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作者：Feng, Yifan; Caldentey, Rene; Ryan, Christopher Thomas
作者单位：National University of Singapore; University of Chicago; University of British Columbia
摘要：This paper studies a class of ranking and selection problems faced by a company that wants to identify the most preferred product out of a finite set of alternatives when consumer preferences are a priori unknown. The only information available is that consumer preferences satisfy two key properties: (i) they are consistent with some unknown true ranking of the alternatives, and (ii) they are strict, namely, no two products are equally preferred. To learn the unknown ranking, the company is ab...
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作者：Borgs, Christian; Chayes, Jennifer T.; Shah, Devavrat; Yu, Christina Lee
作者单位：University of California System; University of California Berkeley; University of California System; University of California Berkeley; University of California System; University of California Berkeley; Cornell University
摘要：We consider sparse matrix estimation where the goal is to estimate an n-by-n matrix from noisy observations of a small subset of its entries. We analyze the estimation error of the popularly used collaborative filtering algorithm for the sparse regime. Specifically, we propose a novel iterative variant of the algorithm, adapted to handle the setting of sparse observations. We establish that as long as the number of entries observed at random scale logarithmically larger than linear in n, the e...
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作者：Zhu, Ziwei; Li, Xudong; Wang, Mengdi; Zhang, Anru
作者单位：University of Michigan System; University of Michigan; Fudan University; Fudan University; Princeton University; Princeton University; University of Wisconsin System; University of Wisconsin Madison; Duke University
摘要：Modeling unknown systems from data is a precursor of system optimization and sequential decision making. In this paper, we focus on learning a Markov model from a single trajectory of states. Suppose that the transition model has a small rank despite having a large state space, meaning that the system admits a low-dimensional latent structure. We show that one can estimate the full transition model accurately using a trajectory of length that is proportional to the total number of states. We p...
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作者：Aouad, Ali; Saritac, Omer
作者单位：University of London; London Business School
摘要：In centralized matching markets such as carpooling platforms and kidney exchange schemes, new participants constantly enter the market and remain available for potential matches during a limited period of time. To reach an efficient allocation, the ???timing??? of the matching decisions is a critical aspect of the platform???s operations. There is a fundamental tradeoff between increasing market thickness and mitigating the risk that participants abandon the market. Nonetheless, the dynamic pr...
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作者：Jagabathula, Srikanth; Mitrofanov, Dmitry; Vulcano, Gustavo
作者单位：New York University; Boston College; Universidad Torcuato Di Tella; Consejo Nacional de Investigaciones Cientificas y Tecnicas (CONICET)
摘要：We propose a back-to-back procedure for running personalized promotions in retail operations contexts, from the construction of a nonparametric choice model where customer preferences are represented by directed acyclic graphs (DAGs) to the design of such promotions. The source data include a history of purchases tagged by customer ID jointly with product availability and promotion data for a category of products. In each customer DAG, nodes represent products and directed edges represent the ...
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作者：Shen, Xiaobei; Yu, Yimin; Huh, Woonghee Tim
作者单位：Chinese Academy of Sciences; University of Science & Technology of China, CAS; City University of Hong Kong; University of British Columbia
摘要：We consider optimal inventory replenishment policies for capacitated 2-echelon serial inventory systems, where the capacity of upstream echelon can be the bottleneck. We show that the optimal replenishment decisions in each period can be made one echelon at a time by introducing a procedure that can sequentially decompose a multidimensional optimization problem to a series of one-dimensional problems. We also introduce the no-tion of permutation-dependent separability. A permutation-dependent ...
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作者：Li, Haitao; Wu, Chongfeng; Zhou, Chunyang
作者单位：Shanghai Jiao Tong University
摘要：We study the implications of time-varying risk aversion for dynamic portfolio allocation under the framework of regime-switching models. In our model, both asset returns and investor risk aversion are regime dependent: In a bull regime, asset return is high, volatility is low, and risk aversion is low, and the opposite happens in a bear regime. We develop an efficient dynamic programming algorithm that overcomes the challenges imposed by regime-dependent preference in obtaining time-consistent...
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作者：Pavone, Marco; Saberi, Amin; Schiffer, Maximilian; Tsao, Matt Wu
作者单位：Stanford University; Stanford University; Technical University of Munich; Technical University of Munich; Stanford University
摘要：We study an online hypergraph matching problem inspired by ridesharing and delivery applications. The vertices of a hypergraph are revealed sequentially and must be matched shortly thereafter, otherwise they will leave the system in favor of an outside option. Hyperedges are revealed to the algorithm once all of its vertices have arrived, and can only be included into the matching before any of its vertices leave the system. The cardinality of hyperedges are bounded by a small constant which r...
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作者：Peeters, Yannik; den Boer, Arnoud V.; Mandjes, Michel
作者单位：University of Amsterdam; University of Amsterdam
摘要：We consider assortment optimization over a continuous spectrum of products represented by the unit interval, where the seller's problem consists of determining the optimal subset of products to offer to potential customers. To describe the relation between assortment and customer choice, we propose a probabilistic choice model that forms the continuous counterpart of the widely studied discrete multinomial logit model. We consider the seller's problem under incomplete information, propose a st...
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作者：Suen, Sze-chuan; Negoescu, Diana; Goh, Joel
作者单位：University of Southern California; University of Minnesota System; University of Minnesota Twin Cities; National University of Singapore; National University of Singapore; Harvard University
摘要：Premature cessation of antibiotic therapy (nonadherence) is common in long treatment regimens and can severely compromise health outcomes. In this work, we investigate the problem of designing a schedule of incentive payments to induce socially optimal treatment adherence levels in a setting in which treatment adherence can be observed (e.g., through directly observed therapy for tuberculosis), but patient preferences for treatment adherence are heterogeneous and unobservable to a health provi...
