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作者：Wang, Zhengli; Zenios, Stefanos
作者单位：University of Hong Kong; Stanford University
摘要：We model the creation of a new venture with a novel drift-variance diffusion control framework in which the state of the venture is captured by a diffusion process. The entrepreneur creating the venture chooses costly controls, which determine both the drift and the variance of the process. When the process reaches an upper boundary, the venture succeeds and the entrepreneur receives a reward. When the process reaches a lower boundary, the venture fails. The entrepreneur can choose between two...
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作者：Balseiro, Santiago R.; Kim, Anthony; Russo, Daniel
作者单位：Columbia University; Amazon.com
摘要：We consider a principal who repeatedly interacts with a strategic agent holding private information. In each round, the agent observes an idiosyncratic shock drawn independently and identically from a distribution known to the agent but not to the principal. The utilities of the principal and the agent are determined by the values of the shock and outcomes that are chosen by the principal based on reports made by the agent. When the principal commits to a dynamic mechanism, the agent best-resp...
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作者：Bertsimas, Dimitris; Ng, Yee Sian; Yan, Julia
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：Mass transit remains the most efficient way to service a densely packed commuter population. However, reliability issues and increasing competition in the transportation space have led to declining ridership across the United States, and transit agencies must also operate under tight budget constraints. Recent attempts at using bus network redesign to improve ridership have attracted attention from various transit authorities. However, the analysis seems to rely on ad hoc methods, for example,...
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作者：Alptekinoglu, Aydin; Semple, John H.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Southern Methodist University
摘要：We investigate analytical and empirical properties of the Heteroscedastic Exponomial Choice (HEC) model to lay the groundwork for its use in theoretical and empirical studies that build demand models on a discrete choice foundation. The HEC model generalizes the Exponomial Choice (EC) model by including choice-specific variances for the random components of utility (the error terms). We show that the HEC model inherits some of the properties found in the EC model: closed-form choice probabilit...
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作者：Bhandari, Jalaj; Russo, Daniel; Singal, Raghav
作者单位：Columbia University; Columbia University
摘要：Temporal difference learning (TD) is a simple iterative algorithm used to estimate the value function corresponding to a given policy in a Markov decision process. Although TD is one of the most widely used algorithms in reinforcement learning, its theoretical analysis has proved challenging and few guarantees on its statistical efficiency are available. In this work, we provide a simple and explicit finite time analysis of temporal difference learning with linear function approximation. Excep...
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作者：Blanchet, Jose; Kang, Yang
作者单位：Stanford University; Columbia University
摘要：We present a novel inference approach that we call sample out-of-sample inference. The approach can be used widely, ranging from semisupervised learning to stress testing, and it is fundamental in the application of data-driven distributionally robust optimization. Our method enables measuring the impact of plausible out-of-sample scenarios in a given performance measure of interest, such as a financial loss. The methodology is inspired by empirical likelihood (EL), but we optimize the empiric...
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作者：Chen, Ningyuan; Chen, Ying-Ju
作者单位：University of Toronto; Hong Kong University of Science & Technology; Hong Kong University of Science & Technology
摘要：We consider two firms selling products to a market of network-connected customers. Each firm is selling one product, and the two products are substitutable. The customers make purchases based on the multinomial logit model, and the firms compete for their purchasing probabilities. We characterize possible Nash equilibria for homogeneous network interactions and identical firms: When the network effects are weak, there is a symmetric equilibrium that the two firms evenly split the market; when ...
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作者：Gupta, Shivam; Wang, Shouqiang; Dawande, Milind; Janakiraman, Ganesh
作者单位：University of Nebraska System; University of Nebraska Lincoln; University of Texas System; University of Texas Dallas
摘要：A buyer faces a two-dimensional mechanism design problem for awarding a project to one among a set of contractors, each of whom is privately informed about the contractor's cost and the contractor's estimate of an a priori random noncost attribute. The winning contractor realizes the noncost attribute upon the project's completion and may manipulate it in a costless manner (if such a manipulation is beneficial to the contractor). The noncost attribute inflicts a disutility cost on the buyer. T...
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作者：Wu, Tao
作者单位：Tongji University
摘要：Shi and acute accent Olafsson [(2000) Nested Partitions Method for Global Optimization. Operations Research. 48(3):390-407] proposed the Nested Partitions (NP) method with two different NP backtracking rules-namely, NP I and NP II-for solving global optimization problems. Two of their main results are the properties of the global convergence of the NP method stated in theorems 3 and 4 on pages 398 and 399, respectively. In particular, theorem 3 provides a hitting-probability-based formula to r...
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作者：McLennan-Smith, Timothy A.; Kalloniatis, Alexander C.; Jovanoski, Zlatko; Sidhu, Harvinder S.; Roberts, Dale O.; Watt, Simon; Towers, Isaac N.
作者单位：University of New South Wales Sydney; Defence Science & Technology; Australian National University
摘要：Traditional combat models, such as Lanchester's equations, are typically limited to two competing populations and exhibit solutions characterized by exponential decay-and growth if logistics are included. We enrich such models to account for modern and future complexities, particularly around the role of interagency engagement in operations as often displayed in counterinsurgency operations. To address this, we explore incorporation of nontrophic effects from ecological modeling. This provides...
