2022

最新文章

• Shortfall Risk Models When Information on Loss Function Is Incomplete AI翻译
  作者：Delage, Erick; Guo, Shaoyan; Xu, Huifu
  作者单位：Universite de Montreal; HEC Montreal; Universite de Montreal; HEC Montreal; Dalian University of Technology; Chinese University of Hong Kong
  摘要：The utility-based shortfall risk (SR) measure effectively captures a decisionmaker's risk attitude on tail losses by an increasing convex loss function. In this paper, we consider a situation where the decision maker's risk attitude toward tail losses is ambiguous and introduce a robust version of SR, which mitigates the risk arising from such ambiguity. Specifically, we use some available partial information or subjective judgement to construct a set of utility-based loss functions and define...
• Crosscutting Core Pricing in Combinatorial Exchanges with Financially Constrained Buyers: Computational Hardness and Algorithmic Solutions AI翻译
  作者：Bichler, Martin; Waldherr, Stefan
  作者单位：Technical University of Munich; Vrije Universiteit Amsterdam
  摘要：The computation of market equilibria is a fundamental and practically relevant problem. Current advances in computational optimization allow for the organization of large combinatorial markets in the field. Although we know the computational complexity and the types of price functions necessary for combinatorial exchanges with quasilinear preferences, the respective literature does not consider financially constrained buyers. We show that computing market outcomes that respect budget constrain...
• Revenue-Maximizing Auctions: A Bidder's Standpoint AI翻译
  作者：Nedelec, Thomas; Calauzenes, Clement; Perchet, Vianney; El Karoui, Noureddine
  作者单位：Universite Paris Cite; Universite Paris Saclay; Ecole Normale Superieure de Lyon (ENS de LYON); Institut Polytechnique de Paris; ENSAE Paris; University of California System; University of California Berkeley
  摘要：We address the problem of improving bidders' strategies in prior-dependent revenue-maximizing auctions and introduce a simple and generic method to design novel bidding strategies whenever the seller uses past bids to optimize her mechanism. We propose a simple and agnostic strategy, independent of the distribution of the competition, that is robust to mechanism changes and local optimization of reserve prices by the seller. In many settings, it consists in overbidding for low values, then und...
• Plausible Screening Using Functional Properties for Simulations with Large Solution Spaces AI翻译
  作者：Eckman, David J.; Plumlee, Matthew; Nelson, Barry L.
  作者单位：Texas A&M University System; Texas A&M University College Station; Northwestern University
  摘要：When working with models that allow for many candidate solutions, simulation practitioners can benefit fromscreening out unacceptable solutions in a statistically controlled way. However, for large solution spaces, estimating the performance of all solutions through simulation can prove impractical. We propose a statistical framework for screening solutions even when only a relatively small subset of them is simulated. Our framework derives its superiority over exhaustive screening approaches ...
• Actor-Critic-Like Stochastic Adaptive Search for Continuous Simulation Optimization AI翻译
  作者：Zhang, Qi; Hu, Jiaqiao
  作者单位：State University of New York (SUNY) System; Stony Brook University
  摘要：We propose a random search method for solving a class of simulation optimization problems with Lipschitz continuity properties. The algorithm samples candidate solutions from a parameterized probability distribution over the solution space and estimates the performance of the sampled points through an asynchronous learning procedure based on the so-called shrinking ball method. A distinctive feature of the algorithm is that it fully retains the previous simulation information and incorporates ...
• Data-Driven Robust Resource Allocation with Monotonic Cost Functions AI翻译
  作者：Chen, Ye; Markovic, Nikola; Ryzhov, Ilya O.; Schonfeld, Paul
  作者单位：Virginia Commonwealth University; Utah System of Higher Education; University of Utah; University System of Maryland; University of Maryland College Park; University System of Maryland; University of Maryland College Park; University System of Maryland; University of Maryland College Park
  摘要：We consider two-stage planning problems (arising, e.g., in city logistics) in which a resource is first divided among a set of independent regions and then costs are incurred based on the allocation to each region. Costs are assumed to be decreasing in the quantity of the resource, but their precise values are unknown, for example, if they represent difficult expected values. We develop a new data-driven uncertainty model for monotonic cost functions, which can be used in conjunction with robu...
• Nash Social Welfare Approximation for Strategic Agents AI翻译
  作者：Bra, Simina; Gkatzelis, Vasilis; Mehta, Ruta
  作者单位：Purdue University System; Purdue University; Drexel University; University of Illinois System; University of Illinois Urbana-Champaign
  摘要：A central goal in the long literature on fair division is the design of mechanisms that implement fair outcomes, despite the participants' strategic behavior. We study this question by measuring the fairness of an allocation using the geometric mean of the agents' values, known as the Nash social welfare (NSW). This objective is maximized by widely known concepts such as the Nash bargaining solution, proportional fairness, and the competitive equilibrium with equal incomes; we focus on (approx...
• On the Optimal Design of a Bipartite Matching Queueing System AI翻译
  作者：Afeche, Philipp; Caldentey, Rene; Gupta, Varun
  作者单位：University of Toronto; University of Chicago
  摘要：We consider a multiclass multiserver queueing system and study the problem of designing an optimal matching topology (or service compatibility structure) between customer classes and servers under a first come first served-assign longest idle server (FCFS-ALIS) service discipline. Specifically, we are interested in finding matching topologies that optimize-in a Pareto efficiency sense-the trade-off between two competing objectives: (i) minimizing customers' waiting time delays and (ii) maximiz...
• Delegated Concept Testing in New Product Development AI翻译
  作者：Schlapp, Jochen; Schumacher, Gerrit
  作者单位：Frankfurt School Finance & Management
  摘要：Testing a large variety of different product concepts is an integral part of nearly all new product development initiatives???especially in the concept selection phase, where firms seek to identify the most promising concept for further development. Test results are usually collected by agents, who must be incentivized not only to exert effort in testing the concepts but also to report their findings truthfully. We ask: How should a firm structure its concept testing processes when testing eff...
• Seeding with Costly Network Information AI翻译
  作者：Eckles, Dean; Esfandiari, Hossein; Mossel, Elchanan; Rahimian, M. Amin
  作者单位：Massachusetts Institute of Technology (MIT); Alphabet Inc.; Google Incorporated; Massachusetts Institute of Technology (MIT); Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
  摘要：We study the task of selecting k nodes, in a social network of size n, to seed a diffusion with maximum expected spread size, under the independent cascade model with cascade probability p. Most of the previous work on this problem (known as influence maximization) focuses on efficient algorithms to approximate the optimal seed set with provable guarantees given knowledge of the entire network; however, obtaining full knowledge of the network is often very costly in practice. Here we develop a...