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作者：Wozabal, David
作者单位：Technical University of Munich
摘要：This paper introduces a framework for robustifying convex, law invariant risk measures. The robustified risk measures are defined as the worst case portfolio risk over neighborhoods of a reference probability measure, which represent the investors' beliefs about the distribution of future asset losses. It is shown that under mild conditions, the infinite dimensional optimization problem of finding the worst-case risk can be solved analytically and closed-form expressions for the robust risk me...
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作者：Fang, Xin; Cho, Soo-Haeng
作者单位：Singapore Management University; Carnegie Mellon University
摘要：This paper studies a cooperative game of inventory transshipment among multiple firms. In this game, firms first make their inventory decisions independently and then decide collectively how to transship excess inventories to satisfy unmet demands. In modeling transshipment, we use networks of firms as the primitive, which offer a richer representation of relationships among firms by taking the coalitions used in all previous studies as special cases. For any given cooperative network, we cons...
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作者：Ashlagi, Itai; Shi, Peng
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：In school choice, children submit a preference ranking over schools to a centralized assignment algorithm, which takes into account schools' priorities over children and uses randomization to break ties. One criticism of existing school choice mechanisms is that they tend to disperse communities, so children do not go to school with others from their neighborhood. We suggest improving community cohesion by implementing a correlated lottery in a given school choice mechanism: we find a convex c...
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作者：Gao, Ziyou; Qu, Yunchao; Li, Xingang; Long, Jiancheng; Huang, Hai-Jun
作者单位：Beijing Jiaotong University; Hefei University of Technology; Beihang University
摘要：Pedestrian dynamics plays an important role in public facility design and evacuation management. During an escape process from a large public space, crowd behavior is a collection of pedestrian exit/route choice behavior, and movement behavior. Modelling such an escape process is an extremely complex challenge. In this paper, an integrated macro-micro approach is developed to simulate the escape process. An analysis of the simulation reveals the mechanisms of the formation of crowd congestion ...
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作者：Iancu, Dan A.; Trichakis, Nikolaos
作者单位：Stanford University; Harvard University
摘要：We deal with the problem faced by a portfolio manager in charge of multiple accounts. We argue that because of market impact costs, this setting differs in several subtle ways from the classical (single account) case, with the key distinction being that the performance of each individual account typically depends on the trading strategies of other accounts, as well. We propose a novel, tractable approach for jointly optimizing the trading activities of all accounts and also splitting the assoc...
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作者：Pinker, Edieal J.
作者单位：Yale University
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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：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：Sun, Lihua; Hong, L. Jeff; Hu, Zhaolin
作者单位：Tongji University; City University of Hong Kong; City University of Hong Kong
摘要：Random search algorithms are often used to solve discrete optimization-via-simulation (DOvS) problems. The most critical component of a random search algorithm is the sampling distribution that is used to guide the allocation of the search effort. A good sampling distribution can balance the trade-off between the effort used in searching around the current best solution (which is called exploitation) and the effort used in searching largely unknown regions (which is called exploration). Howeve...
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作者：Delage, Erick; Arroyo, Sharon; Ye, Yinyu
作者单位：Universite de Montreal; HEC Montreal; Boeing; Stanford University
摘要：Although stochastic programming is probably the most effective framework for handling decision problems that involve uncertain variables, it is always a costly task to formulate the stochastic model that accurately embodies our knowledge of these variables. In practice, this might require one to collect a large amount of observations, to consult with experts of the specialized field of practice, or to make simplifying assumptions about the underlying system. When none of these options seem fea...
