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作者：Haugh, Martin; Iyengar, Garud; Wang, Chun
作者单位：Columbia University
摘要：We consider dynamic asset allocation problems where the agent is required to pay capital gains taxes on her investment gains. These are very challenging problems because the tax owed whenever a security is sold depends on the cost basis, and this results in high-dimensional problems, which cannot be solved exactly except in the case of very stylized problems with just one or two securities and relatively few time periods. In this paper, we focus on exact and average cost-basis problems, make t...
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作者：Kim, Michael Jong
作者单位：University of Toronto
摘要：This paper is concerned with optimal maintenance decision making in the presence of model misspecification. Specifically, we are interested in the situation where the decision maker fears that a nominal Bayesian model may be miss-specified or unrealistic, and would like to find policies that work well even when the underlying model is flawed. To this end, we formulate a robust dynamic optimization model for condition-based maintenance in which the decision maker explicitly accounts for distrus...
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作者：Anderson, Edward; Gamarnik, David; Kleywegt, Anton; Ozdaglar, Asuman
作者单位：University of Sydney; Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); University System of Georgia; Georgia Institute of Technology; Massachusetts Institute of Technology (MIT)
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作者：Cummings, Rachel; Echenique, Federico; Wierman, Adam
作者单位：California Institute of Technology; California Institute of Technology
摘要：This paper initiates the study of the testable implications of choice data in settings where agents have privacy preferences. We adapt the standard conceptualization of consumer choice theory to a situation where the consumer is aware of, and has preferences over, the information revealed by her choices. The main message of the paper is that little can be inferred about consumers' preferences once we introduce the possibility that the consumer has concerns about privacy. This holds even when c...
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作者：Kunnumkal, Sumit; Talluri, Kalyan
作者单位：Indian School of Business (ISB); Imperial College London
摘要：In recent years, several approximation methods have been proposed for the choice network revenue management problem. These approximation methods are proposed because the dynamic programming formulation of the choice network revenue management problem is intractable even for moderately sized instances. In this paper, we consider three approximation methods that obtain upper bounds on the value function, namely, the choice deterministic linear program (CDLP), the affine approximation (AF), and t...
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作者：Kocuk, Burak; Dey, Santanu S.; Sun, X. Andy
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：This paper proposes three strong second order cone programming (SOCP) relaxations for the AC optimal power flow (OPF) problem. These three relaxations are incomparable to each other and two of them are incomparable to the standard SDP relaxation of OPF. Extensive computational experiments show that these relaxations have numerous advantages over existing convex relaxations in the literature: (i) their solution quality is extremely close to that of the standard SDP relaxation (the best one is w...
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作者：Papadaki, Katerina; Alpern, Steve; Lidbetter, Thomas; Morton, Alec
作者单位：University of London; London School Economics & Political Science; University of Warwick; Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark; University of Strathclyde
摘要：Patrolling games were recently introduced to model the problem of protecting the nodes of a network from an attack. Time is discrete and in each time unit the Patroller can stay at the same node or move to an adjacent node. The Attacker chooses when to attack and which node to attack and needs m consecutive time units to carry it out. The Attacker wins if the Patroller does not visit the chosen node while it is being attacked; otherwise, the Patroller wins. This paper studies the patrolling ga...
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作者：Corsi, Fulvio; Marmi, Stefano; Lillo, Fabrizio
作者单位：Universita Ca Foscari Venezia; City St Georges, University of London; Scuola Normale Superiore di Pisa
摘要：By exploiting basic common practice accounting and risk-management rules, we propose a simple analytical dynamical model to investigate the effects of microprudential changes on macroprudential outcomes. Specifically, we study the consequence of the introduction of a financial innovation that allows reducing the cost of portfolio diversification in a financial system populated by financial institutions having capital requirements in the form of value-at-risk (VaR) constraint and following stan...
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作者：Xu, Huan; Caramanis, Constantine; Mannor, Shie
作者单位：National University of Singapore; University of Texas System; University of Texas Austin; Technion Israel Institute of Technology
摘要：We consider optimization problems whose parameters are known only approximately, based on noisy samples. In large-scale applications, the number of samples one can collect is typically of the same order of (or even less than) the dimensionality of the problem. This so-called high-dimensional statistical regime has been the object of intense recent research in machine learning and statistics, primarily due to phenomena inherent to this regime, such as the fact that the noise one sees here often...
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作者：Wang, Xiaoqun
作者单位：Tsinghua University
摘要：Discontinuities are common in the pricing and hedging of complex financial derivatives. Quasi-Monte Carlo (QMC) methods for high-dimensional finance problems with discontinuities can be inefficient because of the lack of good smoothness and high dimensionality. Interestingly, path simulation method (PSM) may affect both factors, implying its significance in QMC methods. What defines a good PSM for problems with discontinuities? The ability to align the discontinuities with the coordinate axes ...
