-
作者：Shapiro, Alexander; Cheng, Yi
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：In this paper, we discuss construction of the dual of a periodical formulation of infinite-horizon linear stochastic programs with a discount factor. The dual problem is used for computing a deterministic upper bound for the optimal value of the considered multistage stochastic program. Numerical experiments demonstrate behavior of that upper bound, especially when the discount factor is close to one.
-
作者：Clausen, Jens Vinther; Lusby, Richard; Ropke, Stefan
作者单位：Technical University of Denmark
摘要：This paper introduces a family of valid inequalities, which we term consistency cuts, to be applied to a Dantzig-Wolfe reformulation (or decomposition) with linking variables. We prove that these cuts ensure an integer solution to the corresponding DantzigWolfe relaxation when certain criteria to the structure of the decomposition are met. We implement the cuts and use them to solve a commonly used test set of 200 instances of the temporal knapsack problem. We assess the performance with and w...
-
作者：Min, Seungki; Maglaras, Costis; Moallemi, Ciamac C.
作者单位：Korea Advanced Institute of Science & Technology (KAIST); Columbia University
摘要：An analysis of intraday volumes for the S&P 500 constituent stocks illustrates that (i) volume surprises (i.e., deviations from forecasted trading volumes) are correlated across stocks and that (ii) this correlation increases during the last few hours of the trading session. These observations can be attributed partly to the prevalence of portfolio trading activity that is implicit in the growth of passive (systematic) investment strategies and partly to the increased trading intensity of such...
-
作者：Lichtendahl, Kenneth C., Jr.; Grushka-Cockayne, Yael; Jose, Victor Richmond; Winkler, Robert L.
作者单位：University of Virginia; Georgetown University; Duke University
摘要：Probability forecasts of binary events are often gathered from multiple models or experts and averaged to provide inputs regarding uncertainty in important decision-making problems. Averages of well-calibrated probabilities are underconfident, and methods have been proposed to make them more extreme. To aggregate probabilities, we introduce a class of ensembles that are generalized additive models. These ensembles are based on Bayesian principles and can help us learn why and when extremizing ...
-
作者：Smith, Zachary J.; Bickel, J. Eric
作者单位：University of Texas System; University of Texas Austin
摘要：This paper establishes a new relationship between proper scoring rules and convex risk measures. Specifically, we demonstrate that the entropy function associated with any weighted scoring rule is equal to the maximum value of an optimization problem where an investor maximizes a concave certainty equivalent (the negation of a convex risk measure). Using this connection, we construct two classes of proper weighted scoring rules with associated entropy functions based on phi-divergences. These ...
-
作者：Capponi, Agostino; Rubtsov, Alexey
作者单位：Columbia University; Toronto Metropolitan University
摘要：We consider an investor who trades off tail risk and expected growth of the investment. We measure tail risk through the portfolio's expected losses conditioned on the occurrence of a systemic event: financial market loss being exactly at, or at least at, its value-at-risk (VaR) level and investor's portfolio losses being above their conditional value-at-risk (CoVaR) level. We decompose the solution to the investment problem in terms of the Markowitz mean-variance portfolio and an adjustment f...
-
作者：Delage, Erick; Guo, Shaoyan; Xu, Huifu
作者单位：Universite de Montreal; HEC Montreal; Universite de Montreal; HEC Montreal; Dalian University of Technology; Chinese University of Hong Kong
摘要：The utility-based shortfall risk (SR) measure effectively captures a decisionmaker's risk attitude on tail losses by an increasing convex loss function. In this paper, we consider a situation where the decision maker's risk attitude toward tail losses is ambiguous and introduce a robust version of SR, which mitigates the risk arising from such ambiguity. Specifically, we use some available partial information or subjective judgement to construct a set of utility-based loss functions and define...
-
作者：Ajayi, Temitayo; Lee, Taewoo; Schaefer, Andrew J.
作者单位：Rice University; University of Texas System; UTMD Anderson Cancer Center; University of Houston System; University of Houston
摘要：In radiation therapy treatment plan optimization, selecting a set of clinical objectives that are tractable and parsimonious yet effective is a challenging task. In clinical practice, this is typically done by trial and error based on the treatment planner's subjective assessment, which often makes the planning process inefficient and inconsistent. We develop the objective selection problem that infers a sparse set of objectives for prostate cancer treatment planning based on historical treatm...
-
作者：Zhang, Qi; Hu, Jiaqiao
作者单位：State University of New York (SUNY) System; Stony Brook University
摘要：We propose a random search method for solving a class of simulation optimization problems with Lipschitz continuity properties. The algorithm samples candidate solutions from a parameterized probability distribution over the solution space and estimates the performance of the sampled points through an asynchronous learning procedure based on the so-called shrinking ball method. A distinctive feature of the algorithm is that it fully retains the previous simulation information and incorporates ...
-
作者：Jaillet, Patrick; Loke, Gar Goei; Sim, Melvyn
作者单位：Massachusetts Institute of Technology (MIT); Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; National University of Singapore
摘要：The workforce planning problem of hiring, dismissing, and promoting has been the perennial difficulty of Human Resource (HR) management. To cope with uncertain attrition, we propose a new approach of finding a course of action that safeguards against violating organizational target-meeting constraints, such as productivity, budget, headcount, dismissal threshold, and managerial span of control. As such, this approach leads to a tractable conic optimization model that minimizes a decision crite...
