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作者：Atar, Rami; Keslassy, Isaac; Mendelson, Gal
作者单位：Technion Israel Institute of Technology
摘要：Load-balancing algorithms for systems that operate in heavy traffic are known to lead, under suitable conditions, to state space collapse (SSC). This term refers to the phenomenon whereby imbalance is negligible compared with queue lengths. Specifically, whereas queue lengths behave diffusively, the size of imbalance is at a subdiffusive scale: denoting by n the usual scaling parameter, the former and the latter are of order O(n(1/2)) and o(n(1/2)), respectively. In this paper we consider load...
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作者：Ban, Gah-Yi; Rudin, Cynthia
作者单位：University of London; London Business School; Duke University
摘要：We investigate the data-driven newsvendor problem when one has n observations of p features related to the demand as well as historical demand data. Rather than a two-step process of first estimating a demand distribution then optimizing for the optimal order quantity, we propose solving the big data newsvendor problem via singlestep machine-learning algorithms. Specifically, we propose algorithms based on the empirical risk minimization (ERM) principle, with and without regularization, and an...
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作者：Alizamir, Saed; de Vericourt, Francis; Sun, Peng
作者单位：Yale University; European School of Management & Technology; Duke University
摘要：Arrow et al. [Arrow K, Blackwell D, Girshick M (1949) Bayes and minimax solutions of sequential decision problems. Econometrica 17(3/4):213-244.] introduced the first sequential search problem where at each stage the options available are to stop and take a definite action or to continue sampling for more information. We study how time pressure in the form of task accumulation may affect this decision problem. To that end, we consider a search problem where the decisionmaker (DM) faces a strea...
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作者：Goeva, Aleksandrina; Lam, Henry; Qian, Huajie; Zhang, Bo
作者单位：Harvard University; Massachusetts Institute of Technology (MIT); Broad Institute; Columbia University
摘要：Studies on simulation input uncertainty are often built on the availability of input data. In this paper, we investigate an inverse problem where, given only the availability of output data, we nonparametrically calibrate the input models and other related performance measures of interest. We propose an optimization-based framework to compute statistically valid bounds on input quantities. The framework utilizes constraints that connect the statistical information of the real-world outputs wit...
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作者：Fattahi, Ali; Dasu, Sriram; Ahmadi, Reza
作者单位：University of California System; University of California Los Angeles; University of Southern California
摘要：Auto manufacturers produce a very large number of feasible configurations that make it impossible to forecast the demand of individual configurations. What the companies do forecast is the penetration rate of each option, which is the percentage of cars that include that option. The current forecasting approach ignores rules for selecting options, and as a result, forecast penetration rates are frequently infeasible, which results in excess inventories, shortages, and customer dissatisfaction....
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作者：Bensoussan, Alain; Chevalier-Roignant, Benoit
作者单位：University of Texas System; University of Texas Dallas; City University of Hong Kong; University of London; King's College London
摘要：This paper considers a firm's capacity expansion decisions under uncertainty. The firm has leeway in timing investments and in choosing how much capacity to install at each investment time. We model this problem as the sequential exercising of compound capacity expansion options with embedded optimal capacity choices. We employ the impulse control methodology and obtain a quasi-variational inequality that involves two state variables: an exogenous, stochastic price process and a controlled cap...
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作者：Thanh Nguyen; Vohra, Rakesh
作者单位：Purdue University System; Purdue University; University of Pennsylvania
摘要：The problem of finding stable matches that meet distributional concerns is usually formulated by imposing side constraints whose right-hand sides are absolute numbers specified before the preferences or number of agents on the proposing side are known. In many cases, it is more natural to express the relevant constraints as proportions. We treat such constraints as soft but provide ex post guarantees on how well the constraints are satisfied while preserving stability. Our technique requires a...
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作者：Georghiou, Angelos; Tsoukalas, Angelos; Wiesemann, Wolfram
作者单位：McGill University; American University of Beirut; Imperial College London
摘要：Multistage robust optimization problems, where the decision maker can dynamically react to consecutively observed realizations of the uncertain problem parameters, pose formidable theoretical and computational challenges. As a result, the existing solution approaches for this problem class typically determine suboptimal solutions under restrictive assumptions. In this paper, we propose a robust dual dynamic programming (RDDP) scheme for multistage robust optimization problems. The RDDP scheme ...
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作者：Salemi, Peter; Staum, Jeremy; Nelson, Barry L.
作者单位：MITRE Corporation; Northwestern University
摘要：We introduce a novel class of Gaussian random fields (GRFs), called generalized integrated Brownian fields (GIBFs), focusing on the use of GIBFs for Gaussian process regression in deterministic and stochastic simulation metamodeling. We build GIBFs from the well-known Brownian motion and discuss several of their properties, including differentiability that cart differ in each coordinate, no mean reversion, and the Markov property. We explain why we desire to use GRFs with these properties and ...
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作者：Levi, Retsef; Perakis, Georgia; Romero, Gonzalo
作者单位：Massachusetts Institute of Technology (MIT); University of Toronto
摘要：We study a subsidies and taxes allocation problem with endogenous market response subject to a budget constraint. The central planner's objective is to maximize the consumption of a good, and she allocates per-unit copayments and taxes to its producers. We show that the optimal policy taxes the more efficient firms and allocates larger copayments to less efficient firms, making it impractical. Therefore, we consider the simple and frequently implemented policy that allocates the same copayment...
