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作者：Russo, Daniel
作者单位：Columbia University
摘要：This note gives a short, self-contained proof of a sharp connection between Gittins indices and Bayesian upper confidence bound algorithms. I consider a Gaussian multiarmed bandit problem with discount factor.. The Gittins index of an arm is shown to equal the gamma-quantile of the posterior distribution of the arm's mean plus an error term that vanishes as gamma -> 1. In this sense, for sufficiently patient agents, a Gittins index measures the highest plausible mean-reward of an arm in a mann...
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作者：Wu, Manxi; Amin, Saurabh; Ozdaglar, Asuman E.
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：We study a routing game in an environment with multiple heterogeneous information systems and an uncertain state that affects edge costs of a congested network. Each information system sends a noisy signal about the state to its subscribed traveler population. Travelers make route choices based on their private beliefs about the state and other populations' signals. The question then arises, How does the presence of asymmetric and incomplete information affect the travelers' equilibrium route ...
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作者：Ma, Will; Simchi-Levi, David; Teo, Chung-Piaw
作者单位：Columbia University; Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); National University of Singapore
摘要：In this paper, we study the single-item revenue management problem, with no information given about the demand trajectory over time. When the item is sold through accepting/rejecting different fare classes, the tight competitive ratio for this problem has been established by Ball and Queyranne through booking limit policies, which raise the acceptance threshold as the remaining inventory dwindles. However, when the item is sold through dynamic pricing instead, there is the additional challenge...
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作者：Subramanyam, Anirudh; Mufalli, Frank; Lainez-Aguirre, Jose M.; Pinto, Jose M.; Gounaris, Chrysanthos E.
作者单位：Carnegie Mellon University; Carnegie Mellon University; Linde plc; Linde US; Linde plc; Linde US
摘要：In this paper, we study multiperiod vehicle routing problems where the aim is to determine a minimum cost visit schedule and associated routing plan for each period using capacity-constrained vehicles. In our setting, we allow for customer service requests that are received dynamically over the planning horizon. In order to guarantee the generation of routing plans that can flexibly accommodate potential service requests that have not yet been placed, we model future potential service requests...
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作者：Chen, Xi; He, Simai; Jiang, Bo; Ryan, Christopher Thomas; Zhang, Teng
作者单位：New York University; Shanghai University of Finance & Economics; University of British Columbia; Stanford University
摘要：The discrete moment problem is a foundational problem in distribution-free robust optimization, where the goal is to find a worst-case distribution that satisfies a given set of moments. This paper studies the discrete moment problems with additional shape constraints that guarantee the worst-case distribution is either log-concave (LC), has an increasing failure rate (IFR), or increasing generalized failure rate (IGFR). These classes of shape constraints have not previously been studied in th...
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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：Post, Thierry; Longarela, Inaki Rodriguez
作者单位：Nazarbayev University; Stockholm University
摘要：To analyze the economic significance of pricing errors of stock index options, a system of linear inequalities is developed that completely characterizes all risk arbitrage opportunities that arise if a well-behaved pricing kernel does not exist. The stochastic arbitrage system can account for market imperfections in the form of transactions costs and general portfolio restrictions. An active trading strategy based on the stochastic arbitrage system for front-month S&P500 stock index options y...
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作者：Chen, Yiwei; Trichakis, Nikolaos
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：Consider a network revenue management model in which a seller offers multiple products, which consume capacitated resources. The seller uses an anonymous posted-price policy, and arriving customers strategize on (a) when and (b) which product to purchase to maximize their utility, based on heterogeneous product valuations. Such models, whereby customers are both forward looking and choose what to buy, have not yet been amenable to analysis, mainly because their associated dynamic mechanism des...
