-
作者：Capponi, Agostino; Weber, Marko
作者单位：Columbia University; National University of Singapore
摘要：We study the portfolio choice problem of banks, taking into account losses due to fire-sale spillovers. We show that the optimal asset allocation can be recovered as the unique Nash equilibrium of a potential game. Our analysis highlights the key tradeoff between individual diversification and systemic risk. In a stylized model economy featuring two banks and two assets, we show that sacrificing individual diversification to reduce portfolio commonality increases the likelihood of a sale event...
-
作者：Fattahi, Ali; Ghodsi, Saeed; Dasu, Sriram; Ahmadi, Reza
作者单位：Johns Hopkins University; University of California System; University of California Los Angeles; University of Southern California
摘要：Balancing electricity demand and supply is one of the most critical tasks that utility firms perform to maintain grid stability and reduce system cost. Demand-response programs are among the strategies that utilities use to reduce electricity consumption during peak hours and flatten the energy-consumption curve. Direct load control contracts (DLCCs) are a class of incentive-based demand-response programs that allow utilities to assign calls to customer groups to reduce their energy usage by a...
-
作者：Balseiro, Santiago R.; Besbes, Omar; Pizarro, Dana
作者单位：Columbia University; Universidad de O'Higgins
摘要：Dynamic resource allocation problems arise under a variety of settings and have been studied across disciplines such as operations research and computer science. The present paper introduces a unifying model for a very large class of dynamic optimization problems that we call dynamic resource-constrained reward collection (DRC2) problems. We show that this class encompasses a variety of disparate and classical dynamic optimization problems such as dynamic pricing with capacity constraints, dyn...
-
作者：Gao, Rui; Chen, Xi; Kleywegtc, Anton J.
作者单位：University of Texas System; University of Texas Austin; New York University; University System of Georgia; Georgia Institute of Technology
摘要：Wasserstein distributionally robust optimization (DRO) is an approach to optimization under uncertainty in which the decision maker hedges against a set of probability distributions, specified by a Wasserstein ball, for the uncertain parameters. This approach facilitates robust machine learning, resulting in models that sustain good performance when the data are to some extent different from the training data. This robustness is related to the well-studied effect of regularization. The connect...
-
作者：Ding, Liang; Zhang, Xiaowei
作者单位：Fudan University; University of Hong Kong
摘要：Stochastic kriging has been widely employed for simulation metamodeling to predict the response surface of complex simulation models. However, its use is limited to cases where the design space is low-dimensional because in general the sample complexity (i.e., the number of design points required for stochastic kriging to produce an accurate prediction) grows exponentially in the dimensionality of the design space. The large sample size results in both a prohibitive sample cost for running the...
-
作者：Ata, Baris; Tongarlak, Mustafa H.; Lee, Deishin; Field, Joy
作者单位：University of Chicago; Bogazici University; Western University (University of Western Ontario); Boston College
摘要：Nonprofit organizations that provide food, shelter, and other services to people in need, rely on volunteers to deliver their services. Unlike paid labor, nonprofit organizations have less control over unpaid volunteers' schedules, efforts, and reliability. However, these organizations can invest in volunteer engagement activities to ensure a steady and adequate supply of volunteer labor. We study a key operational question of how a nonprofit organization can manage its volunteer workforce cap...
-
作者：Ahani, Narges; Golz, Paul; Procaccia, Ariel D.; Teytelboym, Alexander; Trapp, Andrew C.
作者单位：Bank of America Corporation; Harvard University; University of Oxford; Worcester Polytechnic Institute; Worcester Polytechnic Institute
摘要：Employment outcomes of resettled refugees depend strongly on where they are initially placed in the host country. Each week, a resettlement agency is allocated a set of refugees by the U.S. government. The agency must place these refugees in its local affiliates while respecting the affiliates' annual capacities. We develop an allocation system that recommends where to place an incoming refugee family to improve total employment success. Our algorithm is based on two-stage stochastic programmi...
-
作者：Kesselheim, Thomas; Psomas, Alexandros; Vardi, Shai
作者单位：University of Bonn; Purdue University System; Purdue University; Purdue University System; Purdue University
摘要：We study a generalization of the secretary problem, where decisions do not have to be made immediately upon applicants' arrivals. After arriving, each applicant stays in the system for some (random) amount of time and then leaves, whereupon the algorithm has to decide irrevocably whether to select this applicant or not. The arrival and waiting times are drawn from known distributions, and the decision maker's goal is to maximize the probabil-ity of selecting the best applicant overall. Our fir...
-
作者：Gooty, Radhakrishna Tumbalam; Agrawal, Rakesh; Tawarmalani, Mohit
作者单位：Purdue University System; Purdue University; Purdue University System; Purdue University
摘要：In this paper, we describe the first mixed-integer nonlinear programming (MINLP)-based solution approach that successfully identifies the most energy-efficient distillation configuration sequence for a given separation. Current sequence design strategies are largely heuristic. The rigorous approach presented here can help reduce the significant energy consumption and consequent greenhouse gas emissions by separation processes. First, we model discrete choices using a formulation that is provab...
-
作者：Dong, Jing; Ibrahim, Rouba
作者单位：Columbia University; University of London; University College London
摘要：Size-based scheduling has been extensively studied yet almost exclusively in single-server queues with infinitely patient jobs and perfectly known service times. Much less is known about its performance in many-server queues, particularly under noisy service-time information. In this paper, we derive theoretical results that quantify the performance of the nonpreemptive shortest-job-first (SJF) policy in many-server queues with abandonment and noisy service-time estimates. In particular, we co...
