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作者：Tsitsiklis, John N.; Xu, Kuang; Xu, Zhi
作者单位：Massachusetts Institute of Technology (MIT); Stanford University
摘要：We formulate a private learning model to study an intrinsic tradeoff between privacy and query complexity in sequential learning. Our model involves a learner who aims to determine a scalar value v* by sequentially querying an external database and receiving binary responses. In the meantime, an adversary observes the learner's queries, although not the responses, and tries to infer from them the value of v*. The objective of the learner is to obtain an accurate estimate of v* using only a sma...
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作者：Eeckhoudt, Louis R.; Laeven, Roger J. A.
作者单位：University of Amsterdam; Tilburg University
摘要：In decision under risk, the primal moments of mean and variance play a central role to define the local index of absolute risk aversion. In this paper, we show that in the canonical nonexpected utility models provided by the dual theory and rank-dependent utility, dual moments have to be used instead of, or on par with, their primal counterparts to obtain an equivalent index of absolute risk aversion.
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作者：Chen, Xin; Long, Daniel Zhuoyu; Qi, Jin
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Chinese University of Hong Kong; Hong Kong University of Science & Technology
摘要：This paper presents a systematic study of the preservation of supermodularity under parametric optimization, allowing us to derive complementarity among parameters and monotonic structural properties for optimal policies in many operational models. We introduce the new concepts of mostly sublattice and additive mostly sublattice, which generalize the commonly imposed sublattice condition significantly, and use them to establish the necessary and sufficient conditions for the feasible set so th...
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作者：Brown, David B.; Zhang, Jingwei
作者单位：Duke University
摘要：We consider a sequential decision problem involving shared resources and signals in which a decision maker repeatedly observes some exogenous information (the signal), modeled as a finite-state Markov process, then allocates a limited amount of a shared resource across a set of projects. The framework includes a number of applications and generalizes Markovian multiarmed bandit problems by (a) incorporating exogenous information through the signal and (b) allowing for more general resource all...
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作者：Aflaki, Arian; Swinney, Robert
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Duke University
摘要：We study the value of inventory integration (or pooling) for a firm selling a seasonal good over two periods: in the first period the firm charges a high price, and in the second period the firm charges a low price to clear remaining inventory. Consumers are rational and decide when to visit the firm based on the price of the product and its anticipated availability. We show that integration-which combines inventory from distinct selling channels or geographic regions, for example, online and ...
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作者：Xin, Linwei
作者单位：University of Chicago
摘要：Single-sourcing lost-sales inventory systems with lead times are notoriously difficult to optimize. In this paper, we propose a new family of capped base-stock policies and provide a new perspective on constructing a practical hybrid policy combining two well-known heuristics: base-stock and constant-order policies. Each capped base-stock policy is associated with two parameters: a base-stock level and an order cap. We prove that for any fixed order cap, the capped base-stock policy converges ...
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作者：Dey, Santanu S.; Mazumder, Rahul; Wang, Guanyi
作者单位：University System of Georgia; Georgia Institute of Technology; Massachusetts Institute of Technology (MIT)
摘要：Principal component analysis (PCA) is one of the most widely used dimensionality reduction tools in scientific data analysis. The PCA direction, given by the leading eigenvector of a covariance matrix, is a linear combination of all features with nonzero loadings; this impedes interpretability. Sparse principal component analysis (SPCA) is a framework that enhances interpretability by incorporating an additional sparsity requirement in the feature weights (factor loadings) while finding a dire...
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作者：Shen, Huaxiao; Li, Yanzhi; Chen, Youhua (Frank); Pan, Kai
作者单位：Sun Yat Sen University; City University of Hong Kong; Hong Kong Polytechnic University
摘要：Consider a publisher of online display advertising that sells its ad resources in both an up-front market and a spot market. When planning its ad delivery, the publisher needs to make a trade-off between earning a greater short-term profit from the spot market and improving advertising effectiveness in the up-front market. To address this challenge, we propose an integrated planning model that is robust to the uncertainties associated with the supply of advertising resources. Specifically, we ...
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作者：Luo, Fengqiao; Larson, Jeffrey
作者单位：Northwestern University; United States Department of Energy (DOE); Argonne National Laboratory
摘要：Platooning of vehicles is a promising approach for reducing fuel consumption, increasing vehicle safety, and using road space more efficiently. We consider the important, but difficult, problem of assigning optimal routes and departure schedules to a collection of vehicles. We propose an iterative route-then-schedule heuristic for centralized planning that quickly converges to high-quality solutions. We also propose and analyze a collection of valid inequalities for the individual problems of ...
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作者：Adelmann, Maximilian; Fernandez-Arjona, Lucio; Mayer, Janos; Schmedders, Karl
作者单位：University of Zurich; International Institute for Management Development (IMD)
摘要：Replicating portfolios have emerged as an important tool in the life insurance industry, used for the valuation of companies' liabilities. This paper describes the replicating portfolio (RP) model used to approximate life insurance liabilities in a large global insurance company. We describe the challenges presented by the latest solvency regimes in Europe and how the RP model enables this company to comply with the Swiss Solvency Test. The model minimizes the L-1 error between the discounted ...
