-
作者：Shah, Virag; Gulikers, Lennart; Massoulie, Laurent; Vojnovic, Milan
作者单位：Uber Technologies, Inc.; University of London; London School Economics & Political Science
摘要：A matching in a two-sided market often incurs an externality: a matched resource may become unavailable to the other side of the market, at least for a while. This is especially an issue in online platforms involving human experts, as the expert resources are often scarce. The efficient utilization of experts in these platforms is made challenging by the fact that the information available about the parties involved is usually limited. To address this challenge, we develop a model of a task-ex...
-
作者：Kettunen, Janne; Lejeune, Miguel A.
作者单位：George Washington University
摘要：The periodic selection of new product development (NPD) projects is a crucial operational decision. The main goals of start-up companies in NPD are to attain a reliable return level and deliver this return level fast. Achieving these goals is complicated because of uncertainties in projects' returns and durations. We develop new disjunctive stochastic programming models that capture the above-mentioned NPD goals. The first stochastic model is static, representing the traditional waterfall prod...
-
作者：Chen, Mingliu; Sun, Peng; Xiao, Yongbo
作者单位：Duke University; Tsinghua University
摘要：Consider a setting in which a principal induces effort from an agent to reduce the arrival rate of a Poisson process of adverse events. The effort is costly to the agent and unobservable to the principal unless the principal is monitoring the agent. Monitoring ensures effort but is costly to the principal. The optimal contract involves monetary payments and monitoring sessions that depend on past arrival times. We formulate the problem as a stochastic optimal control model and solve the proble...
-
作者：Modaresi, Sajad; Saure, Denis; Vielma, Juan Pablo
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Universidad de Chile; Massachusetts Institute of Technology (MIT)
摘要：We study dynamic decision making under uncertainty when, at each period, a decision maker implements a solution to a combinatorial optimization problem. The objective coefficient vectors of said problem, which are unobserved before implementation, vary from period to period. These vectors, however, are known to be random draws from an initially unknown distribution with known range. By implementing different solutions, the decision maker extracts information about the underlying distribution b...
-
作者：Chen, Boxiao; Chao, Xiuli; Wang, Yining
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; University of Michigan System; University of Michigan; State University System of Florida; University of Florida
摘要：A firm makes pricing and inventory replenishment decisions for a product over T periods to maximize its expected total profit. Demand is random and price sensitive, and unsatisfied demands are lost and unobservable (censored demand). The firm knows the demand process up to some parameters and needs to learn them through pricing and inventory experimentation. However, because of business constraints, the firm is prevented from making frequent price changes, leading to correlated and dependent s...
-
作者：Shapiro, Alexander; Xin, Linwei
作者单位：University System of Georgia; Georgia Institute of Technology; University of Chicago
摘要：In this paper, we investigate optimal policies of distributionally robust (risk averse) inventory models. We demonstrate that if the respective risk measures are not strictly monotone, then there may exist infinitely many optimal policies that are not basestock and not time consistent. This is in a sharp contrast with the risk neutral formulation of the inventory model where all optimal policies are time consistent. This also extends previous studies of time inconsistency in the robust setting.
-
作者：Gupta, Varun; Radovanovic, Ana
作者单位：University of Chicago; Alphabet Inc.; Google Incorporated
摘要：Bin packing is an algorithmic problem that arises in diverse applications such as remnant inventory systems, shipping logistics, and appointment scheduling. In its simplest variant, a sequence of T items (e.g., orders for raw material, packages for delivery) is revealed one at a time, and each item must be packed on arrival in an available bin (e.g., remnant pieces of raw material in inventory, shipping containers). The sizes of items are independent and identically distributed (i.i.d.) sample...
-
作者：Glynn, Peter W.; Fan, Lin; Fu, Michael C.; Hu, Jian-Qiang; Peng, Yijie
作者单位：Stanford University; University System of Maryland; University of Maryland College Park; University System of Maryland; University of Maryland College Park; Fudan University; Peking University
摘要：We provide a simple proof of the central limit theorem (CLT) for estimated functions at estimated points. Such estimators arise in a number of different simulationbased computational settings. We illustrate the methodology via applications to quantile estimation and related sensitivity analysis, as well as to computation of conditional valueat-risk.
-
作者：Hazimeh, Hussein; Mazumder, Rahul
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：The L-0-regularized least squares problem (a.k.a. best subsets) is central to sparse statistical learning and has attracted significant attention across the wider statistics, machine learning, and optimization communities. Recent work has shown that modern mixed integer optimization (MIO) solvers can be used to address small to moderate instances of this problem. In spite of the usefulness of L-0-based estimators and generic MIO solvers, there is a steep computational price to pay when compare...
