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作者：Scroccaro, Pedro Zattoni; Atasoy, Bilge; Esfahani, Peyman Mohajerin
作者单位：Delft University of Technology; Delft University of Technology
摘要：In inverse optimization (IO), an expert agent solves an optimization problem parametric in an exogenous signal. From a learning perspective, the goal is to learn the expert's cost function given a data set of signals and corresponding optimal actions. Motivated by the geometry of the IO set of consistent cost vectors, we introduce the incenter concept, a new notion akin to the recently proposed circumcenter concept. Discussing the geometric and robustness interpretation of the incenter cost ve...
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作者：Zhao, Feiyang; Gurvich, Itai; Hasenbein, John J.
作者单位：University of Texas System; University of Texas Austin; Northwestern University
摘要：We revisit the global-relative to control policies-stability of multiclass queueing networks. In these, as is known, it is generally insufficient that the nominal utilization at each server is below 100%. Certain policies, although work conserving, may destabilize a network that satisfies the nominal-load conditions; additional conditions on the primitives are needed for global stability (stability under any work-conserving policy). The global-stability region was fully characterized for two-s...
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作者：Chen, Ying; Horst, Ulrich; Tran, Hoang Hai
作者单位：National University of Singapore; Humboldt University of Berlin; National University of Singapore
摘要：We consider an optimal liquidation model in which an investor is required to execute meta-orders during intraday trading periods, and his trading activity triggers child orders and endogenously affects future order flow, both instantaneously and permanently. Under the assumptions of risk neutrality and deterministic constants of the impact parameters, we provide closed-form solutions and illustrate the relationship between trading strategies and feedback effects. The optimal trading strategy i...
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作者：Buke, Burak; dos Reis, Goncalo; Platonov, Vadim
作者单位：University of Edinburgh; Universidade Nova de Lisboa; Universidade de Lisboa
摘要：In most service systems, the servers are humans who desire to experience a certain level of idleness. In call centers, this manifests itself as call-avoidance behavior when servers strategically adjust their service rate to strike a balance between the idleness they receive and effort to work harder. Moreover, being human, each server values this tradeoff differently and has different capabilities. We develop a novel framework, relying on measure-valued processes and mean-field game theory, to...
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作者：Chen, Li; Chou, Mabel; Sun, Qinghe
作者单位：University of Sydney; National University of Singapore; National University of Singapore; National University of Singapore; Hong Kong Polytechnic University
摘要：Process flexibility has been a well-established supply chain strategy in both theory and practice for managing demand uncertainty. This study extends its application to mitigating supply disruptions by analyzing a long chain system. Specifically, we investigate the effectiveness of long chains in the face of random supply disruptions and demand uncertainty. We derive a closed-form, tight bound on the expected sales ratio of a long chain relative to full flexibility under random disruptions, th...
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作者：Abdelhakmi, Anas; Lim, Andrew E. B.
作者单位：National University of Singapore; National University of Singapore; National University of Singapore
摘要：The Black-Litterman model is a framework for incorporating forward-looking expert views in a portfolio optimization problem. Existing work focuses almost exclusively on single-period problems with the forecast horizon matching that of the investor. We consider a generalization where the investor trades dynamically and views can be over horizons that differ from the investor. By exploiting the underlying graphical structure relating the asset prices and views, we derive the conditional distribu...
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作者：Hubner, Thomas; Hug, Gabriela
作者单位：Swiss Federal Institutes of Technology Domain; ETH Zurich
摘要：A key challenge in combinatorial auctions is designing bid formats that accurately capture agents' preferences while remaining computationally feasible. This is especially true for electricity auctions, where complex preferences complicate straightforward solutions. In this context, we examine the XOR package bid, the default choice in combinatorial auctions and adopted in European day-ahead and intraday auctions under the name exclusive group of block bids. Unlike parametric bid formats often...
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作者：Balseiro, Santiago R.; Ma, Will; Zhang, Wenxin
作者单位：Columbia University
摘要：Motivated by real-world applications, such as rental and cloud computing services, we investigate pricing for reusable resources. We consider a system where a single resource with a fixed number of identical copies serves customers with heterogeneous willingness to pay (WTP), and the usage duration distribution is general. Optimal dynamic policies are computationally intractable when usage durations are not memoryless, so the existing literature has focused on static pricing, which incurs a st...
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作者：Chen, Xi; Lyu, Jiameng; Zhang, Xuan; Zhou, Yuan
作者单位：New York University; Fudan University; University of Illinois System; University of Illinois Urbana-Champaign; Tsinghua University
摘要：Price discrimination, which refers to the strategy of setting different prices for different customer groups, has been widely used in online retailing. Although it helps boost the collected revenue for online retailers, it might create serious concerns about fairness, which even violates regulations and laws. This paper studies the problem of dynamic discriminatory pricing under a relative price fairness constraint in the pricing literature. We first establish a regret lower bound of ohm(T4=5)...
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作者：Ge, Puyao; Kulkarni, Vidyadhar G.; Swaminathan, Tayashankar M.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
摘要：We consider the problem of allocating a single type of resource with limited supply to distinct groups, each with a finite population and characterized by a unique reward and arrival rate. We develop a stochastic model and formulate the problem as a Markov decision process. We study the structural properties of the optimal value function and derive the optimal allocation policy. Contrary to the conventional approach of incrementally extending access to groups of lower priority over time, our f...
