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作者：Broek, Michiel A. J. Uit Het; Schrotenboer, Albert H.; Jargalsaikhan, Bolor; Roodbergen, Kees Jan; Coelho, Leandro C.
作者单位：University of Groningen; Laval University; Laval University
摘要：We present a generic branch-and-cut framework for solving routing problems with multiple depots and asymmetric cost structures, which determines a set of cost-minimizing (capacitated) vehicle tours that fulfill a set of customer demands. The backbone of the framework is a series of valid inequalities with corresponding separation algorithms that exploit the asymmetric cost structure in directed graphs. We derive three new classes of so-called D-k inequalities that eliminate subtours, enforce t...
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作者：Deo, Anand; Juneja, Sandeep
作者单位：Tata Institute of Fundamental Research (TIFR)
摘要：We consider discrete default intensity-based and logit-type reduced-form models for conditional default probabilities for corporate loans where we develop simple closed-form approximations to the maximum likelihood estimator (MLE) when the underlying covariates follow a stationary Gaussian process. In a practical asymptotic regime where the default probabilities are small, say less than 3% annually, and the number of firms and the time period of data available are reasonably large, we rigorous...
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作者：Liesio, Juuso; Vilkkumaa, Eeva
作者单位：Aalto University
摘要：Portfolio decision analysis models support selecting a portfolio of projects in view of multiple objectives and limited resources. In applications, portfolio utility is commonly modeled as the sum of the projects' multiattribute utilities, although such approaches lack rigorous decision-theoretic justification. This paper establishes the axiomatic foundations of a more general class of multilinear portfolio utility functions, which includes additive and multiplicative portfolio utility functio...
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作者：Golrezaei, Negin; Javanmard, Adel; Mirrokni, Vahab
作者单位：Massachusetts Institute of Technology (MIT); University of Southern California; Alphabet Inc.; Google Incorporated
摘要：Motivated by pricing in ad exchange markets, we consider the problem of robust learning of reserve prices against strategic buyers in repeated contextual second-price auctions. Buyers' valuations for an item depend on the context that describes the item. However, the seller is not aware of the relationship between the context and buyers' valuations (i.e., buyers' preferences). The seller's goal is to design a learning policy to set reserve prices via observing the past sales data, and her obje...
