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作者：Li, Zhouzi; Gurushankar, Keerthana; Harchol-Balter, Mor; Scheller-Wolf, Alan
作者单位：Carnegie Mellon University; Carnegie Mellon University
摘要：Scheduling a stream of jobs whose holding cost changes over time is a classic and practical problem. Specifically, each job is associated with a holding cost (penalty), and a job's instantaneous holding cost is some nondecreasing function of its class and current age (the time it has spent in the system since its arrival). The goal is to schedule the jobs to minimize the time-average total holding cost across all jobs. The seminal paper on this problem, by Van Mieghem in 1995, introduced the g...
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作者：Cheung, Wang Chi; Lyu, Guodong
作者单位：National University of Singapore; Hong Kong University of Science & Technology
摘要：A central issue in (finite horizon) online planning problems is to synthesize the impact of real-time decisions on the subsequent states of the system and the performance in the remaining time horizon (cost-to-go function). A complete resolution often leads to intractable dynamic programming problems. We propose a computationally efficient approach to this problem that attains near-optimal performance in nonstationary environments. More specifically, we study a general class of online planning...
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作者：Guo, Siqi; Xiao, Fan; Liang, Zhe
作者单位：Tongji University; Shanghai University
摘要：It is widely acknowledged that deep dual-optimal inequalities (DDOIs) can stabilize the dual of a linear programming problem and accelerate its convergence. However, we find that adding DDOIs is not free but always comes with a price; that is, it increases the number of primal degenerate bases, and extra effort might be needed to achieve dual feasibility and prove its optimality. As a result, when addressing a linear programming problem, it is critical to stabilize the dual on the one hand, re...
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作者：Sun, Qiuzhuang; Hu, Tiawen; Ye, Zhi-Sheng
作者单位：University of Sydney; University of Electronic Science & Technology of China; National University of Singapore
摘要：Although most on-demand mission-critical systems are engineered to be reliable to support critical tasks, occasional failures may still occur during missions. To increase system survivability, a common practice is to abort the mission before an imminent failure. We consider optimal mission abort for a system whose deterioration follows a general three-state (normal, defective, failed) semi-Markov chain. The failure is assumed selfrevealed, whereas the healthy and defective states have to be in...
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作者：Abbou, Abderrahmane; Makis, Viliam
作者单位：Mohammed VI Polytechnic University; University of Toronto
摘要：This paper develops the Bayesian analogue to the Shewhart type control chart previously developed for systems monitored by online sensors. Unlike previous work, we allow production sampling to be part of the decision process, so that a decision to take a sample is first made when a sensor generates a warning signal, followed immediately by another decision to interrupt operation. We apply optimal stopping theory along with dynamic programming analysis to prove the average cost optimality of a ...
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作者：Goyal, Vineet; Iyengar, Garud; Udwani, Rajan
作者单位：Columbia University; University of California System; University of California Berkeley
摘要：We consider the problem of online allocation (matching, budgeted allocations, and assortments) of reusable resources for which an adversarial sequence of resource requests is revealed over time and any allocated resource is used/rented for a stochastic duration drawn independently from a resource-dependent usage distribution. Previously, it was known that a greedy algorithm is 0.5-competitive against the clairvoyant benchmark that knows the entire sequence of requests in advance. We give a nov...
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作者：Shen, Yiwen; Li, Chenxu; Scaillet, Olivier; Jiang, Yueting
作者单位：Hong Kong University of Science & Technology; Peking University; University of Geneva; University of Geneva; Chinese University of Hong Kong; University of Hong Kong
摘要：This paper develops a novel decomposition of optimal dynamic portfolio choice under flexible incomplete-market models and the wealth-dependent hyperbolic absolute risk aversion (HARA) utility. The decomposition reveals the fundamental impacts of market incompleteness and wealth effect in portfolio allocation. With hedgeable interest rate risk, we show that the optimal portfolio under HARA utility can be decomposed into a pure constant relative risk aversion optimal portfolio and a financing bo...
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作者：Liu, Hong; Qian, Shuaijie; Xu, Jing
作者单位：Washington University (WUSTL); Hong Kong University of Science & Technology; Renmin University of China
摘要：The effective transaction cost rate (TCR) incurred by a large trade often depends on the execution speed. We propose a continuous-time workhorse model to study optimal trading strategies with speed-dependent TCRs. The TCR function is flexible enough for approximating general TCR functions of trading speeds. Applying our framework to order execution problems, we theoretically characterize the structure of the optimal trading strategy and numerically analyze it extensively after calibration. Whe...
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作者：Federgruen, Awi; Feng, Qi; Shanthikumar, George
作者单位：Columbia University; Purdue University System; Purdue University
摘要：With extended supply chains and increased global sourcing, the uncertainty in supply streams has become a major consideration in formulating procurement strategies. Many studies in the existing literature characterize the optimal procurement policies under specific assumptions of the supply and demand distributions. In several special cases, a threshold policy or an almost threshold policy is shown to be optimal. A recent study by Feng and Shathikumar [Feng Q, Shanthikumar JG (2018) Supply and...
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作者：Guo, Wenshuo; Haghtalab, Nika; Kandasamy, Kirthevasan; Vitercik, Ellen
作者单位：University of California System; University of California Berkeley; University of Wisconsin System; University of Wisconsin Madison; Stanford University
摘要：In online marketplaces, buyers often use reviews from other customers that share their type-such as height for clothing and skin type for skincare products-to estimate their values. Customers with few relevant reviews may hesitate to purchase except at a low price, so for the seller, there is a tension between setting high prices and ensuring there are enough reviews so buyers can confidently estimate their values. Simultaneously, sellers may use reviews to gauge the demand for items they wish...
