-
作者：Ben-Tal, Aharon; Bertsimas, Dimitris; Brown, David B.
作者单位：Technion Israel Institute of Technology; Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Duke University
摘要：In this paper, we propose a framework for robust optimization that relaxes the standard notion of robustness by allowing the decision maker to vary the protection level in a smooth way across the uncertainty set. We apply our approach to the problem of maximizing the expected value of a payoff function when the underlying distribution is ambiguous and therefore robustness is relevant. Our primary objective is to develop this framework and relate it to the standard notion of robustness, which d...
-
作者：Hirade, Ryo; Osogami, Takayuki
作者单位：International Business Machines (IBM); IBM Japan
摘要：The performance of storage systems and database systems depends significantly on the page replacement policies. Although many page replacement policies have been discussed in the literature, their performances are not fully understood. We introduce analytical techniques for evaluating the performances of page replacement policies including two queue (2Q), which manages two buffers to capture both the recency and frequency of requests. We derive an exact expression for the probability that a re...
-
作者：Breton, Michele; de Frutos, Javier
作者单位：Universite de Montreal; Universite de Montreal; HEC Montreal; Universidad de Valladolid
摘要：In this paper, we propose a partial differential equation formulation for the value of an option when the underlying asset price is described by a discrete-time GARCH process. Our numerical approach involves a spectral Fourier-Chebyshev interpolation. Numerical illustrations are provided, and the results are compared with other available valuation methods. Our numerical procedure converges exponentially fast and allows for the efficient computation of option prices, achieving a high level of p...
-
作者：Chen, Xin; Zhang, Yuhan; Zhou, Sean X.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Chinese University of Hong Kong
摘要：In this paper, we establish a new preservation property of quasi-K-concavity under certain optimization operations. One important application of the result is to analyze joint inventory-pricing models for single-product periodic-review inventory systems with concave ordering costs. At each period, an ordering quantity and a selling price of the product are determined simultaneously. Demand is random but sensitive to the price. The objective is to maximize the total expected discounted profit o...
-
作者：Kubler, Felix; Schmedders, Karl
作者单位：University of Zurich; Swiss Finance Institute (SFI); University of Zurich; Swiss Finance Institute (SFI)
摘要：Multiplicity of equilibria is a prevalent problem in many economic models. Often equilibria are characterized as solutions to a system of polynomial equations. This paper gives an introduction to the application of Grobner bases for finding all solutions of a polynomial system. The Shape Lemma, a key result from algebraic geometry, states under mild assumptions that a given equilibrium system has the same solution set as a much simpler triangular system. Essentially, the computation of all sol...
-
作者：Armstrong, Christopher S.; Larcker, David F.; Su, Che-Lin
作者单位：University of Pennsylvania; Stanford University; University of Chicago
摘要：The two major paradigms in the theoretical agency literature are moral hazard (i.e., hidden action) and adverse selection (i.e., hidden information). Prior research typically solves these problems in isolation, as opposed to simultaneously incorporating both adverse selection and moral hazard features. We formulate two complementary generalized principal-agent models that incorporate features observed in real-world contracting environments (e. g., agents with power utility and limited liabilit...
-
作者：Jula, Payman; Leachman, Robert C.
作者单位：Simon Fraser University; University of California System; University of California Berkeley
摘要：Motivated by scheduling challenges of burn-in ovens in back-end semiconductor manufacturing, we propose a linear-programming-based algorithm, an integer-programming-based algorithm, and a heuristic-based algorithm to schedule non-homogenous parallel batch machines with nonidentical job sizes and incompatible job families. We consider the common scheduling of consecutive steps that are linked together through secondary scarce resources. Our approach addresses the availability and compatibility ...
-
作者：Speight, Adam
作者单位：University of Chicago
摘要：I present a self-contained introduction to multigrid methods with an emphasis on techniques relevant to dynamic programming and related problems. A probabilistic interpretation of the numerical principles is highlighted. Multigrid solvers are shown to be naturally matched to the challenges posed by intractable structural dynamic models routinely encountered in applied economics. I argue that multigrid techniques have potential to substantially extend the scale and complexity of models under co...
-
作者：Judd, Kenneth; van Ryzin, Garrett
作者单位：Columbia University
-
作者：Belloni, Alexandre; Lopomo, Giuseppe; Wang, Shouqiang
作者单位：Duke University
摘要：Multidimensional mechanism design problems have proven difficult to solve by extending techniques from the one-dimensional case. This paper considers mechanism design problems with multidimensional types when the seller's cost function is not separable across buyers. By adapting results obtained by Border [Border, K. 1991. Implementation of reduced form auctions: A geometric approach. Econometrica 59 1175-1187], we transform the seller's problem into a representation that only involves interim...
