2023

最新文章

• Disruption and Rerouting in Supply Chain Networks AI翻译
  作者：Birge, John R.; Capponi, Agostino; Chen, Peng-Chu
  作者单位：University of Chicago; Columbia University; University of Hong Kong
  摘要：We study systemic risk in a supply chain network where firms are connected through purchase orders. Firms can be hit by cost or demand shocks, which can cause defaults. These shocks propagate through the supply chain network via input-output linkages between buyers and suppliers. Firms endogenously take contingency plans to mitigate the impact generated from disruptions. We show that, as long as firms have large initial equity buffers, network fragility is low if both buyer diversification and...
• Robustness of Proactive Intensive Care Unit Transfer Policies AI翻译
  作者：Grand-Clement, Julien; Chan, Carri W.; Goyal, Vineet; Escobar, Gabriel
  作者单位：Columbia University; Columbia University; Kaiser Permanente
  摘要：Patients whose transfer to the intensive care unit (ICU) is unplanned are prone to higher mortality rates and longer length of stay. Recent advances in machine learning to predict patient deterioration have introduced the possibility of proactive transfer from the ward to the ICU. In this work, we study the problem of finding robust patient transfer policies that account for the important problem of uncertainty in statistical estimates because of data limitations when optimizing to improve ove...
• Adaptive Discretization in Online Reinforcement Learning AI翻译
  作者：Sinclair, Sean R.; Banerjee, Siddhartha; Yu, Christina Lee
  作者单位：Cornell University
  摘要：Discretization-based approaches to solving online reinforcement learning problems are studied extensively on applications such as resource allocation and cache management. The two major questions in designing discretization-based algorithms are how to create the discretization and when to refine it. There are several experimental results investigating heuristic approaches to these questions but little theoretical treatment. In this paper, we provide a unified theoretical analysis of model-free...
• Enhanced Balancing of Bias-Variance Tradeoff in Stochastic Estimation: A Minimax Perspective AI翻译
  作者：Lam, Henry; Zhang, Xinyu; Zhang, Xuhui
  作者单位：Columbia University; Stanford University
  摘要：Biased stochastic estimators, such as finite differences for noisy gradient estimation, often contain parameters that need to be properly chosen to balance impacts from the bias and the variance. Although the optimal order of these parameters in terms of the simulation budget can be readily established, the precise best values depend on model characteristics that are typically unknown in advance. We introduce a framework to construct new classes of estimators based on judicious combinations of...
• Forecasting COVID-19 and Analyzing the Effect of Government Interventions AI翻译
  作者：Li, Michael Lingzhi; Bouardi, Hamza Tazi; Lami, Omar Skali; Trikalinos, Thomas A.; Trichakis, Nikolaos; Bertsimas, Dimitris
  作者单位：Massachusetts Institute of Technology (MIT); Brown University; Massachusetts Institute of Technology (MIT)
  摘要：We developed DELPHI, a novel epidemiological model for predicting detected cases and deaths in the prevaccination era of the COVID-19 pandemic. The model allows for underdetection of infections and effects of government interventions. We have applied DELPHI across more than 200 geographical areas since early April 2020 and recorded 6% and 11% two-week, out-of-sample median mean absolute percentage error on predicting cases and deaths, respectively. DELPHI compares favorably with other top COVI...
• On the Strength of Relaxations of Weakly Coupled Stochastic Dynamic Programs AI翻译
  作者：Brown, David B.; Zhang, Jingwei
  作者单位：Duke University
  摘要：Many stochastic dynamic programs (DPs) have a weakly coupled structure in that a set of linking constraints in each period couples an otherwise independent collection of subproblems. Two widely studied approximations of such problems are approximate linear programs (ALPs), which involve optimizing value function approximations that additively separate across subproblems, and Lagrangian relaxations, which involve relaxing the linking constraints. It is well known that both of these approximatio...
• The Best of Many Worlds: Dual Mirror Descent for Online Allocation Problems AI翻译
  作者：Balseiro, Santiago R.; Lu, Haihao; Mirrokni, Vahab
  作者单位：Columbia University; Alphabet Inc.; Google Incorporated; University of Chicago
  摘要：Online allocation problems with resource constraints are central problems in revenue management and online advertising. In these problems, requests arrive sequentially during a finite horizon and, for each request, a decision maker needs to choose an action that consumes a certain amount of resources and generates reward. The objective is to maximize cumulative rewards subject to a constraint on the total consumption of resources. In this paper, we consider a data-driven setting in which the r...
• An Online Learning Approach to Dynamic Pricing and Capacity Sizing in Service Systems AI翻译
  作者：Chen, Xinyun; Liu, Yunan; Hong, Guiyu
  作者单位：The Chinese University of Hong Kong, Shenzhen; North Carolina State University
  摘要：We study a dynamic pricing and capacity sizing problem in a GI/GI/1 queue, in which the service provider's objective is to obtain the optimal service fee p and service capacity & mu; so as to maximize the cumulative expected profit (the service revenue minus the staffing cost and delay penalty). Because of the complex nature of the queueing dynamics, such a problem has no analytic solution so that previous research often resorts to heavy traffic analysis in which both the arrival and service r...
• A Decomposition Algorithm with Fast Identification of Critical Contingencies for Large-Scale Security-Constrained AC-OPF AI翻译
  作者：Curtis, Frank E.; Molzahn, Daniel K.; Tu, Shenyinying; Wachter, Andreas; Wei, Ermin; Wonge, Elizabeth
  作者单位：Lehigh University; University System of Georgia; Georgia Institute of Technology; Northwestern University; Northwestern University; University of California System; University of California San Diego
  摘要：A decomposition algorithm for solving large-scale security-constrained AC optimal power flow problems is presented. The formulation considered is the one used in the Advanced Research Projects Agency-Energy Grid Optimization Competition, Challenge 1, held from November 2018 through October 2019. Algorithmic strategies are proposed for contingency selection, fast contingency evaluation, handling complementarity constraints, avoiding issues related to degeneracy, and exploiting parallelism. The ...
• Inventory Control and Learning for One-Warehouse Multistore System with Censored Demand AI翻译
  作者：Bekci, Recep Yusuf; Gumus, Mehmet; Miao, Sentao
  作者单位：University of Waterloo; McGill University; University of Colorado System; University of Colorado Boulder
  摘要：Motivated by our collaboration with one of the largest fast-fashion retailers in Europe, we study a two-echelon inventory control problem called the one-warehouse multistore (OWMS) problem when the demand distribution is unknown. This system has a central warehouse that receives an initial replenishment and distributes its inventory to multiple stores in each time period during a finite horizon. The goal is to minimize the total expected cost, which consists of shipment, holding, lost-sales, a...