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作者：Guo, Xin; Wang, Binnan; Zhang, Ruixun; Zhao, Chaoyi
作者单位：University of California System; University of California Berkeley; Peking University; Peking University; Peking University; Peking University; Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：Signatures are iterated path integrals of continuous and discrete-time processes, and their universal nonlinearity linearizes the problem of feature selection in time series data analysis. This paper studies the consistency of signature using Lasso regression, both theoretically and numerically. We establish conditions under which the Lasso regression is consistent both asymptotically and in finite sample. Furthermore, we show that the Lasso regression is more consistent with the Ito signature...
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作者：Simchi-Levi, David; Xu, Yunzong; Zhao, Jinglong
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); University of Illinois System; University of Illinois Urbana-Champaign; Boston University
摘要：This paper studies the impact of limited switches on resource-constrained dynamic pricing with demand learning. We focus on the classical price-based blind network revenue management problem and extend our results to the bandits with knapsacks problem. In both settings, a decision maker faces stochastic and distributionally unknown demand, and must allocate finite initial inventory across multiple resources over time. In addition to standard resource constraints, we impose a switching constrai...
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作者：Enikeeva, Farida; Klopp, Olga
作者单位：Universite de Poitiers; Institut Polytechnique de Paris; ENSAE Paris
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...
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作者：Scroccaro, Pedro Zattoni; Atasoy, Bilge; Esfahani, Peyman Mohajerin
作者单位：Delft University of Technology; Delft University of Technology
摘要：In inverse optimization (IO), an expert agent solves an optimization problem parametric in an exogenous signal. From a learning perspective, the goal is to learn the expert's cost function given a data set of signals and corresponding optimal actions. Motivated by the geometry of the IO set of consistent cost vectors, we introduce the incenter concept, a new notion akin to the recently proposed circumcenter concept. Discussing the geometric and robustness interpretation of the incenter cost ve...
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作者：Wang, Jiaqi; Xie, Weijun; Ryzhov, Ilya O.; Markovic, Nikola; Ou, Ge
作者单位：University System of Maryland; University of Maryland College Park; University System of Georgia; Georgia Institute of Technology; University System of Maryland; University of Maryland College Park; Utah System of Higher Education; University of Utah; State University System of Florida; University of Florida
摘要：Immediately following a major earthquake, reconnaissance surveys seek to assess structural damage throughout the region with the help of a limited number of on-ground inspections. The goal is to collect informative and representative data that will guide subsequent relief efforts. We formulate a new type of vehicle routing problem, in which vehicles are tasked with data collection, and the objective function measures data quality using a nonlinear, nonseparable experimental design criterion. W...
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作者：Zhao, Yanyang; Wang, Xinshang; Xin, Linwei
作者单位：University of Chicago; Alibaba Group
摘要：The global e-commerce boom has driven rapid expansion of fulfillment infrastructure, with e-retailers building more warehouses to offer faster deliveries. However, fulfillment costs have surged over the past decade. This paper addresses the problem of minimizing these costs, where an e-retailer must decide in real time which warehouse(s) will fulfill each order, considering inventory constraints. Orders can be split among warehouses at an additional cost. We focus on a regional distribution ce...
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作者：Farina, Gabriele; Kroer, Christian; Sandholm, Tuomas
作者单位：Columbia University; Carnegie Mellon University
摘要：We study the application of iterative first-order methods to the problem of computing equilibria of large-scale extensive-form games. First-order methods must typically be instantiated with a regularizer that serves as a distance-generating function (DGF) for the decision sets of the players. In this paper, we introduce a new weighted entropy-based distance-generating function. We show that this function is equivalent to a particular set of new weights for the dilated entropy distance-generati...
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作者：Miao, Sentao; Jasin, Stefanus; Chao, Xiuli
作者单位：University of Colorado System; University of Colorado Boulder; University of Michigan System; University of Michigan; University of Michigan System; University of Michigan
摘要：We consider a firm managing a multiperiod, multiwarehouse, multistore (MWMS) inventory problem with fixed ordering cost at each store over a finite time horizon. The warehouses are endowed with initial inventories at the start of the horizon, and the stores are periodically replenished from the warehouses. The decisions are the order quantities from each store at each period. The optimal policy for this problem is complex and computationally intractable. We construct a mixed (s, S) policy base...
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作者：Belotti, Pietro; Buchanan, Austin; Ezazipour, Soraya
作者单位：Polytechnic University of Milan; Oklahoma State University System; Oklahoma State University - Stillwater
摘要：In the academic literature and in expert testimony, the Polsby-Popper score is the most popular way to measure the compactness of a political district. Given a district with area A and perimeter P, its Polsby-Popper score is given by (4 pi A)=P2. This score takes values between zero and one, with circular districts achieving a perfect score of one. In this paper, we propose the first mathematical optimization models to draw districts (or districting plans) with optimum Polsby-Popper score. Spe...
