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作者：Feng, Yiding; Niazadeh, Rad; Saberi, Amin
作者单位：University of Chicago; Stanford University
摘要：Motivated by the applications of rental services in e-commerce, we consider revenue maximization in online assortment of reusable resources for a stream of arriving consumers with different types. We design competitive online algorithms with respect to the optimum online policy in the Bayesian setting in which types are drawn independently from known heterogeneous distributions over time. In the regime where the minimum of initial inventories cmin is large, our main result is a near-optimal 1....
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作者：Yan, Yuling; Li, Gen; Chen, Yuxin; Fan, Jianqing
作者单位：Massachusetts Institute of Technology (MIT); Chinese University of Hong Kong; University of Pennsylvania; Princeton University
摘要：This paper makes progress toward learning Nash equilibria in two-player, zero-sum Markov games from offline data. Specifically, consider a gamma-discounted, infinite-horizon Markov game with S states, in which the max-player has A actions and the min-player has B actions. We propose a pessimistic model-based algorithm with Bernstein-style lower confidence bounds-called the value iteration with lower confidence bounds for zero-sum Markov games-that provably finds an epsilon-approximate Nash equ...
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作者：Choi, Kyoung Jin; Koo, Hyeng Keun; Lim, Byung Hwa; Yoo, Jane
作者单位：University of Calgary; Ajou University; Pohang University of Science & Technology (POSTECH); Sungkyunkwan University (SKKU)
摘要：We study a continuous-time model of consumption and portfolio selection of an agent with a limited ability to commit to a debt contract in which the credit limit is endogenously determined. We consider the case where the agent borrows against future income and/or collateral assets. We also study the determination of the credit limit in a general equilibrium model. We derive the credit limit in closed form. The credit limit is smaller than the natural limit because of limited commitment and an ...
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作者：Feng, Zhichao; Dawande, Milind; Janakiraman, Ganesh; Qi, Anyan
作者单位：Hong Kong Polytechnic University; University of Texas System; University of Texas Dallas
摘要：In many practical settings, learning algorithms can take a substantial amount of time to converge, thereby raising the need to understand the role of discounting in learning. We illustrate the impact of discounting on the performance of learning algorithms by examining two classic and representative dynamic-pricing and learning problems studied in Broder and Rusmevichientong (BR) [Broder J, Rusmevichientong P (2012) Dynamic pricing under a general parametric choice model. Oper. Res. 60(4):965-...
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作者：Guo, Shaoyan; Xu, Huifu; Zhang, Sainan
作者单位：Dalian University of Technology; Chinese University of Hong Kong
摘要：Utility preference robust optimization (PRO) models have recently been proposed to deal with decision-making problems where the decision-maker's true utility function is unknown and the optimal decision is based on the worst-case utility function in an ambiguity set of utility functions. In this paper, we consider the case where the ambiguity set is constructed using some moment-type conditions. We propose piecewise linear approximation of the utility functions in the ambiguity set. The approx...
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作者：Jang, Hyun Jin; Xu, Zuo Quan; Zheng, Harry
作者单位：Ulsan National Institute of Science & Technology (UNIST); Hong Kong Polytechnic University; Imperial College London
摘要：This paper studies an optimal investment and consumption problem with heterogeneous consumption of basic and luxury goods, together with the choice of time for retirement. The utility for luxury goods is not necessarily a concave function. The optimal heterogeneous consumption strategies for a class of nonhomothetic utility maximizer are shown to consume only basic goods when the wealth is small, to consume basic goods and make savings when the wealth is intermediate, and to consume almost all...
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作者：Kim, Youngsoo; Kwon, H. Dharma
作者单位：University of Alabama System; University of Alabama Tuscaloosa; University of Illinois System; University of Illinois Urbana-Champaign
摘要：In the game of investment in the common good, the free rider problem can delay the stakeholders' actions in the form of a mixed strategy equilibrium. However, it has been recently shown that the commonly known form of mixed strategy equilibria of the stochastic war of attrition is destabilized by even the slightest degree of asymmetry between the players. Such extreme instability is contrary to the widely accepted notion that a mixed strategy equilibrium is the hallmark of the war of attrition...
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作者：Bensoussan, Alain; Liu, John J.; Yuan, Jiguang
作者单位：University of Texas System; University of Texas Dallas; Hong Kong Polytechnic University
摘要：In this paper, we develop a splitting solution method for two-sided impulse control of Brownian motion, which leads to an expanding range of band control applications and studies, such as monetary reserves (including the previously studied cash management problem, exchange rate control in central banks, and marine mutual insurance reserves), inventory systems, and lately natural resources and energy reservation. It has been shown since earlier studies in 1970s that the optimal two-sided impuls...
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作者：Feng, Yinbo; Hu, Ming
作者单位：Shanghai University of Finance & Economics; University of Toronto
摘要：We consider a three-stage game in which, first, a large number of potential firms make entry decisions, then those who choose to stay in the market decide on the investment (quality) level in each product, and last, customers with heterogeneous preferences arrive sequentially to make (random) purchase decisions based on product quality and historical sales under the network effect according to a discrete choice model. We characterize such a random purchase process and show that a growing netwo...
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作者：Han, Jinhui; Li, Xiaolong; Sethi, Suresh P.; Siu, Chi Chung; Yam, Sheung Chi Phillip
作者单位：Peking University; University of Hong Kong; University of Texas System; University of Texas Dallas; Hang Seng University of Hong Kong; Chinese University of Hong Kong
摘要：We consider continuous -review, single -product inventory systems with a constant replenishment rate, Levy demand, general inventory holding cost, and general lostsales penalty. The Levy demand encompasses various demand dynamics used in the inventory literature. We obtain optimal replenishment rates that minimize the timeaverage cost and expected discounted costs. We can solve this problem explicitly for the optimal replenishment rate by utilizing the renewal theorem for the time -average cos...
