-
作者：Correa, Jose; Cristi, Andres; Dutting, Paul; Hajiaghayi, Mohammad; Olkowski, Jan; Schewiore, Kevin
作者单位：Universidad de Chile; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Alphabet Inc.; Google Incorporated; University System of Maryland; University of Maryland College Park; University of Cologne; University of Southern Denmark
摘要：In this work, we initiate the study of buy-and-sell prophet inequalities. We start by considering what is arguably the most fundamental setting. In this setting, the online algorithm observes a sequence of prices one after the other. At each time step, the online algorithm can decide to buy and pay the current price if it does not hold the item already, or it can decide to sell and collect the current price as a reward if it holds the item. We identify settings in which a constant-factor buy-a...
-
作者：Luo, Yiyun; Sun, Will Wei; Liu, Yufeng
作者单位：Shanghai University of Finance & Economics; Purdue University System; Purdue University; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
摘要：In online retailing, the seller aims to offer assortment of items with maximized revenue. We introduce a new online learning problem called dynamic assortment selection with positioning (DAP) that additionally learns the optimal positioning within the assortment. Specifically, the customers make purchases based on the item attractiveness as the product of the position effect and unknown preference parameter through a multinomial logit choice model. We first demonstrate that any assortment-only...
-
作者：Namkoong, Hongseok; Ma, Yuanzhe; Glynn, Peter W.
作者单位：Columbia University; Columbia University; Stanford University
摘要：The performance of decision policies and prediction models often deteriorates when applied to environments different from the ones seen during training. To ensure reliable operation, we analyze the stability of a system under distribution shift, which is defined as the smallest change in the underlying environment that causes the system's performance to deteriorate beyond a permissible threshold. In contrast to standard tail risk measures and distributionally robust losses that require the spe...
-
作者：Law, Kody . T. H.; Walton, Neil; Yang, Shangda
作者单位：University of Manchester; Durham University
摘要：We analyze the behavior of stochastic approximation algorithms where iterates, in expectation, progress toward an objective at each step. When progress is proportional to the step size of the algorithm, we prove exponential concentration bounds. These tailbounds contrast asymptotic normality results, which are more frequently associated with stochastic approximation. The methods that we develop rely on a proof of geometric ergodicity. The extends results on the exponential ergodicity of Markov...
-
作者：Hubner, Thomas; Hug, Gabriela
作者单位：Swiss Federal Institutes of Technology Domain; ETH Zurich
摘要：A key challenge in combinatorial auctions is designing bid formats that accurately capture agents' preferences while remaining computationally feasible. This is especially true for electricity auctions, where complex preferences complicate straightforward solutions. In this context, we examine the XOR package bid, the default choice in combinatorial auctions and adopted in European day-ahead and intraday auctions under the name exclusive group of block bids. Unlike parametric bid formats often...
-
作者：Chen, Li; Chou, Mabel; Sun, Qinghe
作者单位：University of Sydney; National University of Singapore; National University of Singapore; National University of Singapore; Hong Kong Polytechnic University
摘要：Process flexibility has been a well-established supply chain strategy in both theory and practice for managing demand uncertainty. This study extends its application to mitigating supply disruptions by analyzing a long chain system. Specifically, we investigate the effectiveness of long chains in the face of random supply disruptions and demand uncertainty. We derive a closed-form, tight bound on the expected sales ratio of a long chain relative to full flexibility under random disruptions, th...
-
作者：Lu, Haihao; Sturt, Bradley
作者单位：Massachusetts Institute of Technology (MIT); University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：We consider a class of production-inventory problems with box uncertainty sets from the seminal work of Ben-Tal et al. [Ben-Tal A, Goryashko A, Guslitzer E, Nemirovski A (2004) Adjustable robust solutions of uncertain linear programs. Math. Programming 99(2):351-376] on linear decision rules in robust optimization. We prove that there always exists an optimal linear decision rule for this class of problems in which the number of nonzero parameters in the linear decision rule grows linearly in ...
-
作者：Chen, Xi; Lyu, Jiameng; Zhang, Xuan; Zhou, Yuan
作者单位：New York University; Fudan University; University of Illinois System; University of Illinois Urbana-Champaign; Tsinghua University
摘要：Price discrimination, which refers to the strategy of setting different prices for different customer groups, has been widely used in online retailing. Although it helps boost the collected revenue for online retailers, it might create serious concerns about fairness, which even violates regulations and laws. This paper studies the problem of dynamic discriminatory pricing under a relative price fairness constraint in the pricing literature. We first establish a regret lower bound of ohm(T4=5)...
-
作者：Abdelhakmi, Anas; Lim, Andrew E. B.
作者单位：National University of Singapore; National University of Singapore; National University of Singapore
摘要：The Black-Litterman model is a framework for incorporating forward-looking expert views in a portfolio optimization problem. Existing work focuses almost exclusively on single-period problems with the forecast horizon matching that of the investor. We consider a generalization where the investor trades dynamically and views can be over horizons that differ from the investor. By exploiting the underlying graphical structure relating the asset prices and views, we derive the conditional distribu...
-
作者：Golz, Paul; Peters, Dominik; Procaccia, Ariel D.
作者单位：University of California System; University of California Berkeley; Cornell University; Centre National de la Recherche Scientifique (CNRS); Harvard University
摘要：Apportionment is the problem of distributing h indivisible seats across states in proportion to the states' populations. In the context of the U.S. House of Representatives, this problem has a rich history and is a prime example of interactions between mathematical analysis and political practice. Grimmett suggests to apportion seats in a randomized way such that each state receives exactly its proportional share qi of seats in expectation (ex ante proportionality) and receives either left per...
