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作者：Birge, John R.; Feng, Yifan; Keskin, N. Bora; Schultz, Adam
作者单位：University of Chicago; National University of Singapore; Duke University; Uber Technologies, Inc.
摘要：We study the profit-maximization problem of a market maker in a spread betting market. In this market, the market maker quotes cutoff lines for the outcome of a certain future event as prices, and bettors bet on whether the event outcome exceeds the cutoff lines. Anonymous bettors with heterogeneous strategic behavior and information levels participate in the market. The market maker has limited information on the event outcome distribution, aiming to extract information from the market (i.e.,...
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作者：Maglaras, Costis; Moallemi, Ciamac C.; Zheng, Hua
作者单位：Columbia University; JP Morgan Chase & Company
摘要：In modern equity markets, participants have a choice of many exchanges at which to trade. Exchanges typically operate as electronic limit order books under a price-time priority rule and, in turn, can be modeled as multiclass first-in-first-out queueing systems. A market with multiple exchanges can be thought as a decentralized, parallel queueing system. Heterogeneous traders that submit limit orders select the exchange (i.e., the queue), in which to place their orders by trading off financial...
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作者：Balseiro, Santiago; Kim, Anthony; Mahdian, Mohammad; Mirrokni, Vahab
作者单位：Columbia University; Amazon.com; Alphabet Inc.; Google Incorporated
摘要：In online advertising, advertisers purchase ad placements by participating in a long sequence of repeated auctions. One of the most important features that advertising platforms often provide and advertisers often use is budget management, which allows advertisers to control their cumulative expenditures. Advertisers typically declare the maximum daily amount they are willing to pay, and the platform adjusts allocations and payments to guarantee that cumulative expenditures do not exceed budge...
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作者：Zhang, Yu; Zhang, Zhenzhen; Lim, Andrew; Sim, Melvyn
作者单位：Southwestern University of Finance & Economics - China; Tongji University; National University of Singapore; National University of Singapore
摘要：Optimal routing solutions based on deterministic models usually fail to deliver promised on-time services in an uncertain real world, which can lead to the loss of customers and revenue. We study a vehicle routing problem with time windows (VRPTW) toward the end of mitigating the risk of late customer arrivals as much as possible when travel times are based on empirical distributions. To prevent overfitting, we propose a distributionally robust optimization model that uses a Wasserstein distan...
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作者：Saban, Daniela; Weintraub, Gabriel Y.
作者单位：Stanford University
摘要：We consider the problem faced by a procurement agency that runs a mechanism for constructing an assortment of differentiated products with posted prices, from which heterogeneous consumers buy their most preferred alternative. Procurement mechanisms used by large organizations, including framework agreements (FAs), which are widely used in the public sector, often take this form. When choosing the assortment, the procurement agency must optimize the tradeoff between offering a richer menu of p...
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作者：Chen, Qi (George); Jasin, Stefanus; Duenyas, Izak
作者单位：University of London; London Business School; University of Michigan System; University of Michigan
摘要：We consider joint learning and pricing in network revenue management (NRM) with multiple products, multiple resources with finite capacity, parametric demand model, and a continuum set of feasible price vectors. We study the setting with a general parametric demand model and the setting with a well-separated demand model. For the general parametric demand model, we propose a heuristic that is rate-optimal (i.e., its regret bound exactly matches the known theoretical lower bound under any feasi...
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作者：Armony, Mor; Roels, Guillaume; Song, Hummy
作者单位：New York University; INSEAD Business School; University of Pennsylvania
摘要：Although pooling queues offer in principle many operational benefits, these may not always be achieved in practice. One reason, observed in, prior empirical studies, relates to customer ownership. In this paper, we formalize these empirical observations by developing a game-theoretic model to assess the performance of pooling when servers choose their capacities strategically and exhibit varying scopes of customer ownership, captured by two cost components, respectively, associated with the pr...
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作者：Federgruen, Awi; Hu, Ming
作者单位：Columbia University; University of Toronto
摘要：We analyze a general but parsimonious price competition model for an oligopoly in which each firm offers any number of products. The demand volumes are general piecewise affine functions of the full price vector, generated as the regular extension of a base set of affine functions. The model specifies a product assortment, along with their prices and demand volumes, in contrast to most commonly used demand models, such as the multinomial logit model or any of its variants. We show that a speci...
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作者：Ross, Sheldon M.; Weiss, Gideon; Zhang, Zhengyu
作者单位：University of Southern California; University of Haifa
摘要：Consider n initially empty boxes, numbered 1 through n. Balls arrive sequentially. Each ball has a binary n-vector attached to it, with the interpretation that the ball is eligible to be put in box i if component i of its vector is equal to 1. An arriving ball can be put in any empty box for which it is eligible. Assuming that components of the vector are independent Bernoulli random variables with initially unknown probabilities, our primary interest is to compare several policies to determin...
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作者：Gao, Xuefeng; Gurbuzbalaban, Mert; Zhu, Lingjiong
作者单位：Chinese University of Hong Kong; Rutgers University System; Rutgers University New Brunswick; State University System of Florida; Florida State University
摘要：Stochastic gradient Hamiltonian Monte Carlo (SGHMC) is a variant of stochastic gradients with momentum where a controlled and properly scaled Gaussian noise is added to the stochastic gradients to steer the iterates toward a global minimum. Many works report its empirical success in practice for solving stochastic nonconvex optimization problems; in particular, it has been observed to outperform overdamped Langevin Monte Carlo-based methods, such as stochastic gradient Langevin dynamics (SGLD)...
