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作者：Postek, Krzysztof; Ben-Tal, Aharon; den Hertog, Dick; Melenberg, Bertrand
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Technion Israel Institute of Technology; Shenkar College of Engineering, Design & Art; Tilburg University; Tilburg University; Tilburg University
摘要：In this paper we consider ambiguous stochastic constraints under partial information consisting of means and dispersion measures of the underlying random parameters. Whereas the past literature used the variance as the dispersion measure, here we use the mean absolute deviation from the mean (MAD). This makes it possible to use the 1972 result of Ben-Tal and Hochman (BH) m which tight upper and lower bounds on the expectation of a convex function of a random variable are given. First, we use t...
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作者：Strinka, Zohar M. A.; Romeijn, H. Edwin
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：We study a class of problems with both binary selection decisions and associated continuous choices that result in stochastic rewards and costs. The rewards are received based on the decision maker's selection, and the costs depend both on the decisions and realizations of the stochastic variables. We consider a family of risk-based objective functions that contains the traditional risk-neutral expected-value objective as a special case. A combination of rounding and sample average approximati...
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作者：Hanasusanto, Grani A.; Kuhn, Daniel
作者单位：University of Texas System; University of Texas Austin; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：Adaptive robust optimization problems are usually solved approximately by restricting the adaptive decisions to simple parametric decision rules. However, the corresponding approximation error can be substantial. In this paper we show that two-stage robust and distributionally robust linear programs can often be reformulated exactly as conic programs that scale polynomially with the problem dimensions. Specifically, when the ambiguity set constitutes a 2-Wasserstein ball centered at a discrete...
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作者：Aswani, Anil; Shen, Zuo-Jun (Max); Siddiq, Auyon
作者单位：University of California System; University of California Berkeley; University of California System; University of California Berkeley; University of California System; University of California Berkeley; University of California System; University of California Los Angeles
摘要：Inverse optimization refers to the inference of unknown parameters of an optimization problem based on knowledge of its optimal solutions. This paper considers inverse optimization in the setting where measurements of the optimal solutions of a convex optimization problem are corrupted by noise. We first provide a formulation for inverse optimization and prove it to be NP-hard. In contrast to existing methods, we show that the parameter estimates produced by our formulation are statistically c...
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作者：Goh, Joel; Bayati, Mohsen; Zenios, Stefanos A.; Singh, Sundeep; Moore, David
作者单位：National University of Singapore; Harvard University; Stanford University; Stanford University; Stanford University
摘要：Cost-effectiveness studies of medical innovations often suffer from data inadequacy. When Markov chains are used as a modeling framework for such studies, this data inadequacy can manifest itself as imprecision in the elements of the transition matrix. In this paper, we study how to compute maximal and minimal values for the discounted value of the chain (with respect to a vector of state-wise costs or rewards) as these uncertain transition parameters jointly vary within a given uncertainty se...
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作者：Chen, Xin; Gao, Xiangyu; Pang, Zhan
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Chinese University of Hong Kong; City University of Hong Kong
摘要：A common technical challenge encountered in many operations management models is that decision variables are truncated by some random variables and the decisions are made before the values of these random variables are realized, leading to non-convex minimization problems. To address this challenge, we develop a powerful transformation technique that converts a nonconvex minimization problem to an equivalent convex minimization problem. We show that such a transformation enables us to prove th...
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作者：Feldman, Jacob; Topaloglu, Huseyin
作者单位：Washington University (WUSTL)
摘要：We study capacitated assortment problems when customers choose under the multinomial logit model with nested consideration sets. In this choice model, there are multiple customer types, and a customer of a particular type is interested in purchasing only a particular subset of products. We use the term consideration set to refer to the subset of products that a customer of a particular type is interested in purchasing. The consideration sets of customers of different types are nested in the se...
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作者：Kim, Jeunghyun; Randhawa, Ramandeep S.
作者单位：University of Southern California
摘要：We study the value of dynamic pricing to maximize revenues in queueing systems with price-and delay-sensitive customers. The system queue length is visible so that upon arrival, customers decide to join the system based on the congestion and the price at that time. We analyze this problem in the asymptotic regime of large customer market size and capacity. We find that dynamic pricing performs significantly better than static pricing at mitigating the effect of uncertainty. Asymptotically, the...
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作者：Peng, Yijie; Fu, Michael C.; Hu, Jian-Qiang; Heidergott, Bernd
作者单位：Peking University; University System of Maryland; University of Maryland College Park; Fudan University; Vrije Universiteit Amsterdam
摘要：In this paper, we propose a new unbiased stochastic derivative estimator in a framework that can handle discontinuous sample performances with structural parameters. This work extends the three most popular unbiased stochastic derivative estimators: (1) infinitesimal perturbation analysis (IPA), (2) the likelihood ratio (LR) method, and (3) the weak derivative method, to a setting where they did not previously apply. Examples in probability constraints, control charts, and financial derivative...
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作者：Luo, Yuan; Shah, Nihar B.; Huang, Jianwei; Walrand, Jean
作者单位：Imperial College London; Chinese University of Hong Kong; Chinese University of Hong Kong; University of California System; University of California Berkeley
摘要：We consider a problem of prediction based on opinions elicited from heterogeneous rational agents with private information. Making an accurate prediction with a minimal cost requires a joint design of the incentive mechanism and the prediction algorithm. To elicit heterogeneous agents' private information and incentivize agents with different capabilities to act in the principal's best interest, we design an optimal joint incentive mechanism and prediction algorithm called COPE (COst and Predi...
