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作者：Glasserman, Paul; de Larrea, Enrique Lelo
作者单位：Columbia University; Columbia University
摘要：We study the problem of sampling uniformly from discrete or continuous product sets subject to linear constraints. This family of problems includes sampling weighted bipartite, directed, and undirected graphs with given degree sequences. We analyze two candidate distributions for sampling from the target set. The first one maximizes entropy subject to satisfying the constraints in expectation. The second one is the distribution from an exponential family that maximizes the minimum probability ...
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作者：Long, Daniel Zhuoyu; Sim, Melvyn; Zhou, Minglong
作者单位：Chinese University of Hong Kong; National University of Singapore; Fudan University
摘要：We present a general framework for robust satisficing that favors solutions for which a risk-aware objective function would best attain an acceptable target even when the actual probability distribution deviates from the empirical distribution. The satisficing decision maker specifies an acceptable target, or loss of optimality compared with the empirical optimization model, as a trade-off for the model's ability to withstand greater uncertainty. We axiomatize the decision criterion associated...
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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：Shapiro, Alexander; Cheng, Yi
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：In this paper, we discuss construction of the dual of a periodical formulation of infinite-horizon linear stochastic programs with a discount factor. The dual problem is used for computing a deterministic upper bound for the optimal value of the considered multistage stochastic program. Numerical experiments demonstrate behavior of that upper bound, especially when the discount factor is close to one.
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作者：Sellke, Mark; Slikvins, Aleksandrs
作者单位：Institute for Advanced Study - USA; Microsoft
摘要：We consider incentivized exploration: a version of multiarmed bandits where the choice of arms is controlled by self-interested agents and the algorithm can only issue recommendations. The algorithm controls the flow of information, and the information asymmetry can incentivize the agents to explore. Prior work achieves optimal regret rates up to multiplicative factors that become arbitrarily large depending on the Bayesian priors and scale exponentially in the number of arms. A more basic pro...
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作者：Cho, Jehum; Papavasiliou, Anthony
摘要：Recent research has demonstrated that real-time auctions can generate the need for side payments, even if the market clearing models are convex, because of the rolling nature of real-time market clearing. This observation has inspired proposals for modifying the real-time market-clearing model in order to account for binding past decisions. We extend this analysis in order to account for uncertainty by proposing a real-time market clearing model with look-ahead and an endogenous representation...
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作者：Srivastava, Prateek R.; Sarkar, Purnamrita; Hanasusanto, Grani A.
作者单位：University of Texas System; University of Texas Austin; University of Texas System; University of Texas Austin; University of Texas System; University of Texas Austin
摘要：We consider the problem of clustering data sets in the presence of arbitrary outliers. Traditional clustering algorithms such as k-means and spectral clustering are known to perform poorly for data sets contaminated with even a small number of outliers. In this paper, we develop a provably robust spectral clustering algorithm that applies a simple rounding scheme to denoise a Gaussian kernel matrix built from the data points and uses vanilla spectral clustering to recover the cluster labels of...
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作者：Chen, Gang; Gayon, Jean-Philippe; Lemaire, Pierre
作者单位：Guangzhou University; IMT - Institut Mines-Telecom; Mines Saint-Etienne; Centre National de la Recherche Scientifique (CNRS); Universite Clermont Auvergne (UCA); Polytechnic Institute of Clermont Auvergne; Communaute Universite Grenoble Alpes; Institut National Polytechnique de Grenoble; Universite Grenoble Alpes (UGA); Centre National de la Recherche Scientifique (CNRS)
摘要：We consider a stochastic scheduling problem in clearing systems with two types of jobs, each characterized by a general service time distribution, an exponentially distributed lifetime, and a reward. A job abandons the system if its waiting time in the queue is larger than its lifetime. Preemption is not allowed. The objective is to maximize the total expected reward. When service times are homogeneous, we provide a set of necessary and sufficient conditions for the optimality of a strict prio...
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作者：Gholami, Amin; Sun, Kaizhao; Zhang, Shixuan; Sun, Xu Andy
作者单位：Brown University; Massachusetts Institute of Technology (MIT)
摘要：In this paper, we study efficient and robust computational methods for solving the security-constrained alternating current optimal power flow (SC-ACOPF) problem, a two-stage nonlinear optimization problem with disjunctive constraints, that is central to the operation of electric power grids. The first-stage problem in SC-ACOPF determines the operation of the power grid in normal condition, whereas the second-stage problem responds to various contingencies of losing generators, transmission li...
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作者：Chen, Wen; He, Ying; Bansal, Saurabh
作者单位：Providence College; University of Southern Denmark; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We study a dynamic pricing problem in which a firm chooses prices over multiple periods when consumers are state dependent; that is, they develop a habit or satiation from their past consumption. We first derive an intertemporal demand function to capture how demand in one period depends on the price in that period and consumption in previous periods through habit or satiation. Subsequently, we formulate the optimal price setting problem for a firm over a multiperiod horizon. We establish that...
