Operations Research

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• First-Stage Sampling in Ranking and Selection: Beyond Variance Estimation AI翻译
  作者：Fan, Weiwei; Li, Xuewen; Luo, Jun; Tsai, Shing Chih
  作者单位：Tongji University; Shanghai Jiao Tong University; National Cheng Kung University
  摘要：Ranking-and-selection (R&S) procedures, which seek to select the best system among a finite set of stochastic systems, often conduct a first-stage sampling to estimate the unknown variances of the systems. In this paper, we assume that system samples are normally distributed and demonstrate that the first-stage sample size n0 affects the performance of sequential R&S procedures in the manner beyond variance estimations. Specifically, we prove that the presence of n0 could reduce the achieved p...
• LEGO: Optimal Online Learning Under Sequential Price Competition AI翻译
  作者：Li, Shukai; Shi, Cong; Mehrotra, Sanjay
  作者单位：New York University; NYU Shanghai; University of Miami; Northwestern University
  摘要：We consider price competition among multiple sellers over a selling horizon of T periods. In each period, sellers simultaneously set prices and subsequently observe their own demand realizations, which are unobservable to competitors. The realized demand of each seller depends on the prices of all sellers and follows a private, unknown linear model. We propose a least-squares estimation and then gradient optimization (LEGO) policy, which does not require sellers to share demand information or ...
• Optimal Inventory Allocation for Indifferent Goods Under Dynamic Substitution AI翻译
  作者：Zhou, Ziyan; Wang, Tong; Zhang, Tingwei
  作者单位：Shanghai Jiao Tong University; City University of Hong Kong; The Chinese University of Hong Kong, Shenzhen
  摘要：Stockout-based substitution creates complex stochastic dynamics in inventory systems even in highly symmetric settings. We study a joint assortment and inventory allocation problem in which a firm allocates a fixed total inventory of m units across n perfectly substitutable product types (e.g., colors or designs). Customers are indifferent among available types and arrive sequentially, each purchasing one unit chosen uniformly at random from the nonempty types. The sales process terminates whe...
• Diagnosing Model Performance Under Distribution Shift AI翻译
  作者：Cai, Tiffany (Tianhui); Namkoong, Hongseok; Yadlowsky, Steve
  作者单位：Columbia University; Columbia University; Alphabet Inc.; DeepMind
  摘要：This article may be used only for the purposes of research, teaching, and/or private study. Commercial use or systematic downloading (by robots or other automatic processes) is prohibited without explicit Publisher approval, unless otherwise noted. For more information, contact permissions@informs.org. The Publisher does not warrant or guarantee the article's accuracy, completeness, merchantability, fitness inclusion of an advertisement in this article, neither constitutes nor implies a guaran...
• On the Convergence of Modified Policy Iteration in Risk-Sensitive Exponential Cost Markov Decision Processes AI翻译
  作者：Murthy, Yashaswini; Moharrami, Mehrdad; Srikant, Rayadurgam
  作者单位：California Institute of Technology; University of Iowa; University of Illinois System; University of Illinois Urbana-Champaign
  摘要：Modified policy iteration (MPI) is a dynamic programming algorithm that combines elements of policy iteration and value iteration. The convergence of MPI is wellstudied in the context of discounted and average-cost Markov decision processes (MDPs). In this work, we consider the exponential cost risk-sensitive MDP formulation, which is known to provide some robustness to model parameters. Although policy iteration and value iteration are well-studied in the context of risk-sensitive MDPs, MPI i...
• Package Bids in Combinatorial Electricity Auctions: Selection, Welfare Losses, and Alternatives AI翻译
  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...
• Distributed Speed Scaling in Large-Scale Service Systems AI翻译
  作者：Rutten, Daan; Zubeldia, Martin; Mukherjee, Debankur
  作者单位：University System of Georgia; Georgia Institute of Technology; University of Minnesota System; University of Minnesota Twin Cities
  摘要：We consider a large-scale parallel-server loss system with an unknown arrival rate, where each server is able to adjust its processing speed. The objective is to minimize the system cost, which consists of a power cost to maintain the servers' processing speeds and a quality of service cost depending on the tasks' processing times among others. We draw on ideas from stochastic approximation to design a novel speed-scaling algorithm and prove that the servers' processing speeds converge to the ...
• Coverage-Validity-Aware Algorithmic Recourse AI翻译
  作者：Bui, Ngoc; Nguyen, Duy; Yue, Man-Chung; Nguyen, Viet Anh
  作者单位：Yale University; University of North Carolina; University of North Carolina Chapel Hill; University of Hong Kong; Chinese University of Hong Kong
  摘要：Algorithmic recourse emerges as a prominent technique to promote the explainability, transparency, and ethics of machine learning models. Existing algorithmic recourse approaches often assume an invariant predictive model; however, the predictive model is usually updated on the arrival of new data. Thus, a recourse that is valid respective to the present model may become in valid for the future model. To resolve this issue, we propose a novel framework to generate a model-agnostic recourse tha...
• Capacity Investment Decisions in Equilibrium: A Distributionally Robust Approach AI翻译
  作者：Abada, Ibrahim; Ancel, Julien
  作者单位：Grenoble Ecole Management; Universite Paris Saclay; Universite PSL; Universite Paris-Dauphine; Ecole Nationale des Ponts et Chaussees; Institut Polytechnique de Paris; Ecole Nationale des Ponts et Chaussees
  摘要：In electricity systems, investment in generation capacity is subject to risk. The distribution of uncertain parameters on which investment decisions depend might not be fully observed in historical values. In Europe, this was recently illustrated by the crisis of exceptionally high power prices during the 2021-2023 period, which was subsequently followed by a regime of extremely low and even negative prices. In that vein, although some models of risk aversion modify the distribution of realiza...
• You Can Have Your Cake and Redistrict It Too AI翻译
  作者：Benade, Gerdus; Procaccia, Ariel D.; Tucker-Foltz, Jamie
  作者单位：Boston University; Harvard University; Yale University
  摘要：The design of algorithms for political redistricting generally takes one of two approaches: optimize an objective such as compactness or, drawing on fair division, construct a protocol whose outcomes guarantee partisan fairness. We aim to have the best of both worlds by optimizing an objective subject to a binary fairness constraint. As a fairness constraint, we adopt the geometric target, which requires the number of seats won by each party to be at least the average (rounded down) of its out...