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作者：Dupret, Jean-Loup; Hainaut, Donatien
作者单位：Swiss Federal Institutes of Technology Domain; ETH Zurich; Universite Catholique Louvain
摘要：This paper introduces the generalized policy iteration physics-informed neural network algorithm, a novel numerical scheme for solving continuous-time stochastic optimal control problems in high dimensions when the optimal control does not admit an explicit solution. The proposed iterative deep learning algorithm leverages physicsinformed neural networks on the Hamilton-Jacobi-Bellman residuals in an actor-critic fashion, which is built from the generalized policy iteration technique. It emplo...
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作者：Shen, Tao; Cui, Yifan
作者单位：Zhejiang University; Zhejiang University
摘要：In data-driven demand learning, understanding customer willingness to pay presents a significant challenge because of the complex interplay between various influencing factors. This paper addresses the multifaceted relationship between key demand drivers (e.g., price) and demand outcomes (e.g., sales) and underscores the difficulties in identifying causal effects under endogeneity. To mitigate confounding bias, we introduce proxy variables into the demand learning process. Inspired by the prox...
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作者：Kaps, Christian; Netessine, Serguei
作者单位：Harvard University; University of Pennsylvania
摘要：In this study, we investigate households' investments in behind-the-meter battery storage alongside rooftop solar and examine the effects of these batteries on consumers, the power market, and environmental emissions. We develop a structural estimation model of residential electricity usage that separates observed demand and consumption preferences and lets us estimate a nonfinancial utility that households may have for using self-generated solar power over grid-procured electricity. We call t...
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作者：Lyu, Bochuan; Hicks, Illya, V; Huchette, Joey
作者单位：Rice University; Alphabet Inc.; Google Incorporated
摘要：We study mixed-integer programming formulations for the piecewise linear lower and upper bounds (in other words, piecewise linear relaxations) of nonlinear functions that can be modeled by a new class of combinatorial disjunctive constraints (CDCs), generalized nD-ordered CDCs. We first introduce a general formulation technique to model piecewise linear lower and upper bounds of univariate nonlinear functions concurrently so that it uses fewer binary variables than modeling bounds separately. ...
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作者：Hey, Natascha; Mastromatteo, Iacopo; Muhle-Karbe, Johannes; Webster, Kevin
作者单位：Institut Polytechnique de Paris; Ecole Polytechnique; Imperial College London
摘要：We study statistical arbitrage problems accounting for the nonlinear and transient price impact of metaorders observed empirically. We show that simple explicit trading rules can be derived even for general nonparametric alpha and liquidity signals and also discuss extensions to several impact decay timescales. These results are illustrated using a proprietary data set of Capital Fund Management metaorders, which allows us to calibrate the levels, concavity, and decay parameters of the price i...
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作者：Enikeeva, Farida; Klopp, Olga
作者单位：Universite de Poitiers; Institut Polytechnique de Paris; ENSAE Paris
摘要：Structural changes occur in dynamic networks quite frequently and their detection is an important question in many situations, such as fraud detection or cybersecurity. Real-life networks are often incompletely observed because of individual nonresponse or network size. In the present paper, we consider the problem of change-point detection at a temporal sequence of partially observed networks. The goal is to test whether there is a change in the network parameters. Our approach is based on th...
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作者：Chen, Youhua (Frank); Feng, Qi; Shanthikumar, J. George; Yang, Yang
作者单位：City University of Hong Kong; Purdue University System; Purdue University; Shanghai University of Finance & Economics
摘要：We study the problem of appointment scheduling for outpatient clinical services, where patient arrivals, appointment cancellations, and attendance are inherently random, leading to high variability in patient flow. Analyzing dynamic scheduling decisions is particularly challenging due to the need to track confirmed appointments within the scheduling window. For planning with a long horizon, we show that a probabilistic allocation policy can be efficiently computed by optimizing a closed-form f...
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作者：Astashkina, Ekaterina; Momot, Ruslan; Salikhov, Marat
作者单位：University of Michigan System; University of Michigan; New Economic School
摘要：Companies often inform their decisions by eliciting votes from teams of internal experts (e.g., employees). However, experts might vote against their true beliefs if pressured by powerful stakeholders whose interests are misaligned with the company's. Experts' desire to protect their beliefs presents a privacy concern, that makes eliciting their information a challenge. This paper explores how such privacy concerns can be addressed by designing appropriate vote elicitation processes. We build ...
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作者：Guo, Sichen; Shi, Cong; Yang, Chaolin; Zacharias, Christos
作者单位：University of Miami; Shanghai University of Finance & Economics; University of Miami
摘要：We study a canonical inventory control problem: a multiproduct, periodicreview, lost-sales inventory system with a warehouse-capacity constraint. We study this well-researched problem under the lens of demand learning from censored data. Unlike the traditional literature, we do not assume that demand distributions are known a priori. Instead, the decision maker only has access to observed sales data, whereas the lost-sales quantity remains unobserved. Existing online learning algorithms bear l...
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作者：Su, Weijie
作者单位：University of Pennsylvania
摘要：Machine learning (ML) and artificial intelligence (AI) conferences including NeurIPS is Neural Information Processing Systems and International Conference on Machine Learning have experienced a significant decline in peer review quality in recent years. To address this growing challenge, we introduce the isotonic mechanism, a computationally efficient approach to enhancing the accuracy of noisy review scores by incorporating authors' private assessments of their submissions. Under this mechani...
