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作者：Deng, Shaojie; Giesecke, Kay; Lai, Tze Leung
作者单位：Microsoft; Stanford University; Stanford University
摘要：We provide a sequential Monte Carlo method for estimating rare-event probabilities in dynamic, intensity-based point process models of portfolio credit risk. The method is based on a change of measure and involves a resampling mechanism. We propose resampling weights that lead, under technical conditions, to a logarithmically efficient simulation estimator of the probability of large portfolio losses. A numerical analysis illustrates the features of the method and contrasts it with other rare-...
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作者：Epstein, Rafael; Goic, Marcel; Weintraub, Andres; Catalan, Jaime; Santibanez, Pablo; Urrutia, Rodolfo; Cancino, Raul; Gaete, Sergio; Aguayo, Augusto; Caro, Felipe
作者单位：Universidad de Chile; University of California System; University of California Los Angeles
摘要：We present a methodology for long-term mine planning based on a general capacitated multicommodity network flow formulation. It considers underground and open-pit ore deposits sharing multiple downstream processing plants over a long horizon. The purpose of the model is to optimize several mines in an integrated fashion, but real size instances are hard to solve due to the combinatorial nature of the problem. We tackle this by solving the relaxation of a tight linear formulation, and we round ...
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作者：Zenios, Stefanos
作者单位：Stanford University
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作者：Marklund, Johan; Rosling, Kaj
作者单位：Lund University; Linnaeus University
摘要：Assume that in periods with stochastic demand remain until the next replenishment arrives at a central warehouse. How should the available inventory be allocated among N retailers? This paper presents a new policy and a new lower bound for the expected cost of this problem. The lower bound becomes tight as N -> infinity. The infinite horizon problem then decomposes into N independent m-period problems with optimal retailer ship-up-to levels that decrease over the in periods, and the warehouse ...
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作者：Golany, Boaz; Kress, Moshe; Penn, Michal; Rothblum, Uriel G.
作者单位：Technion Israel Institute of Technology; United States Department of Defense; United States Navy; Naval Postgraduate School
摘要：A military arms race is characterized by an iterative development of measures and countermeasures. An attacker attempts to introduce new weapons in order to gain some advantage, whereas a defender attempts to develop countermeasures that can mitigate or even eliminate the effects of the weapons. This paper addresses the defender's decision problem: given limited resources, which countermeasures should be developed and how much should be invested in their development to minimize the damage caus...
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作者：He, Simai; Zhang, Jiawei; Zhang, Shuzhong
作者单位：City University of Hong Kong; New York University; University of Minnesota System; University of Minnesota Twin Cities
摘要：In this paper we consider the problem of maximizing a separable concave function over a polymatroid. More specifically, we study the submodularity of its optimal objective value in the parameters of the objective function. This question is interesting in its own right and is encountered in many applications. But our research has been motivated mainly by a cooperative game associated with the well-known joint replenishment model. By applying our general results on polymatroid optimization, we p...
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作者：Babonneau, Frederic; Nesterov, Yurii; Vial, Jean-Philippe
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Universite Catholique Louvain
摘要：Problems dealing with the design and operations of gas transmission networks are challenging. The standard approaches lead to a difficult nonlinear nonconvex optimization problem. To get around this difficulty, we use a minimum energy principle to define stationary flows in the network. This solution minimizes the total energy dissipated in the system. We extend the minimization process to the choice of suitable diameters on the reinforcing arcs and add a constraint that limits the monetary co...
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作者：Lim, Eunji; Glynn, Peter W.
作者单位：University of Miami; Stanford University
摘要：Convex regression is concerned with computing the best fit of a convex function to a data set of n observations in which the independent variable is (possibly) multidimensional. Such regression problems arise in operations research, economics, and other disciplines in which imposing a convexity constraint on the regression function is natural. This paper studies a least-squares estimator that is computable as the solution of a quadratic program and establishes that it converges almost surely t...
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作者：Turner, John
作者单位：University of California System; University of California Irvine
摘要：As targeted advertising becomes prevalent in a wide variety of media vehicles, planning models become increasingly important to ad networks that need to match ads to appropriate audience segments, provide a high quality of service (meet advertisers' goals), and ensure that ad serving opportunities are not wasted. We define Guaranteed Targeted Display Advertising (GTDA) as a class of media vehicles that include webpage banner ads, video games, electronic outdoor billboards, and the next generat...
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作者：Ryzhov, Ilya O.; Powell, Warren B.; Frazier, Peter I.
作者单位：University System of Maryland; University of Maryland College Park; Princeton University; Cornell University
摘要：We derive a one-period look-ahead policy for finite- and infinite-horizon online optimal learning problems with Gaussian rewards. Our approach is able to handle the case where our prior beliefs about the rewards are correlated, which is not handled by traditional multiarmed bandit methods. Experiments show that our KG policy performs competitively against the best-known approximation to the optimal policy in the classic bandit problem, and it outperforms many learning policies in the correlate...
