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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：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...
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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...
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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：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...
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作者：Li, Shukai; Mehrotra, Sanjay
作者单位：New York University; NYU Shanghai; Northwestern University
摘要：We investigate an individual's decision-making problem in a competitive and uncertain environment, where N learners (decision makers) confront unknown objective functions, lack competitor data, and optimize actions over a finite horizon of T epochs. Within a general framework, we explore what conditions ensure good performance of learning policies solely based on individual data. We show that when learner objective functions exhibit a tatonnement stability property and individual data are info...
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作者：Hartmann, Lorenz; Kauffeldt, T. Florian
作者单位：University of Basel
摘要：Suggestion for abstract without references: In this paper, we present the first axiomatic characterization of preferences that can be represented by a Choquet integral with respect to an exact capacity. The characterizing axiom, binary diversification, is novel and reflects an inclination for bets on events, thereby capturing a specific type of ambiguity aversion. Furthermore, we demonstrate that the three capacity classes balanced, exact, and convex fully exhaust all levels of our family of k...
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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：Mao, Cheng; Wu, Yihong; Xu, Jiaming; Yu, Sophie H.
作者单位：University System of Georgia; Georgia Institute of Technology; Yale University; Duke University; University of Pennsylvania
摘要：We propose an efficient algorithm for graph matching based on similarity scores constructed from counting a certain family of weighted trees rooted at each vertex. For two Erdos-Renyi graphs G(n,q) whose edges are correlated through a latent vertex correspondence, we show that this algorithm correctly matches all but a vanishing fraction of the vertices with high probability, provided that nq -> infinity and the edge correlation coefficient rho satisfies rho(2) > alpha approximate to 0:338, wh...
