-
作者：Hellmann, Tobias; Thijssen, Jacco J. J.
作者单位：University of York - UK
摘要：In this paper, we study an investment game between two firms with a first-mover advantage, where payoffs are driven by a geometric Brownian motion. At least one of the firms is assumed to be ambiguous over the drift, with maxmin preferences over a strongly rectangular set of priors. We develop a strategy and equilibrium concept allowing for ambiguity and show that equilibria can be preemptive (a firm invests at a point where investment is Pareto dominated by waiting) or sequential (one firm in...
-
作者：Delage, Erick; Gianoli, Luca G.; Sanso, Brunilde
作者单位：Universite de Montreal; HEC Montreal; Universite de Montreal; Universite de Montreal; Polytechnique Montreal; Polytechnic University of Milan
摘要：Robust optimization is a powerful means to handle optimization problems where there is a set of parameters that are uncertain. The effectiveness of the method is especially noticeable when these parameters are only known to lie inside some uncertainty region. Unfortunately, there are important computational considerations that have prevented the methodology from being fully adopted in fields of practice where the cost function that needs to be robustified is nonlinear with respect to such para...
-
作者：Ning, Jie; Babich, Volodymyr; Handley, John; Keppo, Jussi
作者单位：University System of Ohio; Case Western Reserve University; Georgetown University; University of Rochester; National University of Singapore; National University of Singapore
摘要：Managed print service (MPS) is a type of information technology infrastructure service that provides centralized management of companies' printing device fleets. In this paper, we estimate the provider's risk preference in MPS using a proprietary data set from Xerox Corporation. We adopt a structural approach in our empirical analysis by modeling the contracting and usage processes of MPS as a two-stage screening game and building econometric models based on the equilibrium contracts and print...
-
作者：Fu, Qi; Sim, Chee-Khian; Teo, Chung-Piaw
作者单位：University of Macau; University of Portsmouth; National University of Singapore; National University of Singapore
摘要：How should decentralized supply chains set the profit sharing terms using minimal information on demand and selling price? We develop a distributionally robust Stackelberg game model to address this question. Our framework uses only the first and second moments of the price and demand attributes, and thus can be implemented using only a parsimonious set of parameters. More specifically, we derive the relationships among the optimal wholesale price set by the supplier, the order decision of the...
-
作者：Wang, Xinshang; Van-Anh Truong
作者单位：Columbia University
摘要：We study a fundamental model of resource allocation in which a finite amount of service capacity must be allocated to a stream of jobs of different priorities arriving randomly over time. Jobs incur costs and may also cancel while waiting for service. To increase the rate of service, overtime capacity can be used at a cost. This model has application in healthcare scheduling, server applications, make-to-order manufacturing systems, general service systems, and green computing. We present an o...
-
作者：Ho-Nguyen, Nam; Kilinc-Karzan, Fatma
作者单位：Carnegie Mellon University
摘要：Robust optimization (RO) has emerged as one of the leading paradigms to efficiently model parameter uncertainty. The recent connections between RO and problems in statistics and machine learning domains demand for solving RO problems in ever larger scales. However, the traditional approaches for solving RO formulations based on building and solving robust counterparts or the iterative approaches utilizing nominal feasibility oracles can be prohibitively expensive and thus significantly hinder ...
-
作者：Bayati, Mohsen; Montanari, Andrea; Saberi, Amin
作者单位：Stanford University; Stanford University; Stanford University; Stanford University; Stanford University; Stanford University
摘要：Random graph generation is an important tool for studying large complex networks. Despite abundance of random graph models, constructing models with application-driven constraints is poorly understood. To advance state-of-the-art in this area, we focus on random graphs without short cycles as a stylized family of graphs, and we propose the RandGraph algorithm for randomly generating them. For any constant k, when m = O(n(1+1/[2k(k+3)])), RandGraph generates an asymptotically uniform random gra...
-
作者：Gianfreda, Angelica; Bunn, Derek
作者单位：University of London; London Business School; Free University of Bozen-Bolzano; University of London; London Business School
摘要：The wide range of models needed to support the various short-term operations for electricity generation demonstrates the importance of accurate specifications for the uncertainty in market prices. This is becoming increasingly challenging, since hourly price densities for electricity exhibit a variety of shapes, with their characteristic features changing substantially within the day and evolving over time. Furthermore, the influx of renewable power, wind, and solar, in particular, has made th...
-
作者：Acemoglu, Daron; Makhdoumi, Ali; Malekian, Azarakhsh; Ozdaglar, Asuman
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); University of Toronto
摘要：To systematically study the implications of additional information about routes provided to certain users (e.g., via GPS-based route guidance systems), we introduce a new class of congestion games in which users have differing information sets about the available edges and can only use routes consisting of edges in their information set. After defining the notion of an information-constrained wardrop equilibrium (ICWE) for this class of congestion games and studying its basic properties, we tu...
-
作者：Luo, Yuan; Shah, Nihar B.; Huang, Jianwei; Walrand, Jean
作者单位：Imperial College London; Chinese University of Hong Kong; Chinese University of Hong Kong; University of California System; University of California Berkeley
摘要：We consider a problem of prediction based on opinions elicited from heterogeneous rational agents with private information. Making an accurate prediction with a minimal cost requires a joint design of the incentive mechanism and the prediction algorithm. To elicit heterogeneous agents' private information and incentivize agents with different capabilities to act in the principal's best interest, we design an optimal joint incentive mechanism and prediction algorithm called COPE (COst and Predi...
