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作者：Ajayi, Temitayo; Thomas, Christopher; Schaefer, Andrew J.
作者单位：Rice University
摘要：For an integer programming model with fixed data, the linear programming relaxation gap is considered one of the most important measures of model quality. There is no consensus, however, on appropriate measures of model quality that account for data variation. In particular, when the right-hand side is not known exactly, one must assess a model based on its behavior over many right-hand sides. Gap functions are the linear programming relaxation gaps parametrized by the right-hand side. Despite...
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作者：Furini, Fabio; Ljubic, Ivana; Malaguti, Enrico; Paronuzzi, Paolo
作者单位：Consiglio Nazionale delle Ricerche (CNR); Istituto di Analisi dei Sistemi ed Informatica Antonio Ruberti (IASI-CNR); ESSEC Business School; University of Bologna
摘要：Given an undirected graph, we study the capacitated vertex separator problem that asks to find a subset of vertices of minimum cardinality, the removal of which induces a graph having a bounded number of pairwise disconnected shores (subsets of vertices) of limited cardinality. The problem is of great importance in the analysis and protection of communication or social networks against possible viral attacks and for matrix decomposition algorithms. In this article, we provide a new bilevel int...
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作者：Lassance, Nathan; DeMiguel, Victor; Vrins, Frederic
作者单位：University of London; London Business School
摘要：A natural approach to enhance portfolio diversification is to rely on factor-risk parity, which yields the portfolio whose risk is equally spread among a set of uncorrelated factors. The standard choice is to take the variance as risk measure, and the principal components (PCs) of asset returns as factors. Although PCs are unique and useful for dimension reduction, they are an arbitrary choice: any rotation of the PCs results in uncorrelated factors. This is problematic becausewe demonstrate t...
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作者：Wang, Jue
作者单位：Queens University - Canada
摘要：Sequential multiclass diagnosis, also known as multihypothesis testing, is a classical sequential decision problem with broad applications. However, the optimal solution remains, in general, unknown as the dynamic program suffers from the curse of dimensionality in the posterior belief space. We consider a class of practical problems in which the observation distributions associated with different classes are related through exponential tilting and show that the reachable beliefs could be rest...
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作者：Nov, Yuval; Weiss, Gideon; Zhang, Hanqin
作者单位：University of Haifa; National University of Singapore
摘要：We study deterministic fluid approximation models of parallel service systems with a fixed set of servers, operating under first come first served (FCFS) policy, when the service time distributions may depend on both the server and the customer type. We explore the relations between fluid models and the properties of stability, resource pooling, and matching rates. We find that stability and resource pooling are determined by the unique fluid model in two cases: when service rates are of produ...
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作者：Guiotto, Paolo; Roncoroni, Andrea
作者单位：University of Padua; ESSEC Business School
摘要：We develop a normative framework for the optimal design, value assessment, and risk management integration of combined custom contingent claims. A risk-averse firm faces a mix of financially insurable and noninsurable risk. The firm seeks optimal positioning in a pair of custom claims, one written on the insurable term and another written on any listed index correlated to the noninsurable term. We prove that a unique optimum always exists unless the index is redundant and show that the optimal...
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作者：Moyal, Pascal; Perry, Ohad
作者单位：Universite de Lorraine; Northwestern University
摘要：The fundamental problem in the study of parallel-server systems is that of finding and analyzing routing policies of arriving jobs to the servers that efficiently balance the load on the servers. The most well-studied policies are (in decreasing order of efficiency) join the shortest workload (JSW), which assigns arrivals to the server with the least workload; join the shortest queue (JSQ), which assigns arrivals to the smallest queue; the power-of-d (PW(d)), which assigns arrivals to the shor...
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作者：V. Podinovski, Victor
作者单位：Loughborough University
摘要：We consider nonparametric production technologies characterized by several component production processes and allow both component-specific and shared inputs and outputs. Each process uses its specific inputs and an unknown part of the shared inputs to produce its specific outputs and an unknown part of the shared outputs. For the described setting, we develop two new models of production technologies, under the assumptions of variable and constant returns to scale (VRS and CRS). These models ...
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作者：Nguyen, Viet Anh; Kuhn, Daniel; Esfahani, Peyman Mohajerin
作者单位：Stanford University; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Delft University of Technology
摘要：We introduce a distributionally robust maximum likelihood estimation model with a Wasserstein ambiguity set to infer the inverse covariance matrix of a p-dimensional Gaussian random vector from n independent samples. The proposed model minimizes the worst case (maximum) of Stein's loss across all normal reference distributions within a prescribed Wasserstein distance from the normal distribution characterized by the sample mean and the sample covariance matrix. We prove that this estimation pr...
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作者：Song, Jing-Sheng; Xiao, Li; Zhang, Hanqin; Zipkin, Paul
作者单位：Duke University; Tsinghua University; Tsinghua Shenzhen International Graduate School; National University of Singapore
摘要：We study an inventory system with multiple supply sources and expediting options. The replenishment lead times from each supply source are stochastic, representing congestion and disruption. We construct a family of smart ordering and expediting policies that utilize real-time supply information. Such dynamic policies are generally difficult to evaluate, because the corresponding supply system is a tandem queue with state-dependent arrivals and routing, whose queue-length steady-state distribu...
