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作者：Atamturk, Alper; Gomez, Andres
作者单位：University of California System; University of California Berkeley; University of Southern California
摘要：We describe strong convex valid inequalities for conic quadratic mixed 0-1 optimization. These inequalities can be utilized for solving numerous practical nonlinear discrete optimization problems from value-at-risk minimization to queueing system design, from robust interdiction to assortment optimization through appropriate conic quadratic mixed 0-1 relaxations. The inequalities exploit the submodularity of the binary restrictions and are based on the polymatroid inequalities over binaries fo...
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作者：Bansal, Saurabh; Gutierrez, Genaro J.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of Texas System; University of Texas Austin
摘要：In this paper, we develop a new characterization of multiple-point forecasts provided by experts and use it in an optimization framework to deduce actionable signals, including the mean, standard deviation, or a combination of the two for underlying probability distributions. This framework consists of three steps: (1) calibrate experts' point forecasts using historical data to determine which quantile they provide, on average, when asked for forecasts, (2) quantify the precision in the expert...
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作者：Anstreicher, Kurt M.
作者单位：University of Iowa
摘要：We consider a new approach for the maximum-entropy sampling problem (MESP) that is based on bounds obtained by maximizing a function of the form ldet M(x) over linear constraints, where M(x) is linear in the n-vector x. These bounds can be computed very efficiently and are superior to all previously known bounds for MESP on most benchmark test problems. A branch-and-bound algorithm using the new bounds solves challenging instances of MESP to optimality for the first time.
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作者：Ma, Will; Simchi-Levi, David
作者单位：Columbia University; Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：Motivated by the dynamic assortment offerings and item pricings occurring in e-commerce, we study a general problem of allocating finite inventories to heterogeneous customers arriving sequentially. We analyze this problem under the framework of competitive analysis, where the sequence of customers is unknown and does not necessarily follow any pattern. Previous work in this area, studying online matching, advertising, and assortment problems, has focused on the case where each item can only b...
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作者：Xu, Kuang; Zhong, Yuan
作者单位：Stanford University; University of Chicago
摘要：We propose a general framework, dubbed stochastic processing under imperfect information, to study the impact of information constraints and memories on dynamic resource allocation. The framework involves a stochastic processing network (SPN) scheduling problem in which the scheduler may access the system state only through a noisy channel, and resource allocation decisions must be carried out through the interaction between an encoding policy (that observes the state) and allocation policy (t...
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作者：Bertsimas, Dimitris; Sturt, Bradley
作者单位：Massachusetts Institute of Technology (MIT)
摘要：The bootstrap is a nonparametric approach for calculating quantities, such as confidence intervals, directly from data. Since calculating exact bootstrap quantities is believed to be intractable, randomized resampling algorithms are traditionally used. In this paper, we present a new perspective on the bootstrapmethod through the lens of counting integer points in polyhedra. Through this new perspective, we make several advances for the bootstrap method, both theoretically and algorithmically....
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作者：Braverman, Anton; Gurvich, Itai; Huang, Junfei
作者单位：Northwestern University; Chinese University of Hong Kong
摘要：We introduce a framework for approximate dynamic programming that we apply to discrete-time chains on Z(+)(d) with countable action sets. The framework is grounded in the approximation of the (controlled) chain's generator by that of another Markov process. In simple terms, our approach stipulates applying a second-order Taylor expansion to the value function, replacing the Bellman equation with one in continuous space and time in which the transition matrix is reduced to its first and second ...
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作者：Kwon, H. Dharma
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：We consider a stochastic game of contribution to the common good in which the players have continuous control over the degree of contribution, and we examine the gradualism arising from the free rider effect. This game belongs to the class of variable concession games that generalize wars of attrition. Previously known examples of variable concession games in the literature yield equilibria characterized by singular control strategies without any delay of concession. However, these no-delay eq...
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作者：Bastani, Hamsa; Bayati, Mohsen
作者单位：University of Pennsylvania; Stanford University
摘要：Big data have enabled decision makers to tailor decisions at the individual level in a variety of domains, such as personalized medicine and online advertising. Doing so involves learning a model of decision rewards conditional on individual-specific covariates. In many practical settings, these covariates are high dimensional; however, typically only a small subset of the observed features are predictive of a decision's success. We formulate this problem as a K-armed contextual bandit with hi...
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作者：Minca, Andreea; Wissel, Johannes
作者单位：Cornell University
摘要：We introduce a new mechanism for leverage dynamics, based on a multiperiod game of lenders with differentiated beliefs about the firm's fundamental returns. The game features strategic substitutability for low existing leverage and strategic complementarily for high existing leverage. The resulting leverage process exhibits a mean-reverting regime around a long-run level, as long as it stays below an instability level. Above the instability level, leverage becomes explosive. We validate our mo...
