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作者：Segev, Danny
作者单位：Tel Aviv University; Tel Aviv University
摘要：We consider a multistage stochastic optimization problem, studying how a single server should prioritize stochastically departing customers. In this setting, our objective is to determine an adaptive service policy that maximizes the expected total reward collected along a discrete planning horizon, in the presence of customers who are independently departing between one stage and the next with known stationary probabilities. Despite its deceiving structural simplicity, we are unaware of nontr...
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作者：Sim, Melvyn; Tang, Qinshen; Zhou, Minglong; Zhu, Taozeng
作者单位：National University of Singapore; Nanyang Technological University; Fudan University; Dongbei University of Finance & Economics
摘要：We introduce a novel approach to prescriptive analytics that leverages robust satisficing techniques to determine optimal decisions in situations of distribution ambiguity and parameter estimation uncertainty. Our decision model relies on a reward function that incorporates uncertain parameters, which can be predicted using available side information. However, the accuracy of the linear prediction model depends on the quality of regression coefficient estimates derived from the available data....
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作者：Jiang, Zhaohui (Zoey); Li, Jun
作者单位：Carnegie Mellon University; University of Michigan System; University of Michigan
摘要：Accurate operational decisions require precise knowledge of the causal effects of such decisions on outcomes, a task that becomes increasingly complex in dynamic business environments. We propose an idea of instrumenting while experimenting, whereby researchers can create their own instruments by injecting small, random variations directly into the decision-making process and then use such variations to obtain causal estimates of the impact of varying business decisions at scale without disrup...
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作者：Feinstein, Zachary; Hey, Niklas; Rudloff, Birgit
作者单位：Stevens Institute of Technology; Vienna University of Economics & Business
摘要：In Feinstein and Rudloff (2023), it was shown that the set of Nash equilibria for any noncooperative N player game coincides with the set of Pareto optimal points of a certain vector optimization problem with nonconvex ordering cone. To avoid dealing with a nonconvex ordering cone, an equivalent characterization of the set of Nash equilibria as the intersection of the Pareto optimal points of N multi-objective problems (i.e., with the natural ordering cone) is proven. So far, algorithms to com...
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作者：Aid, Rene; Basei, Matteo; Ferrarid, Giorgio
作者单位：Universite PSL; Universite Paris-Dauphine; Institut Polytechnique de Paris; ENSTA Paris; University of Bielefeld
摘要：We consider a mean-field model of firms competing a` la Cournot on a commodity market, where the commodity price is given in terms of a power inverse demand function of the industry-aggregate production. Investment is irreversible and production capacity depreciates at a constant rate. Production is subject to Gaussian productivity shocks, whereas large nonanticipated macroeconomic events driven by a two-state continuous-time Markov chain can change the volatility of the shocks, as well as the...
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作者：Heston, Steven L.; Hu, Bo
作者单位：University System of Maryland; University of Maryland College Park; George Mason University
摘要：A paradoxical conclusion arises in a series of game-theoretic models: the limit equilibria retain frictional qualities even as frictions seemingly vanish. This originates in textbook models, such as the differential game by Fershtman and Kamien [Fershtman C, Kamien MI (1987) Dynamic duopolistic competition with sticky prices. Econometrica 55(5):1151-1164] on duopolistic competition with sticky prices. We show that this paradox is an artifact of the type of limit restricted by continuous-time m...
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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...
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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 ...
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作者：Sahoo, Roshni; Wager, Stefan
作者单位：Stanford University; Stanford University
摘要：Decision makers often aim to learn a treatment assignment policy under a capacity constraint on the number of agents that they can treat. When agents can respond strategically to such policies, competition arises, complicating estimation of the optimal policy. In this paper, we study capacity-constrained treatment assignments in the presence of such interference. We consider a dynamic model in which the decision maker allocates treatments at each time step and heterogeneous agents myopically b...
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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...
