5期

最新文章

• Optimal Leveraged Portfolio Selection Under Quasi-Elastic Market Impact AI翻译
  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...
• Sequential Fair Allocation: Achieving the Optimal Envy-Efficiency Trade-off Curve AI翻译
  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...
• A Nonparametric Algorithm for Optimal Stopping Based on Robust Optimization AI翻译
  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...
• Dual Approach for Two-Stage Robust Nonlinear Optimization AI翻译
  作者：de Ruiter, Frans J. C. T.; Zhen, Jianzhe; den Hertog, Dick
  作者单位：Wageningen University & Research; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Federal Institutes of Technology Domain; ETH Zurich; University of Amsterdam
  摘要：Adjustable robust minimization problems where the objective or constraints depend in a convex way on the adjustable variables are generally difficult to solve. In this paper, we reformulate the original adjustable robust nonlinear problem with a polyhedral uncertainty set into an equivalent adjustable robust linear problem, for which all existing approaches for adjustable robust linear problems can be used. The reformulation is obtained by first dualizing over the adjustable variables and then...
• Optimal Procurement in Remanufacturing Systems with Uncertain Used-Item Condition AI翻译
  作者：Nadar, Emre; Akan, Mustafa; Debo, Laurens; Scheller-Wolf, Alan
  作者单位：Ihsan Dogramaci Bilkent University; Carnegie Mellon University; Dartmouth College
  摘要：We consider a single-product remanufacture-to-order system with multiple uncertain quality levels for used items, random procurement lead times, and lost sales. The quality level of a used item is revealed only after it is acquired and inspected; the remanufacturing cost is lower for a higher-quality item. We model this system as a Markov decision process and seek an optimal policy that specifies when a used item should be procured, whether an arriving demand for the remanufactured product sho...
• Joint Inventory and Scheduling Control in a Repair Facility AI翻译
  作者：Ozkan, Erhun; van Houtum, Geert-Jan
  作者单位：Koc University; Eindhoven University of Technology
  摘要：We study inventory and repair scheduling decisions of a maintenance service provider for repairable capital goods. Because of high downtime costs, the service provider keeps spare parts on stock to replace broken parts quickly. The service provider should determine the inventory level of spare parts for each component and the repair scheduling policy. Furthermore, in case of a stock-out, the service provider should decide whether to back-order the demand or execute an emergency repair, which i...
• Tight Guarantees for Static Threshold Policies in the Prophet Secretary Problem AI翻译
  作者：Arnosti, Nick; Ma, Will
  作者单位：University of Minnesota System; University of Minnesota Twin Cities; Columbia University
  摘要：In the prophet secretary problem, n values are drawn independently from known distributions and presented in a uniformly random order. A decision maker must accept or reject each value when it is presented and may accept at most k values in total. The objective is to maximize the expected sum of accepted values. We analyze the performance of static threshold policies, which accept the first k values exceeding a fixed threshold (or all such values, if fewer than k exist). We show that an approp...
• Algorithms and Complexities of Matching Variants in Covariate Balancing AI翻译
  作者：Hochbaum, Dorit S.; Levin, Asaf; Rao, Xu
  作者单位：Technion Israel Institute of Technology
  摘要：Here, we study several variants of matching problems that arise in covariate balancing. Covariate balancing problems can be viewed as variants of matching, or b-matching, with global side constraints. We present here a comprehensive complexity study of the covariate balancing problems providing polynomial time algorithms, or a proof of NP-hardness. The polynomial time algorithms described are mostly combinatorial and rely on network flow techniques. In addition, we present several fixed-parame...
• Technical Note-The Complexity of the Pricing Problem of the Set Partitioning Formulation of Vehicle Routing Problems AI翻译
  作者：Spliet, Remy
  作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
  摘要：State-of-the-art exact algorithms for vehicle routing problems are branch-price-and-cut algorithms that make use of a set partitioning formulation. Only exponential time algo-rithms are known for the corresponding pricing problem. In this technical note, it is proven that the pricing problem is strongly NP-hard for various vehicle routing problems. This justi-fies the common use of route relaxations that modify the set partitioning formulation with the aim to allow pseudopolynomial pricing alg...
• Bayesian Inventory Control: Accelerated Demand Learning via Exploration Boosts AI翻译
  作者：Chuang, Ya-Tang; Kim, Michael Jong
  作者单位：National Cheng Kung University; University of British Columbia
  摘要：We investigate Bayesian inventory control problems where parameters of the demand distribution are not known a priori but need to be learned using right-censored sales data. A Bayesian framework is adopted for demand learning, and the corresponding control problem is analyzed via Bayesian dynamic programming (BDP). In the Bayesian setting, it is known that the BDP-optimal decision is equal to the sum of the myopic-optimal decision plus a nonnegative exploration boost. The goal of this paper is...