Operations Research

最新文章

• Systemic Portfolio Diversification AI翻译
  作者：Capponi, Agostino; Weber, Marko
  作者单位：Columbia University; National University of Singapore
  摘要：We study the portfolio choice problem of banks, taking into account losses due to fire-sale spillovers. We show that the optimal asset allocation can be recovered as the unique Nash equilibrium of a potential game. Our analysis highlights the key tradeoff between individual diversification and systemic risk. In a stylized model economy featuring two banks and two assets, we show that sacrificing individual diversification to reduce portfolio commonality increases the likelihood of a sale event...
• A Lyapunov Theory for Finite-Sample Guarantees of Markovian Stochastic Approximation AI翻译
  作者：Chen, Zaiwei; Maguluri, Siva T.; Shakkottai, Sanjay; Shanmugam, Karthikeyan
  作者单位：University System of Georgia; Georgia Institute of Technology; University of Texas System; University of Texas Austin
  摘要：This paper develops a unified Lyapunov framework for finite-sample analysis of a Markovian stochastic approximation (SA) algorithm under a contraction operator with respect to an arbitrary norm. The main novelty lies in the construction of a valid Lyapunov function called the generalized Moreau envelope. The smoothness and an approximation property of the generalized Moreau envelope enable us to derive a one-step Lyapunov drift inequality, which is the key to establishing the finite-sample bou...
• Optimal and Differentially Private Data Acquisition: Central and Local Mechanisms AI翻译
  作者：Fallah, Alireza; Makhdoumi, Ali; Malekian, Azarakhsh; Ozdaglar, Asuman
  作者单位：Massachusetts Institute of Technology (MIT); Duke University; University of Toronto
  摘要：We consider a platform's problem of collecting data from privacy sensitive users to estimate an underlying parameter of interest. We formulate this question as a Bayesianoptimal mechanism design problem, in which an individual can share their (verifiable) data in exchange for a monetary reward or services, but at the same time has a (private) heterogeneous privacy cost which we quantify using differential privacy. We consider two popular differential privacy settings for providing privacy guar...
• Provably Good Region Partitioning for On-Time Last-Mile AI翻译
  作者：Carlsson, John Gunnar; Liu, Sheng; Salari, Nooshin; Yu, Han
  作者单位：University of Southern California; University of Toronto; University of Alberta; McMaster University
  摘要：On-time last-mile delivery is expanding rapidly as people expect faster delivery of goods ranging from grocery to medicines. Managing on-time delivery systems is challenging because of the underlying uncertainties and combinatorial nature of the routing decision. In practice, the efficiency of such systems also hinges on the driver's familiarity with the local neighborhood. This paper studies the optimal region partitioning policy to minimize the expected delivery time of customer orders in a ...
• Dynamic Placement in Refugee Resettlement AI翻译
  作者：Ahani, Narges; Golz, Paul; Procaccia, Ariel D.; Teytelboym, Alexander; Trapp, Andrew C.
  作者单位：Bank of America Corporation; Harvard University; University of Oxford; Worcester Polytechnic Institute; Worcester Polytechnic Institute
  摘要：Employment outcomes of resettled refugees depend strongly on where they are initially placed in the host country. Each week, a resettlement agency is allocated a set of refugees by the U.S. government. The agency must place these refugees in its local affiliates while respecting the affiliates' annual capacities. We develop an allocation system that recommends where to place an incoming refugee family to improve total employment success. Our algorithm is based on two-stage stochastic programmi...
• Proximal Reinforcement Learning: Efficient Off-Policy Evaluation in Partially Observed Markov Decision Processes AI翻译
  作者：Bennett, Andrew; Kallus, Nathan
  作者单位：Cornell University
  摘要：In applications of offline reinforcement learning to observational data, such as in healthcare or education, a general concern is that observed actions might be affected by unobserved factors, inducing confounding and biasing estimates derived under the assumption of a perfect Markov decision process (MDP) model. Here we tackle this by considering off-policy evaluation in a partially observed MDP (POMDP). Specifically, we consider estimating the value of a given target policy in an unknown POM...
• A Sequential Model for High-Volume Recruitment Under Random Yields AI翻译
  作者：Du, Lilun; Li, Qing; Yu, Peiwen
  作者单位：City University of Hong Kong; Hong Kong University of Science & Technology; Chongqing University
  摘要：We model a multiphase and high-volume recruitment process as a large-scale dynamic program. The success of the process is measured by a reward, which is the total assessment score of accepted candidates minus the penalty cost of the number of accepted candidates in the end deviating from a preset hiring target. For a recruiter, two questions are important: How many offers should be made in each phase? And how does the number of phases affect the reward? We consider an upper bound, which is obt...
• Dynamic Development Contests AI翻译
  作者：Khorasani, Sina; Korpeoglu, Ersin; Krishnan, Vish V.
  作者单位：University System of Ohio; University of Dayton; University of London; University College London; University of California System; University of California San Diego
  摘要：Public, private, and not-for-profit organizations find advanced technology and product development projects challenging to manage due to the time and budget pressures, and turn to their development partners and suppliers to address their development needs. We study how dynamic development contests with enriched rank-based incentives and carefully tailored information design can help these organizations leverage their suppliers for their development projects while seeking to minimize project le...
• Efficient Decentralized Multi-agent Learning in Asymmetric Bipartite Queueing Systems AI翻译
  作者：Freund, Daniel; Lykouris, Thodoris; Weng, Wentao
  作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
  摘要：We study decentralized multiagent learning in bipartite queueing systems, a standard model for service systems. In particular, N agents request service from K servers in a fully decentralized way, that is, by running the same algorithm without communication. Previous decentralized algorithms are restricted to symmetric systems, have performance that is degrading exponentially in the number of servers, require communication through shared randomness and unique agent identities, and are computat...
• Optimal Dynamic Control of an Epidemic AI翻译
  作者：Kruse, Thomas; Strack, Philipp
  作者单位：University of Wuppertal; Yale University
  摘要：We analyze how to optimally engage in social distancing in order to minimize the spread of an infectious disease. We identify conditions under which any optimal policy is single peaked (i.e., first engages in increasingly more social distancing and subsequently decreases its intensity). We show that an optimal policy might substantially delay measures that decrease the transmission rate to create herd immunity and that engaging in social distancing suboptimally early can increase the number of...