2017

最新文章

• Rank Centrality: Ranking from Pairwise Comparisons AI翻译
  作者：Negahban, Sahand; Oh, Sewoong; Shah, Devavrat
  作者单位：Yale University; University of Illinois System; University of Illinois Urbana-Champaign; Massachusetts Institute of Technology (MIT)
  摘要：The question of aggregating pairwise comparisons to obtain a global ranking over a collection of objects has been of interest for a very long time: be it ranking of online gamers (e.g., MSR's TrueSkill system) and chess players, aggregating social opinions, or deciding which product to sell based on transactions. In most settings, in addition to obtaining a ranking, finding 'scores' for each object (e.g., player's rating) is of interest for understanding the intensity of the preferences. In th...
• Quantile Estimation with Latin Hypercube Sampling AI翻译
  作者：Dong, Hui; Nakayama, Marvin K.
  作者单位：Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark; New Jersey Institute of Technology
  摘要：Quantiles are often used to measure risk of stochastic systems. We examine quantile estimators obtained using simulation with Latin hypercube sampling (LHS), a variance-reduction technique that efficiently extends stratified sampling to higher dimensions and produces negatively correlated outputs. We consider single-sample LHS (ssLHS), which minimizes the variance that can be obtained from LHS, and also replicated LHS (rLHS). We develop a consistent estimator of the asymptotic variance of the ...
• Hide-and-Seek Games on a Network, Using Combinatorial Search Paths AI翻译
  作者：Alpern, Steve
  作者单位：University of Warwick
  摘要：This paper introduces a new search paradigm to hide-and-seek games on networks. The Hider locates at any point on any arc. The Searcher adopts a combinatorial path when searching the network: a sequence of arcs, each adjacent to the last, and traced out at unit speed. In previous literature the Searcher was allowed simple motion, any unit speed path, including ones that turn around inside an arc. The new approach more closely models real problems such as search for improvised explosive devices...
• Single and Multisettlement Approaches to Market Clearing Under Demand Uncertainty AI翻译
  作者：Khazaei, Javad; Zakeri, Golbon; Oren, Shmuel S.
  作者单位：Princeton University; University of Auckland; University of California System; University of California Berkeley
  摘要：Participants in electricity markets face a substantial amount of uncertainty, and with Increased penetration of volatile renewable generation this uncertainty has further increased. Conventionally designed electricity markets cope with uncertainty by running two markets: a market that is cleared ahead of time, followed by a real-time balancing market to reconcile actual realizations of demand and available generation. In such mechanisms, the initial clearing process does not take into account ...
• Dynamic Inventory Management with Total Minimum Order Commitments and Two Supply Options AI翻译
  作者：Wang, Tong; Gong, Xiting; Zhou, Sean X.
  作者单位：Shanghai Jiao Tong University; Chinese University of Hong Kong; Chinese University of Hong Kong
  摘要：We study optimal policies for dual-supply inventory systems where a firm commits to buying a total minimum quantity from both supplies or two separate total minimum quantities from each supply over a finite planning horizon. The two supply options differ in their costs and lead times. For the system under the joint commitment, the optimal policy has a simple structure and can be fully characterized by three critical numbers in each period. For the system under the separate commitments, we show...
• An O(log n/log log n)-Approximation Algorithm for the Asymmetric Traveling Salesman Problem AI翻译
  作者：Asadpour, Arash; Goemans, Michel X.; Madry, Aleksander; Gharan, Shayan Oveis; Saberi, Amin
  作者单位：New York University; Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); University of Washington; University of Washington Seattle; Stanford University
  摘要：We present a randomized O(log n /log log n)-approximation algorithm for the asymmetric traveling salesman problem (ATSP). This provides the first asymptotic improvement over the long-standing Theta(log n)-approximation bound stemming from the work of Frieze et al. (1982) [ Frieze AM, Galbiati G, Maffioki F (1982) On the worst-case performance of some algorithms for the asymmetric traveling salesman problem. Networks 12(1): 23-39]. The key ingredient of our approach is a new connection between ...
• Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement AI翻译
  作者：Hong, L. Jeff; Juneja, Sandeep; Liu, Guangwu
  作者单位：City University of Hong Kong; City University of Hong Kong; Tata Institute of Fundamental Research (TIFR)
  摘要：Nested estimation involves estimating an expectation of a function of a conditional expectation via simulation. This problem has of late received increasing attention amongst researchers due to its broad applicability particularly in portfolio risk measurement and in pricing complex derivatives. In this paper, we study a kernel smoothing approach. We analyze its asymptotic properties, and present efficient algorithms for practical implementation. While asymptotic results suggest that the kerne...
• Supply Function Equilibrium with Taxed Benefits AI翻译
  作者：Ruddell, K.; Philpott, A. B.; Downward, A.
  作者单位：University of Auckland
  摘要：Supply function equilibrium models are used to study electricity market auctions with uncertain demand. We study the effects on the supply function equilibrium of a tax, levied by the system operator, on the observed surplus of producers. Such a tax provides an incentive for producers to alter their offers to avoid the tax. We consider these incentives under both strategic and price-taking assumptions. The model is extended to a setting in which producers are taxed on the benefits accruing to ...
• Serial Inventory Systems with Markov-Modulated Demand: Derivative Bounds, Asymptotic Analysis, and Insights AI翻译
  作者：Chen, Li; Song, Jing-Sheng; Zhang, Yue
  作者单位：Cornell University; Duke University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
  摘要：We study Inventory control of serial supply chains with continuous, Markov-modulated demand (MMD). Our goal is to simplify the computational complexity by resorting to certain approximation techniques, and, in doing so, to gain a deeper understanding of the problem. First, we perform a derivative analysis of the problem's optimality equations and develop general, analytical solution bounds for the optimal policy. This leads to simple-to-compute near-optimal heuristic solutions, which also reve...
• Revenue Management Under the Markov Chain Choice Model AI翻译
  作者：Feldman, Jacob B.; Topaloglu, Huseyin
  作者单位：Washington University (WUSTL)
  摘要：We consider revenue management problems when customers choose among the offered products according to the Markov chain choice model. In this choice model, a customer arrives Into the system to purchase a particular product. If this product Is available for purchase, then the customer purchases It. Otherwise, the customer transitions to another product or to the no purchase option, until she reaches an available product or the no purchase option. We consider three classes of problems. First, we...