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作者：Balseiro, Santiago R.; Kroer, Christian; Kumar, Rachitesh
作者单位：Columbia University; Columbia University; Carnegie Mellon University
摘要：Single-leg revenue management is a foundational problem of revenue management that has been particularly impactful in the airline and hotel industry: Given n units of a resource, for example, flight seats, and a stream of sequentially arriving customers segmented by fares, what is the optimal online policy for allocating the resource? Previous work focused on designing algorithms when forecasts are available, which are not robust to inaccuracies in the forecast, or online algorithms with worst...
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作者：Correa, Jose; Golz, Paul; Schmidt-Kraepelin, Ulrike; Tucker-Foltz, Jamie; Verdugo, Victor
作者单位：Universidad de Chile; Cornell University; Eindhoven University of Technology; Yale University; Pontificia Universidad Catolica de Chile; Pontificia Universidad Catolica de Chile
摘要：Apportionment is the act of distributing the seats of a legislature among political parties (or states) in proportion to their vote shares (or populations). A famous impossibility proven by Balinski and Young shows that no apportionment method can be proportional up to one seat (i.e., quota) while also responding monotonically to changes in the votes (i.e., population monotone). Grimmett proposed to overcome this impossibility by randomizing the apportionment, which can achieve quota as well a...
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作者：Banerjee, Sid; Hssaine, Chamsi; Sinclair, Sean R.
作者单位：Cornell University; University of Southern California; Northwestern University
摘要：We consider a practically motivated variant of the canonical online fair allocation problem: A decision maker has a budget of perishable resources to allocate over a fixed number of rounds. Each round sees a random number of arrivals, and the decision maker must commit to an allocation for these individuals before moving on to the next round. The goal is to construct a sequence of allocations that is envy-free and efficient. Our work makes two important contributions toward this problem: We fi...
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作者：Ata, Baris; Lehman, Amy; Montgomery, Robert John
作者单位：University of Chicago; University of California System; University of California San Diego
摘要：This paper studies inventory management policies to improve the last-mile delivery of healthcare products in remote settings prone to supply chain disruptions. It is motivated by the need for a reliable and cost-effective delivery system to resupply new mosquito-repellent products to combat malaria in the Lake Tanganyika region of the Democratic Republic of the Congo. The primary delivery methods used to supply villages along Lake Tanganyika can become inoperable during periods of flooding, ma...
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作者：Ji, Jingwei; Xu, Renyuan; Zhu, Ruihao
作者单位：Stanford University; Cornell University
摘要：Motivated by practical considerations in machine learning for financial decision making, such as risk aversion and large action space, we consider risk-aware bandits optimization with applications in smart order routing (SOR). Specifically, based on preliminary observations of linear price impacts made from the Nasdaq TotalView-ITCH (NASDAQ ITCH) data set, we initiate the study of risk-aware linear bandits. In this setting, we aim at minimizing regret, which measures our performance deficit co...
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作者：Shafiee, Soroosh; Aolaritei, Liviu; Dorller, Florian; Kuhn, Daniel
作者单位：Cornell University; University of California System; University of California Berkeley; Swiss Federal Institutes of Technology Domain; ETH Zurich; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：We study optimal transport-based distributionally robust optimization problems in which a fictitious adversary, often envisioned as nature, can choose the distribution of the uncertain problem parameters by reshaping a prescribed reference distribution at a finite transportation cost. In this framework, we show that robustification is intimately related to various forms of variation and Lipschitz regularization even if the transportation cost function fails to be (some power of) a metric. We a...
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作者：Chen, Ying; Horst, Ulrich; Tran, Hoang Hai
作者单位：National University of Singapore; Humboldt University of Berlin; National University of Singapore
摘要：We consider an optimal liquidation model in which an investor is required to execute meta-orders during intraday trading periods, and his trading activity triggers child orders and endogenously affects future order flow, both instantaneously and permanently. Under the assumptions of risk neutrality and deterministic constants of the impact parameters, we provide closed-form solutions and illustrate the relationship between trading strategies and feedback effects. The optimal trading strategy i...
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作者：Selvi, Aras; Liu, Huikang; Wiesemann, Wolfram
作者单位：Imperial College London; Shanghai Jiao Tong University
摘要：In recent years, differential privacy has emerged as the de facto standard for sharing statistics of data sets while limiting the disclosure of private information about the involved individuals. This is achieved by randomly perturbing the statistics to be published, which in turn, leads to a privacy-accuracy trade-off; larger perturbations provide stronger privacy guarantees, but they result in less accurate statistics that offer lower utility to the recipients. Of particular interest are, th...
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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; University of Hong Kong; Chinese 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：Abdallah, Tarek; Braverman, Anton; Gu, Wenhao
作者单位：Northwestern University
摘要：The static assortment optimization problem, where customers select a single item according to some choice model such as a random utility model, is a classical and well-studied setting. In contrast, the multipurchase variant, where customers may choose multiple items, has received far less attention because modeling utility-maximizing behavior over sets of items is substantially more complex, even under natural extensions of the Multinomial Logit model. In this paper, we propose a general multi...
