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作者：Ahn, Dohyun; Chen, Nan; Kim, Kyoung-Kuk
作者单位：Chinese University of Hong Kong; Korea Advanced Institute of Science & Technology (KAIST)
摘要：Given limited network information, we consider robust risk quantification under the Eisenberg-Noe model for financial networks. To be more specific, motivated by the fact that the structure of the interbank network is not completely known in practice, we propose a robust optimization approach to obtain worst-case default probabilities and associated capital requirements for a specific group of banks (e.g., systemically important financial institutions) under network information uncertainty. Us...
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作者：Bacci, Tiziano; Frangioni, Antonio; Gentile, Claudio; Tavlaridis-Gyparakis, Kostas
作者单位：Consiglio Nazionale delle Ricerche (CNR); Istituto di Analisi dei Sistemi ed Informatica Antonio Ruberti (IASI-CNR)
摘要：The unit commitment (UC) problem in electrical power production requires to optimally operate a set of power generation units over a short time horizon. Operational constraints of each unit depend on its type and can be rather complex. For thermal units, typical ones concern minimum and maximum power output, minimum up-and down-time, startup and shut-down limits, ramp-up and ramp-down limits, and nonlinear objective function. In this work, we present the first mixed-integer nonlinear program f...
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作者：Li, Gen; Cai, Changxiao; Chen, Yuxin; Wei, Yuting; Chi, Yuejie
作者单位：University of Pennsylvania; University of Pennsylvania; Carnegie Mellon University
摘要：Q-learning, which seeks to learn the optimal Q-function of a Markov decision process (MDP) in a model-free fashion, lies at the heart of reinforcement learning. When it comes to the synchronous setting (such that independent samples for all state-action pairs are drawn from a generative model in each iteration), substantial progress has been made toward understanding the sample efficiency of Q-learning. Consider a gamma-discounted infinite-horizon MDP with state space S and action space A: to ...
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作者：Gupta, Vishal; Huang, Michael; Rusmevichientong, Paat
作者单位：University of Southern California
摘要：Motivated by the poor performance of cross-validation in settings where data are scarce, we propose a novel estimator of the out-of-sample performance of a policy in data-driven optimization. Our approach exploits the optimization problem's sensitivity analysis to estimate the gradient of the optimal objective value with respect to the amount of noise in the data and uses the estimated gradient to debias the policy's in-sample performance. Unlike cross-validation techniques, our approach avoid...
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作者：Pei, Linda; Nelson, Barry L.; Hunter, Susan R.
作者单位：Northwestern University; Purdue University System; Purdue University
摘要：We reconsider the ranking and selection (R&S) problem in stochastic simulation optimization in light of high-performance, parallel computing, where we take ???R&S??? to mean any procedure that simulates all systems (feasible solutions) to provide some statisti-cal guarantee on the selected systems. We argue that when the number of systems is very large, and the parallel processing capability is also substantial, then neither the standard statistical guarantees such as probability of correct se...
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作者：Wang, Zhengchao; Peura, Heikki; Wiesemann, Wolfram
作者单位：Imperial College London; Aalto University
摘要：When a firm selects an assortment of products to offer to customers, it uses a choice model to anticipate their probability of purchasing each product. In practice, the estimation of these models is subject to statistical errors, which may lead to significantly suboptimal assortment decisions. Recent work has addressed this issue using robust optimization, where the true parameter values are assumed unknown and the firm chooses an assortment that maximizes its worst -case expected revenues ove...
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作者：Mamaghani, Fariba F.; Cakanyildirim, Metin
作者单位：Tulane University; University of Texas System; University of Texas Dallas
摘要：Distributed solar power generation is growing but not necessarily benefiting the utility firms. Reducing the demand, it hinders the coverage of utility costs with reasonable retail electricity prices. Utilities raise prices, unintentionally reducing both demand and affordability of electricity, and are said to be caught in a utility (death) spiral. The reduced affordability adversely affects consumers who cannot invest in solar generation. Environmentally desirable solar power paradoxically ca...
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作者：Aziz, Haris; Freeman, Rupert; Shah, Nisarg; Vaish, Rohit
作者单位：University of New South Wales Sydney; University of Virginia; University of Toronto; Indian Institute of Technology System (IIT System); Indian Institute of Technology (IIT) - Delhi
摘要：We study the problem of allocating indivisible goods among agents with additive valuations. When randomization is allowed, it is possible to achieve compelling notions of fairness such as envy-freeness, which states that no agent should prefer any other agent's allocation to their own. When allocations must be deterministic, achieving exact fairness is impossible but approximate notions such as envy-freeness up to one good can be guaranteed. Our goal in this work is to achieve both simultaneou...
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作者：Peng, Chun; Delage, Erick
作者单位：Beijing Jiaotong University; Universite de Montreal; HEC Montreal; Universite de Montreal; HEC Montreal
摘要：Optimization with stochastic dominance constraints has recently received an increasing amount of attention in the quantitative risk management literature. Instead of requiring that the probabilistic description of the uncertain parameters be exactly known, this paper presents a comprehensive study of a data-driven formulation of the distributionally robust second order stochastic dominance constrained problem (DRSSDCP) that hinges on using a type-1 Wasserstein ambiguity set. This formulation a...
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作者：Graf, Lukas; Harks, Tobias
作者单位：University of Passau
摘要：We study dynamic traffic assignment with side constraints. We first give a counter-example to a previous result from the literature regarding the existence of dynamic equilibria for volume-constrained traffic models in the classical linear edge-delay model. Our counter-example shows that the feasible flow space need not be convex, and it further reveals that classical infinite dimensional variational inequalities are not suited for the definition of general side-constrained dynamic equilibria....
