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作者：Gorissen, Bram L.; Blanc, Hans; den Hertog, Dick; Ben-Tal, Aharon
作者单位：Tilburg University; Technion Israel Institute of Technology; Tilburg University
摘要：We propose a new way to derive tractable robust counterparts of a linear program based on the duality between the robust (pessimistic) primal problem and its optimistic dual. First we obtain a new convex reformulation of the dual problem of a robust linear program, and then show how to construct the primal robust solution from the dual optimal solution. Our result allows many new uncertainty regions to be considered. We give examples of tractable uncertainty regions that were previously intrac...
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作者：Xie, Wei; Nelson, Barry L.; Barton, Russell R.
作者单位：Rensselaer Polytechnic Institute; Northwestern University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：When we use simulation to estimate the performance of a stochastic system, the simulation often contains input models that were estimated from real-world data; therefore, there is both simulation and input uncertainty in the performance estimates. In this paper, we provide a method to measure the overall uncertainty while simultaneously reducing the influence of simulation estimation error due to output variability. To reach this goal, a Bayesian framework is introduced. We use a Bayesian post...
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作者：Agrawal, Shipra; Wang, Zizhuo; Ye, Yinyu
作者单位：Microsoft; Microsoft India; University of Minnesota System; University of Minnesota Twin Cities; Stanford University
摘要：A natural optimization model that formulates many online resource allocation problems is the online linear programming ( LP) problem in which the constraint matrix is revealed column by column along with the corresponding objective coefficient. In such a model, a decision variable has to be set each time a column is revealed without observing the future inputs, and the goal is to maximize the overall objective function. In this paper, we propose a near-optimal algorithm for this general class ...
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作者：Castro, Jordi; Frangioni, Antonio; Gentile, Claudio
作者单位：Universitat Politecnica de Catalunya; University of Pisa; Consiglio Nazionale delle Ricerche (CNR)
摘要：Any institution that disseminates data in aggregated form has the duty to ensure that individual confidential information is not disclosed, either by not releasing data or by perturbing the released data while maintaining data utility. Controlled tabular adjustment (CTA) is a promising technique of the second type where a protected table that is close to the original one in some chosen distance is constructed. The choice of the specific distance shows a trade-off: although the Euclidean distan...
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作者：Bagchi, Aniruddha; Paul, Jomon Aliyas
作者单位：University System of Georgia; Kennesaw State University
摘要：This model examines the role of intelligence gathering and screening in providing airport security. We analyze this problem using a game between the government and a terrorist. By investing in intelligence gathering, the government can improve the precision of its information. In contrast, screening can be used to search a passenger and thereby deter terrorist attacks. We determine the optimal allocation of resources between these two strategies wherein we model the role of intelligence using ...
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作者：Johnson, Kris; Simchi-Levi, David; Sun, Peng
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Duke University
摘要：Scrip systems provide a nonmonetary trade economy for exchange of resources. We model a scrip system as a stochastic game and study system design issues on selection rules to match potential trade partners over time. We show the optimality of one particular rule in terms of maximizing social welfare for a given scrip system that guarantees players' incentives to participate. We also investigate the optimal number of scrips to issue under this rule. In particular, if the time discount factor is...
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作者：Lu, Ye; Chen, Youhua (Frank); Song, Miao; Yan, Xiaoming
作者单位：City University of Hong Kong; University of Hong Kong; Dongguan University of Technology
摘要：A firm facing price dependent stochastic demand aims to maximize its total expected profit over a planning horizon. In addition to the regular unit selling price, the firm can utilize quantity discounts to increase sales. We refer to this dual-pricing strategy as quantity-based price differentiation. At the beginning of each period, the firm needs to make three decisions: replenish the inventory, set the unit selling price if the unit sales mode is deployed, and set the quantity-discount price...
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作者：Kothiyal, Amit; Spinu, Vitalie; Wakker, Peter P.
作者单位：Max Planck Society; University of California System; University of California Los Angeles; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：This paper provides necessary and sufficient preference conditions for average utility maximization over sequences of variable length. We obtain full generality by using a new algebraic technique that exploits the richness structure naturally provided by the variable length of the sequences. Thus we generalize many preceding results in the literature. For example, continuity in outcomes, a condition needed in other approaches, now is an option rather than a requirement. Applications to expecte...
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作者：Wiesemann, Wolfram; Kuhn, Daniel; Sim, Melvyn
作者单位：Imperial College London; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; National University of Singapore
摘要：Distributionally robust optimization is a paradigm for decision making under uncertainty where the uncertain problem data are governed by a probability distribution that is itself subject to uncertainty. The distribution is then assumed to belong to an ambiguity set comprising all distributions that are compatible with the decision maker's prior information. In this paper, we propose a unifying framework for modeling and solving distributionally robust optimization problems. We introduce stand...
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作者：Care, Algo; Garatti, Simone; Campi, Marco C.
作者单位：University of Melbourne; Polytechnic University of Milan; University of Brescia
摘要：The scenario approach is a recently introduced method to obtain feasible solutions to chance-constrained optimization problems based on random sampling. It has been noted that the sample complexity of the scenario approach rapidly increases with the number of optimization variables and this may pose a hurdle to its applicability to medium-and large-scale problems. We here introduce the Fast Algorithm for the Scenario Technique, a variant of the scenario optimization algorithm with reduced samp...
