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作者：Reed, Josh; Zwart, Bert
作者单位：New York University
摘要：Bandwidth-sharing networks provide a natural modeling framework for describing the dynamic flow-level interaction among elastic data transfers in computer and communication systems, and can be used to develop traffic pricing/charging mechanisms. At the same time, such models are exciting from an operations research perspective because their analysis requires techniques from stochastic modeling and optimization. In this paper, we develop a framework to approximate bandwidth-sharing networks und...
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作者：Pinker, Edieal J.
作者单位：Yale University
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作者：Glasserman, Paul; Kang, Wanmo
作者单位：Columbia University; Korea Advanced Institute of Science & Technology (KAIST)
摘要：Banking regulations set minimum levels of capital for banks. These requirements are generally formulated through a ratio of capital to risk-weighted assets. A risk-weighting scheme assigns a weight to each asset or category of assets and effectively functions as a linear constraint on a bank's portfolio choice; it also changes the incentives for banks to hold various kinds of assets. In this paper, we investigate the design of risk weights to align regulatory and private objectives in a simple...
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作者：Hernandez, Penelope; von Stengel, Bernhard
作者单位：University of Valencia; University of Valencia; University of London; London School Economics & Political Science
摘要：This paper studies the stability of communication protocols that deal with transmission errors. We consider a coordination game between an informed sender and an uninformed receiver, who communicate over a noisy channel. The sender's strategy, called a code, maps states of nature to signals. The receiver's best response is to decode the received channel output as the state with highest expected receiver payoff. Given this decoding, an equilibrium or Nash code results if the sender encodes ever...
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作者：Helm, Jonathan E.; Van Oyen, Mark P.
作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington; University of Michigan System; University of Michigan
摘要：Hospitals typically lack effective enterprise level strategic planning of bed and care resources, contributing to bed census levels that are statistically out of control. This system dysfunction manifests itself in bed block, surgical cancelation, ambulance diversions, and operational chaos. This is the classic hospital admission scheduling and control (HASC) problem, which has been addressed in its entirety only through inexact simulation-based search heuristics. This paper develops new analy...
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作者：Iancu, Dan A.; Trichakis, Nikolaos
作者单位：Stanford University; Harvard University
摘要：We deal with the problem faced by a portfolio manager in charge of multiple accounts. We argue that because of market impact costs, this setting differs in several subtle ways from the classical (single account) case, with the key distinction being that the performance of each individual account typically depends on the trading strategies of other accounts, as well. We propose a novel, tractable approach for jointly optimizing the trading activities of all accounts and also splitting the assoc...
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作者：Wozabal, David
作者单位：Technical University of Munich
摘要：This paper introduces a framework for robustifying convex, law invariant risk measures. The robustified risk measures are defined as the worst case portfolio risk over neighborhoods of a reference probability measure, which represent the investors' beliefs about the distribution of future asset losses. It is shown that under mild conditions, the infinite dimensional optimization problem of finding the worst-case risk can be solved analytically and closed-form expressions for the robust risk me...
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作者：Gao, Ziyou; Qu, Yunchao; Li, Xingang; Long, Jiancheng; Huang, Hai-Jun
作者单位：Beijing Jiaotong University; Hefei University of Technology; Beihang University
摘要：Pedestrian dynamics plays an important role in public facility design and evacuation management. During an escape process from a large public space, crowd behavior is a collection of pedestrian exit/route choice behavior, and movement behavior. Modelling such an escape process is an extremely complex challenge. In this paper, an integrated macro-micro approach is developed to simulate the escape process. An analysis of the simulation reveals the mechanisms of the formation of crowd congestion ...
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作者：Wiesemann, Wolfram; Kuhn, Daniel; Sim, Melvyn
作者单位：Imperial College London; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; National University of Singapore
摘要：Distributionally robust optimization is a paradigm for decision making under uncertainty where the uncertain problem data are governed by a probability distribution that is itself subject to uncertainty. The distribution is then assumed to belong to an ambiguity set comprising all distributions that are compatible with the decision maker's prior information. In this paper, we propose a unifying framework for modeling and solving distributionally robust optimization problems. We introduce stand...
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作者：Sun, Lihua; Hong, L. Jeff; Hu, Zhaolin
作者单位：Tongji University; City University of Hong Kong; City University of Hong Kong
摘要：Random search algorithms are often used to solve discrete optimization-via-simulation (DOvS) problems. The most critical component of a random search algorithm is the sampling distribution that is used to guide the allocation of the search effort. A good sampling distribution can balance the trade-off between the effort used in searching around the current best solution (which is called exploitation) and the effort used in searching largely unknown regions (which is called exploration). Howeve...
