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作者：Luo, Yuetian; Huang, Wen; Li, Xudong; Zhang, Anru
作者单位：University of Chicago; Xiamen University; Fudan University; Duke University
摘要：In this paper, we propose a recursive importance sketching algorithm for rank constrained least squares optimization (RISRO). The key step of RISRO is recursive importance sketching, a new sketching framework based on deterministically designed recursive projections, and it significantly differs from the randomized sketching in the literature. Several existing algorithms in the literature can be reinterpreted under this new sketching framework, and RISRO offers clear advantages over them. RISR...
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作者：Chen, Zhi; Kuhn, Daniel; Wiesemann, Wolfram
作者单位：City University of Hong Kong; Imperial College London
摘要：We provide an exact deterministic reformulation for data-driven, chanceconstrained programs over Wasserstein balls. For individual chance constraints as well as joint chance constraints with right-hand-side uncertainty, our reformulation amounts to a mixed-integer conic program. In the special case of a Wasserstein ball with the 1-norm or the ???-norm, the cone is the nonnegative orthant, and the chance-constrained program can be reformulated as a mixed-integer linear program. Our reformulatio...
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作者：[Anonymous]
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作者：Schindler, Kilian; Rujeerapaiboon, Napat; Kuhn, Daniel; Wiesemann, Wolfram
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; National University of Singapore; Imperial College London
摘要：Peak/off-peak spreads on European electricity forward and spot markets are eroding due to the ongoing nuclear phaseout in Germany and the steady growth in photovoltaic capacity. The reduced profitability of peak/off-peak arbitrage forces hydropower producers to recover part of their original profitability on the reserve markets. We propose a bilayer stochastic programming framework for the optimal operation of a fleet of interconnected hydropower plants that sells energy on both the spot and t...
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作者：Manchiraju, Chandrasekhar; Dawande, Milind; Janakiraman, Ganesh
作者单位：University of Texas System; University of Texas Dallas
摘要：We revisit two classical price-based and choice-based network revenue management problems studied in the literature. The setting for the problems is as follows: A firm sells multiple products over a finite horizon using a limited supply of resources. Product demands are stochastic. The demand rate for each product depends on the current price vector (respectively, assortment displayed). The firm's goal is to obtain a pricing (respectively, assortment) policy that maximizes its expected revenue...
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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...
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作者：Jagabathula, Srikanth; Mitrofanov, Dmitry; Vulcano, Gustavo
作者单位：New York University; Boston College; Universidad Torcuato Di Tella
摘要：To estimate customer demand, choice models rely both on what the individuals do and do not purchase. A customer may not purchase a product because it was not offered but also because it was not considered. To account for this behavior, existing literature has proposed the so-called consider-then-choose (CTC) models, which posit that customers sample a consideration set and then choose the most preferred product from the intersection of the offer set and the consideration set. CTC models have b...
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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：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：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...
