2022

最新文章

• Spatial Price Integration in Commodity Markets with Capacitated Transportation Networks AI翻译
  作者：Birge, John R.; Chan, Timothy C. Y.; Pavlin, J. Michael; Zhu, Ian Yihang
  作者单位：University of Chicago; University of Toronto; Wilfrid Laurier University
  摘要：Spatial price integration is extensively studied in commodity markets as a means of examining the degree of integration between regions of a geographically diverse market. Many commodity markets that are commonly studied are supported by stable and well-defined transportation networks. In this paper, we analyze the relationship between spatial price integration, that is, the distribution of prices across geographically distinct locations in the market and the features of the underlying transpo...
• Dynamic Learning and Decision Making via Basis Weight Vectors AI翻译
  作者：Zhang, Hao
  作者单位：University of British Columbia
  摘要：This paper presents a new methodology to solve a general model of dynamic decision making with a continuous unknown parameter or state. The methodology centers on the continuation-value functions (mappings from the parameter space to the continuation-value space), created by feasible continuation policies. When the model primitives can be described through a family of basis functions (e.g., polynomials), a continuation-value function retains that property and can be represented by a basis weig...
• Systemic Risk-Driven Portfolio Selection AI翻译
  作者：Capponi, Agostino; Rubtsov, Alexey
  作者单位：Columbia University; Toronto Metropolitan University
  摘要：We consider an investor who trades off tail risk and expected growth of the investment. We measure tail risk through the portfolio's expected losses conditioned on the occurrence of a systemic event: financial market loss being exactly at, or at least at, its value-at-risk (VaR) level and investor's portfolio losses being above their conditional value-at-risk (CoVaR) level. We decompose the solution to the investment problem in terms of the Markowitz mean-variance portfolio and an adjustment f...
• Bayesian Exploration: Incentivizing Exploration in Bayesian Games AI翻译
  作者：Mansour, Yishay; Slivkins, Alex; Syrgkanis, Vasilis; Wu, Zhiwei Steven
  作者单位：Tel Aviv University; Alphabet Inc.; Google Incorporated; Microsoft; Microsoft; Carnegie Mellon University
  摘要：We consider a ubiquitous scenario in the internet economy when individual decision makers (henceforth, agents) both produce and consume information as they make strategic choices in an uncertain environment. This creates a three-way trade-off between exploration (trying out insufficiently explored alternatives to help others in the future), exploitation (making optimal decisions given the information discovered by other agents), and incentives of the agents (who are myopically interested in ex...
• A Probabilistic Approach to Growth Networks AI翻译
  作者：Jelenkovic, Predrag; Kondev, Jane; Mohapatra, Lishibanya; Momcilovic, Petar
  作者单位：Columbia University; Brandeis University; Rochester Institute of Technology; Texas A&M University System; Texas A&M University College Station
  摘要：Widely used closed product-form networks have emerged recently as a primary model of stochastic growth of subcellular structures, for example, cellular filaments. The baseline bio-molecular model is equivalent to a single-class closed queueing network, consisting of single-server and infinite-server queues. Although this model admits a seemingly tractable product-form solution, explicit analytical characterization of its partition function is difficult due to the large-scale nature of bio-mole...
• Optimal Pricing Under Multiple-Discrete Customer Choices and Diminishing Return of Consumption AI翻译
  作者：Huh, Woonghee Tim; Li, Hongmin
  作者单位：University of British Columbia; Arizona State University; Arizona State University-Tempe
  摘要：We consider a utility-based customer-choice model where the customer may purchase multiple products and even possibly multiple units of each product. We show that the set of products with strictly positive optimal consumption quantities is one of the ordered sets based on product prices and certain model parameters. We study the firm's optimal pricing problem and present how to find the optimal prices. We show that the optimal solution exhibits a property that the set of products that induces ...
• Fluid Models of Parallel Service Systems Under FCFS AI翻译
  作者：Nov, Yuval; Weiss, Gideon; Zhang, Hanqin
  作者单位：University of Haifa; National University of Singapore
  摘要：We study deterministic fluid approximation models of parallel service systems with a fixed set of servers, operating under first come first served (FCFS) policy, when the service time distributions may depend on both the server and the customer type. We explore the relations between fluid models and the properties of stability, resource pooling, and matching rates. We find that stability and resource pooling are determined by the unique fluid model in two cases: when service rates are of produ...
• Network Pricing: How to Induce Optimal Flows Under Strategic Link AI翻译
  作者：Correa, Jose; Guzman, Cristobal; Lianeas, Thanasis; Nikolova, Evdokia; Schroder, Marc
  作者单位：Universidad de Chile; Pontificia Universidad Catolica de Chile; Pontificia Universidad Catolica de Chile; National Technical University of Athens; University of Texas System; University of Texas Austin; Maastricht University
  摘要：Network pricing games provide a framework for modeling real-world settings with two types of strategic agents: operators of a network and users of the network. Operators of the network post a price so as to attract users and maximize profit; users of the network select routes based on these prices and congestion from other users. Motivated by the fact that equilibrium in these games may not exist, may not be unique, and may induce an inefficient network performance, our main result is to obser...
• Product-Based Approximate Linear Programs for Network Revenue Management AI翻译
  作者：Zhang, Rui; Samiedaluie, Saied; Zhang, Dan
  作者单位：University of Colorado System; University of Colorado Boulder; University of Alberta
  摘要：The approximate linear programming approach has received significant attention in the network revenue management literature. A popular approximation in the existing literature is separable piecewise linear (SPL) approximation, which estimates the value of each unit of each resource over time. SPL approximation can be used to construct resource-based bid-price policies. In this paper, we propose a product-based SPL approximation. The coefficients of the product-based SPL approximation can be in...
• Contextual Areas Star-Shaped Risk Measures AI翻译
  作者：Castagnoli, Erio; Cattelan, Giacomo; Maccheroni, Fabio; Tebaldi, Claudio; Wang, Ruodu
  作者单位：Bocconi University; New York University; Bocconi University; University of Waterloo
  摘要：In this paper, monetary risk measures that are positively superhomogeneous, called star-shaped risk measures, are characterized and their properties are studied. The measures in this class, which arise when the subadditivity property of coherent risk measures is dispensed with and positive homogeneity is weakened, include all practically used risk measures, in particular, both convex risk measures and value-at-risk. From a financial viewpoint, our relaxation of convexity is necessary to quanti...