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作者：Bhandari, Jalaj; Russo, Daniel
作者单位：Columbia University; Columbia University
摘要：Policy gradients methods apply to complex, poorly understood, control problems by performing stochastic gradient descent over a parameterized class of polices. Unfortunately, even for simple control problems solvable by standard dynamic programming techniques, policy gradient algorithms face nonconvex optimization problems and are widely understood to converge only to a stationary point. This work identifies structural properties, shared by several classic control problems, that ensure the pol...
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作者：[Anonymous]
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作者：Chen, Yiwei; Jasin, Stefanus
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; University of Michigan System; University of Michigan
摘要：We consider a canonical revenue management problem wherein a monopolist seller seeks to maximize expected total revenues from selling a fixed inventory of a product to customers who arrive sequentially over time, and the seller is restricted to implement a pricing policy that is monotonic (either nonincreasing or nondecreasing) over time. Gallego and Van Ryzin [Gallego G, Van Ryzin G (1994) Optimal dynamic pricing of inventories with stochastic demand over finite horizons. Management Sci. 40(8...
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作者：Choi, Kyoung Jin; Koo, Hyeng Keun; Lim, Byung Hwa; Yoo, Jane
作者单位：University of Calgary; Ajou University; Pohang University of Science & Technology (POSTECH); Sungkyunkwan University (SKKU)
摘要：We study a continuous-time model of consumption and portfolio selection of an agent with a limited ability to commit to a debt contract in which the credit limit is endogenously determined. We consider the case where the agent borrows against future income and/or collateral assets. We also study the determination of the credit limit in a general equilibrium model. We derive the credit limit in closed form. The credit limit is smaller than the natural limit because of limited commitment and an ...
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作者：Mamaghani, Fariba F.; Cakanyildirim, Metin
作者单位：Tulane University; University of Texas System; University of Texas Dallas
摘要：Distributed solar power generation is growing but not necessarily benefiting the utility firms. Reducing the demand, it hinders the coverage of utility costs with reasonable retail electricity prices. Utilities raise prices, unintentionally reducing both demand and affordability of electricity, and are said to be caught in a utility (death) spiral. The reduced affordability adversely affects consumers who cannot invest in solar generation. Environmentally desirable solar power paradoxically ca...
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作者：Li, Hongmin; Webster, Scott
作者单位：Arizona State University; Arizona State University-Tempe
摘要：This paper is the first in the literature to address a risk-sensitive price competition under the multinomial logit choice model, with each participating firm maximizing a riskadjusted profit objective. We find that, at equilibrium, a subset of firms earns a positive profit, whereas others are driven to zero profit, contrasting with the risk-neutral equilibrium in which all firms earn a positive profit regardless of quality and cost. We identify a power index-the ratio of effective product att...
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作者：Bandi, Chaithanya; Han, Eojin; Proskynitopoulos, Alexej
作者单位：National University of Singapore; Southern Methodist University; Northwestern University
摘要：Observational data from queueing systems are of great practical interest in many application areas because they can be leveraged for better statistical inference of service processes. However, these observations often only provide partial information of the system for various reasons in real-world settings. Moreover, their complex temporal dependence on the queueing dynamics and the absence of distributional information on the model primitives render estimation of queueing systems remarkably c...
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作者：Koulamas, Christos; Kyparisis, George; Pinedo, Michael; Wan, Guohua
作者单位：State University System of Florida; Florida International University; New York University; Shanghai Jiao Tong University
摘要：Leung et al. (2010) [Leung JY-T, Pinedo M, Wan G (2010) Competitive two-agent scheduling and its applications. Oper. Res. 58:458-469] considered a two-agent nonpreemp-tive single-machine scheduling problem. Agent A is responsible for n1 jobs with due dates d1,...,dn and has as the objective the minimization of the total tardiness of the n1 jobs. Agent B is responsible for n2 jobs and has as the objective the minimization of the total completion time of the n2 jobs. The problem is to find a sch...
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作者：Muhle-Karbe, Johannes; Wang, Zexin; Webster, Kevin
作者单位：Imperial College London
摘要：Optimal execution and trading algorithms rely on price impact models, such as the propagator model, to quantify trading costs. Empirically, price impact is concave in trade sizes, leading to nonlinear models for which optimization problems are intractable, and even qualitative properties, such as price manipulation, are poorly understood. However, we show that in the diffusion limit of small and frequent orders, the nonlinear model converges to a tractable linear model. In this high-frequency ...
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作者：Romeijnders, Ward; Van Foreest, Nicky D.; Wijngaard, Jacob
作者单位：University of Groningen
摘要：When Dutch parents divorce, Dutch law dictates that the parental contributions to cover the financial needs of the children have to be proportionally consistent. This rule is clear when parents only have common children. However, cases can be considerably more complicated, for example, when parents have financial responsibilities to children from previous marriages. We show that, mathematically, this settlement problem can be modeled as a bipartite rationing problem for which a unique global p...
