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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...
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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 ...
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作者：Reich, Gregor
作者单位：University of Zurich
摘要：This paper develops a method to efficiently estimate hidden Markov models with continuous latent variables using maximum likelihood estimation. To evaluate the (marginal) likelihood function, I decompose the integral over the unobserved state variables into a series of lower dimensional integrals, and recursively approximate them using numerical quadrature and interpolation. I show that this procedure has very favorable numerical properties: First, the computational complexity grows linearly i...
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作者：Zhang, Heng; Rusmevichientong, Paat; Topaloglu, Huseyin
作者单位：University of Southern California
摘要：We consider unconstrained and constrained multiproduct pricing problems when customers choose according to an arbitrary generalized extreme value (GEV) model and the products have the same price sensitivity parameter. In the unconstrained problem, there is a unit cost associated with the sale of each product. The goal is to choose the prices for the products to maximize the expected profit obtained from each customer. We show that the optimal prices of the different products have a constant ma...
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作者：Shin, Dongwook; Broadie, Mark; Zeevi, Assaf
作者单位：Hong Kong University of Science & Technology; Columbia University
摘要：We consider a problem of ordinal optimization where the objective is to select the best of several competing alternatives (systems) when the probability distributions governing each system's performance are not known but can be learned via sampling. The objective is to dynamically allocate samples within a finite sampling budget to minimize the probability of selecting a system that is not the best. This objective does not possess an analytically tractable solution. We introduce a family of pr...
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作者：Li, Jonathan Yu-Meng
作者单位：University of Ottawa
摘要：Worst-case risk measures provide a means of calculating the largest value of risk when only partial information of the underlying distribution is available. For popular risk measures such as value-at-risk (VaR) and conditional value-at-risk (CVaR) it is now known that their worst-case counterparts can be evaluated in closed form when only the first two moments are known. We show in this paper that closed-form solutions exist for a general class of law invariant coherent risk measures, which co...
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作者：Kiatsupaibul, Seksan; Smith, Robert L.; Zabinsky, Zelda B.
作者单位：Chulalongkorn University; University of Michigan System; University of Michigan; University of Washington; University of Washington Seattle
摘要：Optimizing the performance of complex systems modeled by stochastic computer simulations is a challenging task, partly because of the lack of structural properties (e.g., convexity). This challenge is magnified by the presence of random error whereby an adaptive algorithm searching for better designs can at times mistakenly accept an inferior design. In contrast to performing multiple simulations at a design point to estimate the performance of the design, we propose a framework for adaptive s...
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作者：Capponi, Agostino; Cheng, W. Allen
作者单位：Columbia University
摘要：We model the decision problem faced by a profit-maximizing clearinghouse, which sets fee and margin requirements for heterogeneous traders who may default. We capture the main trade-offs underpinning the clearinghouse's choices: higher fee and better default protection come at the cost of decreased market volume. We show that the equilibrium margin requirements are determined not only by price volatility but also by trader fundamentals and funding costs. Our results (i) explain why margins are...
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作者：Carlsson, John Gunnar; Behroozi, Mehdi; Mihic, Kresimir
作者单位：University of Southern California; Northeastern University; Oracle
摘要：Recent research on the robust and stochastic traveling salesman problem and the vehicle routing problem has used many different approaches for describing the region of ambiguity including taking convex combinations of observed demand vectors or imposing constraints on the moments of the spatial demand distribution. One approach that has been used outside the transportation sector is the use of statistical metrics that describe a distance function between two probability distributions. Motivate...
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作者：Zeng, Yun; Chaintreau, Augustin; Towsley, Don; Xia, Cathy H.
作者单位：University System of Ohio; Ohio State University; Columbia University; University of Massachusetts System; University of Massachusetts Amherst
摘要：Parallel and distributed processing systems have expanded in size as technology advances in cloud computing and big data analytics. A critical issue concerns throughput scalability: whether throughput decreases to zero as the systems scale in size and capabilities. We model parallel and distributed processing systems as fork and join queueing networks with blocking (FJQN/Bs). Such networks can have arbitrary topology, arbitrary initial state, and generally distributed service times. We propose...
