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作者：Aravena, Ignacio; Molzahn, Daniel K.; Zhang, Shixuan; Petra, Cosmin G.; Curtis, Frank E.; Tu, Shenyinying; Wachter, Andreas; Wei, Ermin; Wong, Elizabeth; Gholami, Amin; Sun, Kaizhao; Sun, Xu Andy; Elbert, Stephen T.; Holzer, Jesse T.; Veeramany, Arun
作者单位：United States Department of Energy (DOE); Lawrence Livermore National Laboratory; University System of Georgia; Georgia Institute of Technology; Lehigh University; Northwestern University; University of California System; University of California San Diego; Massachusetts Institute of Technology (MIT); United States Department of Energy (DOE); Pacific Northwest National Laboratory
摘要：The optimal power-flow problem is central to many tasks in the design and operation of electric power grids. This problem seeks the minimum-cost operating point for an electric power grid while satisfying both engineering requirements and physical laws describing how power travels through the electric network. By additionally considering the possibility of component failures and using an accurate alternating current (AC) power-flow model of the electric network, the security-constrained AC opt...
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作者：Siegel, Andrew F.; Wagner, Michael R.
作者单位：University of Washington; University of Washington Seattle
摘要：In this note, we identify a statistically significant error in naively estimating the expected profit in a data-driven newsvendor model, and we show how to correct the error. In particular, we analyze a newsvendor model where the continuous demand distribution is not known, and only a sample of demand data is available. In this context, an empirical demand distribution, that is induced by the sample of data, is used in place of the (unknown) true distribution. The quantity at the critical perc...
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作者：Edirisinghe, Chanaka; Chen, Jingnan; Jeong, Jaehwan
作者单位：Rensselaer Polytechnic Institute; Beihang University; Radford University
摘要：We study optimal portfolio choice under leveraging to improve portfolio performance when trade execution faces market impact. We consider a quasi-elastic market with continuous trading in which temporary liquidity costs are sufficiently large relative to permanent impact. The resulting convex optimization model is used to show analytically that an unlevered portfolio maximizing the Sharpe ratio is no longer a tangency portfolio, and increasing the portfolio target mean leads to severely underm...
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作者：DeValve, Levi; Pekec, Sasa; Wei, Yehua
作者单位：University of Chicago; Duke University
摘要：Network design problems, such as flexibility design, are ubiquitous in modern marketplaces where firms constantly innovate new ways to match supply and demand. We develop a primal-dual based approach to analyze the flexibility design problem, and establish that the problem possesses a novel structural property. The property, which we call cover modularity, can be interpreted as an approximate form of submodularity in the sense that local changes in the objective function can be used to bound g...
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作者：Rostami, Borzou; Errico, Fausto; Lodi, Andrea
作者单位：Wilfrid Laurier University; Universite de Montreal; Polytechnique Montreal; University of Quebec; Ecole de Technologie Superieure - Canada; Cornell University
摘要：In this paper, we propose a general modeling and solving framework for a large class of binary quadratic programs subject to variable partitioning constraints. Problems in this class have a wide range of applications as many binary quadratic programs with linear constraints can be represented in this form. By exploiting the structure of the partitioning constraints, we propose mixed-integer nonlinear programming (MINLP) and mixedinteger linear programming (MILP) reformulations and show the rel...
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作者：Salemi, Hosseinali; Davarnia, Danial
作者单位：Iowa State University
摘要：Over the past decade, decision diagrams (DDs) have been used to model and solve integer programming and combinatorial optimization problems. Despite successful performance of DDs in solving various discrete optimization problems, their extension to model mixed-integer programs (MIPs), such as those appearing in energy applications, is lacking. More broadly, the question of which problem structures admit a DD representation is still open in the DD community. In this paper, we address this quest...
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作者：Sinclair, Sean R.; Jain, Gauri; Banerjee, Siddhartha; Yu, Christina Lee
作者单位：Cornell University
摘要：We consider the problem of dividing limited resources to individuals arriving over T rounds. Each round has a random number of individuals arrive, and individuals can be characterized by their type (i.e., preferences over the different resources). A standard notion of fairness in this setting is that an allocation simultaneously satisfy envy-freeness and efficiency. The former is an individual guarantee, requiring that each agent prefers the agent's own allocation over the allocation of any ot...
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作者：Sturt, Bradley
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：Optimal stopping is a fundamental class of stochastic dynamic optimization problems with numerous applications in finance and operations management. We introduce a new approach for solving computationally-demanding stochastic optimal stopping problems with known probability distributions. The approach uses simulation to construct a robust optimization problem that approximates the stochastic optimal stopping problem to any arbitrary accuracy; we then solve the robust optimization problem to ob...
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作者：Jiang, Jiashuo; Wang, Shixin; Zhang, Jiawei
作者单位：Hong Kong University of Science & Technology; Chinese University of Hong Kong; New York University
摘要：Resource pooling is a fundamental concept that has many applications in operations management for reducing and hedging uncertainty. An important problem in resource pooling is to decide (1) the capacity level of pooled resources in anticipation of randomdemand ofmultiple customers and (2) how the capacity should be allocated to fulfill customer demands after demand realization. In this paper, we present a general framework to study this two-stage problem when customers require individual and p...
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作者：Liu, Yue; Fang, Ethan X.; Lu, Junwei
作者单位：Harvard University; Duke University; Harvard University; Harvard T.H. Chan School of Public Health
摘要：We propose a novel combinatorial inference framework to conduct general uncertainty quantification in ranking problems. We consider the widely adopted Bradley-Terry-Luce (BTL) model, where each item is assigned a positive preference score that determines the Bernoulli distributions of pairwise comparisons' outcomes. Our proposedmethod aims to infer general ranking properties of the BTLmodel. The general ranking properties include the local properties such as if an item is preferred over anothe...
