that acts as a confounding term to the demand model. We propos...
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作者：Birge, John R.; Chen, Hongfan (Kevin); Keskin, N. Bora
作者单位：University of Chicago; Chinese University of Hong Kong; Duke University
摘要：We consider the markdown pricing problem of a firm that sells a product to a mixture of myopic and forward-looking customers. The firm faces uncertainty about the customers' forward-looking behavior, arrival pattern, and valuations for the product, which we collectively refer to as the demand model. Over a multiperiod selling season, the firm sequentially marks down the product's price and makes demand observations to learn about the underlying demand model. Because forward-looking customers c...
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作者：Jiang, Jiashuo; Ma, Will; Zhang, Jiawei
作者单位：Hong Kong University of Science & Technology; Columbia University; Columbia University; New York University
摘要：Prophet inequalities are a useful tool for designing online allocation procedures and comparing their performance to the optimal offline allocation. In the basic setting of k-unit prophet inequalities, a well-known procedure with its celebrated performance guarantee of 1-1 root k+3 has found widespread adoption in mechanism design and general online allocation problems in online advertising, healthcare scheduling, and revenue management. Despite being commonly used to derive approximately opti...
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作者：Selvi, Aras; Liu, Huikang; Wiesemann, Wolfram
作者单位：Imperial College London; Shanghai Jiao Tong University
摘要：In recent years, differential privacy has emerged as the de facto standard for sharing statistics of data sets while limiting the disclosure of private information about the involved individuals. This is achieved by randomly perturbing the statistics to be published, which in turn, leads to a privacy-accuracy trade-off; larger perturbations provide stronger privacy guarantees, but they result in less accurate statistics that offer lower utility to the recipients. Of particular interest are, th...
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作者：Chen, Boxiao; Shi, Cong
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; University of Miami
摘要：We consider a periodic-review dual-sourcing inventory system in which the expedited supplier is faster and more costly, whereas the regular supplier is slower and cheaper. Under full demand distributional information, it is well known that the optimal policy is extremely complex but the celebrated Tailored Base-Surge (TBS) policy performs near optimally. Under such a policy, a constant order is placed at the regular source in each period, whereas the order placed at the expedited source follow...
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作者：Jalota, Devansh; Ye, Yinyu
作者单位：Stanford University; Stanford University
摘要：Fisher markets are one of the most fundamental models for resource allocation. However, the problem of computing equilibrium prices in Fisher markets typically relies on complete knowledge of users' budgets and utility functions and requires transactions to happen in a static market where all users are present simultaneously. Motivated by these practical considerations, we study an online variant of Fisher markets, wherein users with privately known utility and budget parameters, drawn indepen...
