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作者：Philpott, Andy; de Matos, Vitor; Finardi, Erlon
作者单位：University of Auckland; Universidade Federal de Santa Catarina (UFSC)
摘要：We consider a class of multistage stochastic linear programs in which at each stage a coherent risk measure of future costs is to be minimized. A general computational approach based on dynamic programming is derived that can be shown to converge to an optimal policy. By computing an inner approximation to future cost functions, we can evaluate an upper bound on the cost of an optimal policy, and an outer approximation delivers a lower bound. The approach we describe is particularly useful in ...
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作者：Abhishek, Vibhanshu; Hosanagar, Kartik
作者单位：Carnegie Mellon University; University of Pennsylvania
摘要：We study optimal bidding strategies for advertisers in sponsored search auctions. In general, these auctions are run as variants of second-price auctions but have been shown to be incentive incompatible. Thus, advertisers have to be strategic about bidding. Uncertainty in the decision-making environment, budget constraints, and the presence of a large portfolio of keywords makes the bid optimization problem nontrivial. We present an analytical model to compute the optimal bids for keywords in ...
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作者：Buchbinder, Niv; Kimbrel, Tracy; Levi, Retsef; Makarychev, Konstantin; Sviridenko, Maxim
作者单位：Tel Aviv University; National Science Foundation (NSF); Massachusetts Institute of Technology (MIT); Microsoft; University of Warwick
摘要：In this paper, we study an online make-to-order variant of the classical joint replenishment problem (JRP) that has been studied extensively over the years and plays a fundamental role in broader planning issues, such as the management of supply chains. In contrast to the traditional approaches of the stochastic inventory theory, we study the problem using competitive analysis against a worst-case adversary. Our main result is a 3-competitive deterministic algorithm for the online version of t...
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作者：Blavatskyy, Pavlo
摘要：Subjective expected utility is the most widely used model to represent preferences under uncertainty (when objective probabilities of events may not be known). This paper presents a new behavioral characterization (preference axiomatization) of subjective expected utility. The latter is derived from a behavioral assumption of cardinal independence, also known as standard sequence invariance. This axiom requires that a standard sequence of outcomes (equally spaced in terms of utility) is indepe...
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作者：Carvajal, Rodolfo; Constantino, Miguel; Goycoolea, Marcos; Vielma, Juan Pablo; Weintraub, Andres
作者单位：University System of Georgia; Georgia Institute of Technology; Universidad Adolfo Ibanez; Universidade de Lisboa; Massachusetts Institute of Technology (MIT); Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Universidad de Chile
摘要：Connectivity requirements are a common component of forest planning models, with important examples arising in wildlife habitat protection. In harvest scheduling models, one way of addressing preservation concerns consists of requiring that large contiguous patches of mature forest are maintained. In the context of nature reserve design, it is common practice to select a connected region of forest, as a reserve, in such a way as to maximize the number of species and habitats protected. Althoug...
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作者：Giesecke, Kay; Smelov, Dmitry
作者单位：Stanford University
摘要：This paper develops a method for the exact simulation of a skeleton, a hitting time, and other functionals of a one-dimensional jump diffusion with state-dependent drift, volatility, jump intensity, and jump size. The method requires the drift function to be C-1, the volatility function to be C-2, and the jump intensity function to be locally bounded. No further structure is imposed on these functions. The method leads to unbiased simulation estimators of security prices, transition densities,...
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作者：Glasserman, Paul; Xu, Xingbo
作者单位：Columbia University; Columbia University
摘要：Portfolio selection is vulnerable to the error-amplifying effects of combining optimization with statistical estimation and model error. For dynamic portfolio control, sources of model error include the evolution of market factors and the influence of these factors on asset returns. We develop portfolio control rules that are robust to this type of uncertainty, applying a stochastic notion of robustness to uncertainty in model dynamics. In this stochastic formulation, robustness reflects uncer...
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作者：Kim, Song-Hee; Whitt, Ward
作者单位：Columbia University
摘要：The theory supporting Little's Law (L = lambda W) is now well developed, applying to both limits of averages and expected values of stationary distributions, but applications of Little's Law with actual system data involve measurements over a finite-time interval, which are neither of these. We advocate taking a statistical approach with such measurements. We investigate how estimates of L and lambda can be used to estimate W when the waiting times are not observed. We advocate estimating conf...
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作者：Kakade, Sham M.; Lobel, Ilan; Nazerzadeh, Hamid
作者单位：Microsoft; New York University; University of Southern California
摘要：We consider the problem of designing optimal mechanisms for settings where agents have dynamic private information. We present the virtual-pivot mechanism, which is optimal in a large class of environments that satisfy a separability condition. The mechanism satisfies a rather strong equilibrium notion (it is periodic ex post incentive compatible and individually rational). We provide both necessary and sufficient conditions for immediate incentive compatibility for mechanisms that satisfy per...
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作者：Thompson, Matt
作者单位：Queens University - Canada
摘要：This paper presents a methodology for the valuation, optimization, market, margin and credit risk management of gas-fired power plants and associated tolling contracts. Term structure models for the power and gas forward curves are employed to facilitate hedging and risk adjustment and for improved forecasting of short-term prices. The model for the power forward curve is capable of reproducing the important phenomena often observed in power markets, including spot price spikes and spike clust...
