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作者：Feldman, Jacob; Zhang, Dennis J.; Liu, Xiaofei; Zhang, Nannan
作者单位：Washington University (WUSTL); Alibaba Group
摘要：We compare the performance of two approaches for finding the optimal set of products to display to customers landing on Alibaba's two online marketplaces, Tmall and Taobao. We conducted a large-scale field experiment, in which we randomly assigned 10,421,649 customer visits during a one-week-long period to one of the two approaches and measured the revenue generated per customer visit. The first approach we tested was Alibaba's current practice, which embeds product and customer features withi...
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作者：Nguyen, Viet Anh; Kuhn, Daniel; Esfahani, Peyman Mohajerin
作者单位：Stanford University; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Delft University of Technology
摘要：We introduce a distributionally robust maximum likelihood estimation model with a Wasserstein ambiguity set to infer the inverse covariance matrix of a p-dimensional Gaussian random vector from n independent samples. The proposed model minimizes the worst case (maximum) of Stein's loss across all normal reference distributions within a prescribed Wasserstein distance from the normal distribution characterized by the sample mean and the sample covariance matrix. We prove that this estimation pr...
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作者：Lassance, Nathan; DeMiguel, Victor; Vrins, Frederic
作者单位：University of London; London Business School
摘要：A natural approach to enhance portfolio diversification is to rely on factor-risk parity, which yields the portfolio whose risk is equally spread among a set of uncorrelated factors. The standard choice is to take the variance as risk measure, and the principal components (PCs) of asset returns as factors. Although PCs are unique and useful for dimension reduction, they are an arbitrary choice: any rotation of the PCs results in uncorrelated factors. This is problematic becausewe demonstrate t...
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作者：Bertsimas, Dimitris; Shtern, Shimrit; Sturt, Bradley
作者单位：Massachusetts Institute of Technology (MIT); Technion Israel Institute of Technology; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：We investigate a simple approximation scheme, based on overlapping linear decision rules, for solving data-driven two-stage distributionally robust optimization problems with the type-infinity Wasserstein ambiguity set. Our main result establishes that this approximation scheme is asymptotically optimal for two-stage stochastic linear optimization problems; that is, under mild assumptions, the optimal cost and optimal first-stage decisions obtained by approximating the robust optimization prob...
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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...
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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...
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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...
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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...
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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...
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作者：Liu, Yunan; Sun, Xu; Hovey, Kyle
作者单位：North Carolina State University; State University System of Florida; University of Florida; United States Department of Defense
摘要：Motivated by large-scale service systems, we study a multiclass queueing system having class-dependent service rates and heterogeneous abandonment distributions. Our objective is to devise proper staffing and scheduling schemes to achieve differentiated services for each class. Formally, for a class-specific delay target w(i) > 0 and threshold alpha(i) is an element of (0,1), we concurrently determine an appropriate staffing level (number of servers) and a server-assignment rule (assigning new...
