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作者：Cohen, Asaf; Sun, Chuhao
作者单位：University of Michigan System; University of Michigan
摘要：In this paper, we examine the stationary relaxed singular control problem within a multidimensional framework for a single agent as well as its mean field game equivalent. We demonstrate that optimal relaxed controls exist for two problem classes: one driven by queueing control and the other by harvesting models. These relaxed controls are defined by random measures across the state and control spaces with the state process described as a solution to the associated martingale problem. By lever...
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作者：Sanita, Laura; Verberk, Lucy
作者单位：Bocconi University; Eindhoven University of Technology
摘要：Capacitated network bargaining games are popular combinatorial games that involve the structure of matchings in graphs. We show that it is always possible to stabilize unit weight instances of this problem (that is, ensure that they admit a stable outcome) via capacity reduction and edge removal operations without decreasing the total value that the players can get. Furthermore, for general weighted instances, we show that computing a minimum amount of vertex capacity to reduce to make an inst...
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作者：Luner, Alan; Grimmer, Benjamin
作者单位：Johns Hopkins University
摘要：This work considers the effect of averaging, and more generally extrapolation, of the iterates of gradient descent in smooth convex optimization. After running the method, rather than reporting the final iterate, one can report either a convex combination of the iterates (averaging) or a generic combination of the iterates (extrapolation). For several common stepsize sequences, including recently developed accelerated periodically long stepsize schemes, we show averaging cannot improve gradien...
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作者：Ruan, Feng
作者单位：Northwestern University
摘要：We investigate the uniform convergence of subdifferential mappings from empirical risk to population risk in nonsmooth, nonconvex stochastic optimization. This question is key to understanding how empirical stationary points approximate population ones, yet characterizing this convergence remains a fundamental challenge because of the set-valued and nonsmooth nature of subdifferentials. This work establishes a general reduction principle: for weakly convex stochastic objectives, over any open ...
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作者：Agarwal, Pooja; Ramanan, Kavita
作者单位：Brown University
摘要：Randomized load-balancing algorithms play an important role in improving performance in large-scale networks at relatively low computational cost. A common model of such a system is a network of N parallel queues in which incoming jobs with independent and identically distributed service times are routed on arrival using the join-the-shortest-ofd-queues routing algorithm. Under fairly general conditions, it was shown by Aghajani and Ramanan that as N-infinity, the state dynamics converge to th...
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作者：He, Jiahao; Zhang, Jiheng; Zhang, Rachel Q.
作者单位：Hong Kong University of Science & Technology
摘要：Individuals and organizations often face contests that require various skills, which can be developed through time and resource investments. Consider homogeneous contestants participating in multiple contests, each with multiple attributes and a reward for the winner or shared equally in case of a tie. Contestants can invest effort, at a cost, to enhance their skills in these attributes to maximize their expected net gain. Because contests may share some attributes while having unique ones, im...
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作者：Chen, Xiaochen; Guan, Guohui; Liang, Zongxia
作者单位：Tsinghua University; Renmin University of China; Renmin University of China
摘要：This paper investigates portfolio selection within a continuous-time financial market with regime switching and beliefs-dependent utilities. The market coefficients and the investor's utility function both depend on the market regime, which is modeled by an observable finite-state continuous-time Markov chain. The optimization problem is formulated by aggregating expected certainty equivalents under different regimes, leading to time inconsistency. Utilizing the equilibrium strategy, we derive...
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作者：Fan, Yanqin; Park, Hyeonseok; Xua, Gaoqian
作者单位：University of Washington; University of Washington Seattle; Dongbei University of Finance & Economics; Dongbei University of Finance & Economics
摘要：This paper studies distributional model risk in marginal problems, where each marginal measure is assumed to lie in a Wasserstein ball. We establish fundamental results including strong duality, finiteness of the proposed Wasserstein distributional model risk, and the existence of an optimizer at each radius. We also show continuity of the Wasserstein distributional model risk as a function of the radius. Using strong duality, we extend the well-known Makarov bounds for the distribution functi...
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作者：Liu, Haiyan; Wang, Bin; Wang, Ruodu; Zhuang, Sheng Chao
作者单位：Michigan State University; Michigan State University; Chinese Academy of Sciences; Academy of Mathematics & System Sciences, CAS; University of Waterloo; University of Nebraska System; University of Nebraska Lincoln
摘要：Classic optimal transport theory is formulated through minimizing the expected transport cost between two given distributions. We propose the framework of distorted optimal transport by minimizing a distorted expected cost, which is the cost under a nonlinear expectation. This new formulation is motivated by concrete problems in decision theory, robust optimization, and risk management, and it has many distinct features compared with the classic theory. We choose simple cost functions and stud...
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作者：Zhao, Zhisheng; Banerjee, Sayan; Mukherjee, Debankur
作者单位：University System of Georgia; Georgia Institute of Technology; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
摘要：Join-the-shortest queue (JSQ) is a classical benchmark for the performance of parallel-server queueing systems because of its strong optimality properties. Recently, there has been significant progress in understanding its large-system asymptotic behavior. In this paper, we analyze the JSQ policy in the super-Halfin-Whitt scaling window when load per server scales with the system size N as lim(->infinity) (1 - ) = for is an element of (1/2, 1) and > 0. We establish that the centered and scaled...
