-
作者：Besbes, Omar; Scarsini, Marco
作者单位：Columbia University; Luiss Guido Carli University
摘要：Consumer reviews and ratings of products and services have become ubiquitous on the Internet. This paper analyzes, given the sequential nature of reviews and the limited feedback of such past reviews, the information content they communicate to future customers. We consider a model with heterogeneous customers who buy a product of unknown quality and we focus on two different informational settings. In the first setting, customers observe the whole history of past reviews. In the second one th...
-
作者：Fridgeirsdottir, Kristin; Najafi-Asadolahi, Sami
作者单位：University of London; London Business School; Santa Clara University
摘要：Display advertising has a 39% share of the online advertising market and is its fastest-growing category. In this paper, we consider an online display advertising setting in which a web publisher posts display ads on its website and charges based on the cost-per-impression (CPM) pricing scheme while promising to deliver a certain number of impressions on the ads posted. The publisher faces uncertain demand for advertising slots and uncertain supply of visits from viewers. We formulate the prob...
-
作者：Kanori, Yash; Saban, Daniela; Sethuraman, Jay
作者单位：Columbia University; Stanford University; Columbia University
摘要：We consider a two-sided assignment market with agent types and a stochastic structure, similar to models used in empirical studies. We characterize the size of the core in such markets. Each agent has a randomly drawn productivity with respect to each type of agent on the other side. The value generated from a match between a pair of agents is the sum of the two productivity terms, each of which depends only on the type (but not the identity) of one of the agents, and a third deterministic ter...
-
作者：Postek, Krzysztof; Ben-Tal, Aharon; den Hertog, Dick; Melenberg, Bertrand
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Technion Israel Institute of Technology; Shenkar College of Engineering, Design & Art; Tilburg University; Tilburg University; Tilburg University
摘要：In this paper we consider ambiguous stochastic constraints under partial information consisting of means and dispersion measures of the underlying random parameters. Whereas the past literature used the variance as the dispersion measure, here we use the mean absolute deviation from the mean (MAD). This makes it possible to use the 1972 result of Ben-Tal and Hochman (BH) m which tight upper and lower bounds on the expectation of a convex function of a random variable are given. First, we use t...
-
作者：Hanasusanto, Grani A.; Kuhn, Daniel
作者单位：University of Texas System; University of Texas Austin; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：Adaptive robust optimization problems are usually solved approximately by restricting the adaptive decisions to simple parametric decision rules. However, the corresponding approximation error can be substantial. In this paper we show that two-stage robust and distributionally robust linear programs can often be reformulated exactly as conic programs that scale polynomially with the problem dimensions. Specifically, when the ambiguity set constitutes a 2-Wasserstein ball centered at a discrete...
-
作者：Mills, Alex F.; Argon, Nilay Tanik; Ziya, Serhan
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
摘要：In the aftermath of a disaster, emergency responders must transport a large number of patients to medical facilities, using limited transportation resources (such as ambulances). Decisions about where to send the patients are typically made in an ad hoc manner by responders on the scene. Using a Markov decision process formulation, we develop two heuristic policies that use limited information such as mean travel times and congestion levels to determine (a) how to allocate ambulances to patien...
-
作者：Olivares-Nadal, Alba V.; DeMiguel, Victor
作者单位：Universidad Pablo de Olavide; University of London; London Business School
摘要：We prove that the portfolio problem with transaction costs is equivalent to three different problems designed to alleviate the impact of estimation error: a robust portfolio optimization problem, a regularized regression problem, and a Bayesian portfolio problem. Motivated by these results, we propose a data-driven approach to portfolio optimization that tackles transaction costs and estimation error simultaneously by treating the transaction costs as a regularization term to be calibrated. Ou...
-
作者：Bo, Yang; Dawande, Milind; Janakiraman, Ganesh
作者单位：Chinese University of Hong Kong; University of Texas System; University of Texas Dallas
摘要：In a recent paper, Johnson et al. (2014) [Johnson K, Simchi-Levi D, Sun P (2014) Analyzing scrip systems. Oper. Res. 62(3):524-534.] use an infinitely repeated game with discounting, among a set of homogeneous players, to model a scrip system. In each period, a randomly chosen player requests service; all the other players have a choice of whether or not to volunteer to provide service. Among the players who volunteer, the service provider is chosen using the minimum-scrip rule: a player with ...
-
作者：Goh, Joel; Bayati, Mohsen; Zenios, Stefanos A.; Singh, Sundeep; Moore, David
作者单位：National University of Singapore; Harvard University; Stanford University; Stanford University; Stanford University
摘要：Cost-effectiveness studies of medical innovations often suffer from data inadequacy. When Markov chains are used as a modeling framework for such studies, this data inadequacy can manifest itself as imprecision in the elements of the transition matrix. In this paper, we study how to compute maximal and minimal values for the discounted value of the chain (with respect to a vector of state-wise costs or rewards) as these uncertain transition parameters jointly vary within a given uncertainty se...
-
作者：Yang, Liu; Guo, Pengfei; Wang, Yulan
作者单位：Tsinghua University; Hong Kong Polytechnic University
摘要：We consider a service system in which customers are loss averse toward both price and delay attributes. That is, customers compare these two attributes with their rational expectations of outcomes, with losses being more painful than equal-sized gains are pleasant. We first study customers' equilibrium queueing strategies. We find that, unlike the traditional case in which loss aversion is not considered, there may exist three equilibrium strategies, one of which is preferred m the sense that ...
