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作者：Abbou, Abderrahmane; Makis, Viliam
作者单位：Mohammed VI Polytechnic University; University of Toronto
摘要：This paper develops the Bayesian analogue to the Shewhart type control chart previously developed for systems monitored by online sensors. Unlike previous work, we allow production sampling to be part of the decision process, so that a decision to take a sample is first made when a sensor generates a warning signal, followed immediately by another decision to interrupt operation. We apply optimal stopping theory along with dynamic programming analysis to prove the average cost optimality of a ...
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作者：Shen, Yiwen; Li, Chenxu; Scaillet, Olivier; Jiang, Yueting
作者单位：Hong Kong University of Science & Technology; Peking University; University of Geneva; University of Geneva; Chinese University of Hong Kong; University of Hong Kong
摘要：This paper develops a novel decomposition of optimal dynamic portfolio choice under flexible incomplete-market models and the wealth-dependent hyperbolic absolute risk aversion (HARA) utility. The decomposition reveals the fundamental impacts of market incompleteness and wealth effect in portfolio allocation. With hedgeable interest rate risk, we show that the optimal portfolio under HARA utility can be decomposed into a pure constant relative risk aversion optimal portfolio and a financing bo...
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作者：Guo, Wenshuo; Haghtalab, Nika; Kandasamy, Kirthevasan; Vitercik, Ellen
作者单位：University of California System; University of California Berkeley; University of Wisconsin System; University of Wisconsin Madison; Stanford University
摘要：In online marketplaces, buyers often use reviews from other customers that share their type-such as height for clothing and skin type for skincare products-to estimate their values. Customers with few relevant reviews may hesitate to purchase except at a low price, so for the seller, there is a tension between setting high prices and ensuring there are enough reviews so buyers can confidently estimate their values. Simultaneously, sellers may use reviews to gauge the demand for items they wish...
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作者：Wen, Xin; Sun, Will Wei; Zhang, Yichen
作者单位：New York University; Purdue University System; Purdue University
摘要：Contemporary applications, such as recommendation systems and mobile health monitoring, require real-time processing and analysis of sequentially arriving highdimensional tensor data. Traditional offline learning, involving the storage and utilization of all data in each computational iteration, becomes impractical for these tasks. Furthermore, existing low-rank tensor methods lack the capability for online statistical inference, which is essential for real-time predictions and informed decisi...
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作者：Yue, Man-Chung; Rychener, Yves; Kuhn, Daniel; Nguyen, Viet Anh
作者单位：University of Hong Kong; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：The state-of-the-art methods for estimating high-dimensional covariance matrices all shrink the eigenvalues of the sample covariance matrix toward a data-insensitive shrinkage target. The underlying shrinkage transformation is either chosen heuristically-without compelling theoretical justification-or optimally in view of restrictive distributional assumptions. In this paper, we propose a principled approach to construct covariance estimators without imposing restrictive assumptions. That is, ...
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作者：Singhvi, Divya; Singhvi, Somya; Zhang, Xinyu
作者单位：New York University; University of Southern California
摘要：Despite their vital role in the global rural economy, and as a major source of employment for women in the developing world, artisanal supply chains continue to be plagued by low productivity and high poverty levels. Identifying effective and implementable solutions to improve artisan productivity is a challenging task due to high fragmentation in the upstream parts of the supply chain. This paper presents research conducted in close collaboration with one of the leading exporters of handmade ...
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作者：Gao, Wenzhi; Ge, Dongdong; Sun, Chunlin; Xue, Chenyu; Ye, Yinyu
作者单位：Stanford University; Shanghai Jiao Tong University; Shanghai Institute for Mathematics & Interdisciplinary Sciences; East China University of Science and Technology
摘要：Online linear programming plays an important role in both revenue management and resource allocation, and recent research has focused on developing efficient firstorder online learning algorithms. Despite the empirical success of first-order methods, they root ffiffiffi typically achieve a regret no better than O( T ), which is suboptimal compared with the O(log T) bound guaranteed by the state-of-the-art linear programming (LP)-based online root ffiffiffi algorithms. This paper establishes a ...
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作者：Cui, Titing; Hamilton, Michael L.
作者单位：University of Tulsa; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
摘要：We study semipersonalized pricing policies in which a seller uses customer features to segment the market and offer segment-specific prices. Although such policies are common, determining the optimal segmentation and corresponding prices is computationally challenging, leading practitioners to rely on heuristic methods that first segment the market and then optimize the prices for each segment. We address this issue by studying the joint optimization of feature-based market segmentation and pr...
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作者：Winschermann, Leoni; Antoniadis, Antonios; Gerards, Marco E. T.; Hoogsteen, Gerwin; Hurink, Johann
作者单位：University of Twente
摘要：Because of the ongoing electrification of transport in combination with limited power grid capacities, efficient ways to schedule the charging of electric vehicles (EVs) are needed for the operation of, for example, large parking lots. Common approaches such as model predictive control repeatedly solve a corresponding offline problem. In this work, we first present and analyze the flow-based offline charging scheduler (FOCS), an offline algorithm to derive an optimal EV charging schedule for a...
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作者：Huh, Woonghee Tim; Paat, Joseph; Queyranne, Maurice
作者单位：University of British Columbia
摘要：We study a dynamic assortment optimization problem over a finite selling horizon with exogenously fixed initial inventory for multiple products. The manager offers an assortment in each period. The assortment cannot depend on arriving customer types because the manager does not see the customer type before making the assortment decision and thus cannot treat customer types differently. Focusing on an online setting where all products have the same price, we show a competitive ratio cannot be h...
