-
作者：Zu, You; Iyer, Murthy; Xu, Ifeng
作者单位：University of Minnesota System; University of Minnesota Twin Cities; University of Chicago
摘要：Motivated by information sharing in online platforms, we study repeated persuasion between a sender and a stream of receivers, where, at each time, the sender observes a payoff -relevant state drawn independently and identically from an unknown distribution and shares state information with the receivers, who each choose an action. The sender seeks to persuade the receivers into taking actions aligned with the sender's preference by selectively sharing state information. However, in contrast t...
-
作者：Braouezec, Yann; Kiani, Keyvan
作者单位：IESEG School of Management; Universite de Lille; Centre National de la Recherche Scientifique (CNRS); CNRS - Institute for Humanities & Social Sciences (INSHS); emlyon business school; Centre National de la Recherche Scientifique (CNRS); Ecole Normale Superieure de Lyon (ENS de LYON); Universite Claude Bernard Lyon 1; Universite Jean Monnet; Universite Lyon 2
摘要：We offer a stress test framework in which interaction between regulated banks occurs through the impact they may have on asset prices when they deleverage. Because banks are constrained to maintain their risk-based capital ratio higher than a threshold, the deleveraging problem yields a generalized game in which the solvency constraint of each bank depends on the decisions of the others. We analyze the game under microprudential but also under macroprudential regulation. Microprudential regula...
-
作者：Ye, Heng-Qing
作者单位：Hong Kong Polytechnic University
摘要：We study a system with heterogeneous parallel servers, each with an infinite waiting room. Upon arrival, a job is routed to the queue of one of the servers, possibly depending on the dynamic state information such as the real-time queue lengths, the arrival, and service history of jobs. The objective is to find the routing policy that best uses the available state information to minimize the expected stationary queue length. In this paper, we establish the diffusion limit for the round-robin p...
-
作者：Meng, Xiaochun; Taylor, James W.; Taieb, Souhaib Ben; Li, Siran
作者单位：University of Sussex; University of Oxford; University of Mons; Shanghai Jiao Tong University; Shanghai Jiao Tong University
摘要：Forecasts of multivariate probability distributions are required for a variety of applications. Scoring rules enable the evaluation of forecast accuracy and comparison between forecasting methods. We propose a theoretical framework for scoring rules for multivariate distributions that encompasses the existing quadratic score and multivariate continuous ranked probability score. We demonstrate how this framework can be used to generate new scoring rules. In some multivariate contexts, it is a f...
-
作者：Eckstein, Jonathan; Watson, Jean-Paul; Woodruff, David L.
作者单位：Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark; United States Department of Energy (DOE); Lawrence Livermore National Laboratory; University of California System; University of California Davis
摘要：We propose a decomposition algorithm for multistage stochastic programming that resembles the progressive hedging method of Rockafellar and Wets but is provably capable of several forms of asynchronous operation. We derive the method from a class of projective operator splitting methods fairly recently proposed by Combettes and Eckstein, significantly expanding the known applications of those methods. Our derivation assures convergence for convex problems whose feasible set is compact, subject...
-
作者：Escribe, Celia; Hu, Michael; Levi, Retsef
作者单位：Massachusetts Institute of Technology (MIT); Harvard University; Harvard University Medical Affiliates; Massachusetts General Hospital; Massachusetts Institute of Technology (MIT)
摘要：This paper describes a fundamental online scheduling problem called the minimum peak job scheduling (MPJS) problem. In this problem, there is a sequence of arriving jobs, each with a specified required scheduled time for one unit of a scarce and reusable resource. The goal is to schedule each job upon arrival within a scheduling interval to minimize the resulting peak utilization (i.e., the maximum number of units used simultaneously throughout the entire scheduling interval). The MPJS problem...
-
作者：Simchi-Levi, David; Sun, Rui; Wang, Xinshang
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Shanghai Jiao Tong University
摘要：We study in this paper an online matching problem where a central platform needs to match a number of limited resources to different groups of users that arrive sequentially over time. The reward of each matching option depends on both the type of resource and the time period the user arrives. The matching rewards are assumed to be unknown but drawn from probability distributions that are known a priori. The platform then needs to learn the true rewards online based on real-time observations o...
-
作者：Han, Yanjun; Weissman, Tsachy; Zhou, Zhengyuan
作者单位：New York University; New York University; Stanford University; New York University
摘要：We study online learning in repeated first-price auctions where a bidder, only observing the winning bid at the end of each auction, learns to adaptively bid to maximize the cumulative payoff. To achieve this goal, the bidder faces censored feedback: If the bidder wins the bid, then the bidder is not able to observe the highest bid of the other bidders, which we assume is i.i.d. drawn from an unknown distribution. In this paper, we develop the first learning algorithm that achieves a near-opti...
-
作者：Zhang, Xun; Ye, Zhi-Sheng; Haskell, William B.
作者单位：Southern University of Science & Technology; National University of Singapore; Purdue University System; Purdue University
摘要：We study periodic review stochastic inventory control in the data-driven setting where the retailer makes ordering decisions based only on historical demand observations without any knowledge of the probability distribution of the demand. Because an (s, S)policy is optimal when the demand distribution is known, we investigate the statistical properties of the data-driven (s, S)-policy obtained by recursively computing the empirical cost-to-go functions. This policy is inherently challenging to...
-
作者：Lejeune, Miguel A.; Ma, Wenbo
作者单位：George Washington University
摘要：We propose a new stochastic emergency network design model that uses a fleet of drones to quickly deliver naloxone in response to opioid overdoses. The network is represented as a collection of M/G/K / G / K queueing systems in which the capacity K of each system is a decision variable, and the service time is modeled as a decision -dependent random variable. The model is a queuing -based optimization problem which locates fixed (drone bases) and mobile (drones) servers and determines the dron...
