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作者：Bertsimas, Dimitris; Misic, Velibor V.
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); University of California System; University of California Los Angeles
摘要：Decomposable Markov decision processes (MDPs) are problems where the stochastic system can be decomposed into multiple individual components. Although such MDPs arise naturally in many practical applications, they are often difficult to solve exactly due to the enormous size of the state space of the complete system, which grows exponentially with the number of components. In this paper, we propose an approximate solution approach to decomposable MDPs that is based on re-solving a fluid linear...
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作者：Xin, Linwei; Goldberg, David A.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University System of Georgia; Georgia Institute of Technology
摘要：Inventory models with lost sales and large lead times have traditionally been considered intractable due to the curse of dimensionality. Recently, Goldberg and coauthors laid the foundations for a new approach to solving these models, by proving that as the lead time grows large, a simple constant-order policy is asymptotically optimal. However, the bounds proven there require the lead time to be very large before the constant-order policy becomes effective, in contrast to the good numerical p...
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作者：Kocuk, Burak; Dey, Santanu S.; Sun, X. Andy
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：This paper proposes three strong second order cone programming (SOCP) relaxations for the AC optimal power flow (OPF) problem. These three relaxations are incomparable to each other and two of them are incomparable to the standard SDP relaxation of OPF. Extensive computational experiments show that these relaxations have numerous advantages over existing convex relaxations in the literature: (i) their solution quality is extremely close to that of the standard SDP relaxation (the best one is w...
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作者：Desaulniers, Guy; Errico, Fausto; Irnich, Stefan; Schneider, Michael
作者单位：Universite de Montreal; Polytechnique Montreal; Universite de Montreal; University of Quebec; Ecole de Technologie Superieure - Canada; Universite de Montreal; Universite de Montreal; Johannes Gutenberg University of Mainz; RWTH Aachen University
摘要：Effective route planning for battery electric commercial vehicle (ECV) fleets has to take into account their limited autonomy and the possibility of visiting recharging stations during the course of a route. In this paper, we consider four variants of the electric vehicle-routing problem with time windows: (i) at most a single recharge per route is allowed, and batteries are fully recharged on visit of a recharging station; (ii) multiple recharges per route, full recharges only; (iii) at most ...
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作者：Ryzhov, Ilya O.
作者单位：University System of Maryland; University of Maryland College Park
摘要：We consider a ranking and selection problem with independent normal observations, and we analyze the asymptotic sampling rates of expected improvement (EI) methods in this setting. Such methods often perform well in practice, but a tractable analysis of their convergence rates is difficult because of the nonlinearity and nonconvexity of the EI calculations. We present new results indicating that, for known sampling noise, variants of EI produce asymptotic simulation allocations that are essent...
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作者：Kou, Steven; Peng, Xianhua
作者单位：National University of Singapore; National University of Singapore; Hong Kong University of Science & Technology
摘要：This paper attempts to provide a decision-theoretic foundation for the measurement of economic tail risk, which is not only closely related to utility theory but also relevant to statistical model uncertainty. The main result is that the only risk measures that satisfy a set of economic axioms for the Choquet expected utility and the statistical property of general elicitability (i.e., there exists an objective function such that minimizing the expected objective function yields the risk measu...
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作者：Chen, Nan; Liu, Xin; Yao, David D.
作者单位：Chinese University of Hong Kong; Yangzhou University; Columbia University
摘要：Financial institutions are interconnected directly by holding debt claims against each other (the network channel), and they are also bound by the market when selling assets to raise cash in distressful circumstances (the liquidity channel). The goal of our study is to investigate how these two channels of risk interact to propagate individual defaults to a systemwide catastrophe. We formulate a constrained optimization problem that incorporates both channels of risk, and exploit the problem s...
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作者：Amini, Hamed; Minca, Andreea
作者单位：University of Miami; Cornell University
摘要：We propose a framework for testing the possibility of large cascades in financial networks. This framework accommodates a variety of specifications for the probabilities of emergence of contagious links conditional on a macroeconomic shock, where a contagious link leads to the default of a bank following the default of its counterparty. Under general contagion mechanisms and incomplete information, the financial network is modeled as an inhomogeneous random graph, where the conditional probabi...
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作者：Capponi, Agostino; Chen, Peng-Chu; Yao, David D.
作者单位：Columbia University; Purdue University System; Purdue University
摘要：The objective of this study is to develop a majorization- based tool to compare financial networks with a focus on the implications of liability concentration. Specifically, we quantify liability concentration by applying the majorization order to the liability matrix that captures the interconnectedness of banks in a financial network. We develop notions of balancing and unbalancing networks to bring out the qualitatively different implications of liability concentration on the system's loss ...
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作者：Amini, Hamed; Filipovic, Damir; Minca, Andreea
作者单位：University of Miami; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Cornell University
摘要：We show that partial versus full multilateral netting of interbank liabilities increases bank shortfall and reduces clearing asset price and aggregate bank surplus. We also show that partial multilateral netting can be worse than no netting at all.
