Operations Research

最新文章

• Knockout-Tournament Procedures for Large-Scale Ranking and Selection in Parallel Computing Environments AI翻译
  作者：Zhong, Ying; Hong, L. Jeff
  作者单位：University of Electronic Science & Technology of China; Fudan University; Fudan University
  摘要：On one hand, large-scale ranking and selection (R&S) problems require a large amount of computation. On the other hand, parallel computing environments that provide a large capacity for computation are becoming prevalent today, and they are accessible by ordinary users. Therefore, solving large-scale R&S problems in parallel computing environments has emerged as an important research topic in recent years. However, directly implementing traditional stagewise procedures and fully sequential pro...
• Nonconvex Low-Rank Tensor Completion from Noisy Data AI翻译
  作者：Cai, Changxiao; Li, Gen; Poor, H. Vincent; Chen, Yuxin
  作者单位：Princeton University; Tsinghua University
  摘要：We study a noisy tensor completion problem of broad practical interest, namely, the reconstruction of a low-rank tensor from highly incomplete and randomly corrupted observations of its entries. Whereas a variety of prior work has been dedicated to this problem, prior algorithms either are computationally too expensive for large-scale applications or come with suboptimal statistical guarantees. Focusing on incoherent and well -conditioned tensors of a constant canonical polyadic rank, we propo...
• A Token-Based Central Queue with Order-Independent Service Rates AI翻译
  作者：Ayesta, Urtzi; Bodas, Tejas; Dorsman, Jan-Pieter L.; Verloop, Ina Maria
  作者单位：Centre National de la Recherche Scientifique (CNRS); Universite de Toulouse; Universite Toulouse III - Paul Sabatier; Universite Federale Toulouse Midi-Pyrenees (ComUE); Institut National Polytechnique de Toulouse; Basque Foundation for Science; Universite Federale Toulouse Midi-Pyrenees (ComUE); Universite de Toulouse; Institut National Polytechnique de Toulouse; Centre National de la Recherche Scientifique (CNRS); CNRS - Institute of Physics (INP); University of Basque Country; Indian Institute of Technology System (IIT System); Indian Institute of Technology (IIT) - Dharwad; University of Amsterdam
  摘要：We study a token-based central queue with multiple customer types. Customers of each type arrive according to a Poisson process and have an associated set of compatible tokens. Customers may only receive service when they have claimed a compatible token. If, upon arrival, more than one compatible token is available, then an assignment rule determines which token will be claimed. The service rate obtained by a customer is state-dependent, that is, it depends on the set of claimed tokens and on ...
• Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping AI翻译
  作者：Pichler, Alois; Liu, Rui Peng; Shapiro, Alexander
  作者单位：Technische Universitat Chemnitz; University System of Georgia; Georgia Institute of Technology
  摘要：This paper addresses time consistency of risk-averse optimal stopping in stochastic optimization. It is demonstrated that time-consistent optimal stopping entails a specific structure of the functionals describing the transition between consecutive stages. The stopping risk measures capture this structural behavior and allow natural dynamic equations for risk-averse decision making over time. Consequently, associated optimal policies satisfy Bellman's principle of optimality, which characteriz...
• Spatial Capacity Planning AI翻译
  作者：Besbes, Omar; Castro, Francisco; Lobel, Ilan
  作者单位：Columbia University; University of California System; University of California Los Angeles; New York University
  摘要：We study the relationship between capacity and performance for a service firm with spatial operations, in the sense that requests arrive with origin-destination pairs. An example of such a system is a ride-hailing platform in which each customer arrives in the system with the need to travel from an origin to a destination. We propose a parsimonious representation of a spatial multiserver system through a state-dependent queueing model that captures spatial frictions as well as spatial economie...
• Technical Note-Two-Stage Sample Robust Optimization AI翻译
  作者：Bertsimas, Dimitris; Shtern, Shimrit; Sturt, Bradley
  作者单位：Massachusetts Institute of Technology (MIT); Technion Israel Institute of Technology; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
  摘要：We investigate a simple approximation scheme, based on overlapping linear decision rules, for solving data-driven two-stage distributionally robust optimization problems with the type-infinity Wasserstein ambiguity set. Our main result establishes that this approximation scheme is asymptotically optimal for two-stage stochastic linear optimization problems; that is, under mild assumptions, the optimal cost and optimal first-stage decisions obtained by approximating the robust optimization prob...
• Learning to Approximate Industrial Problems by Operations Research Classic Problems AI翻译
  作者：Parmentier, Axel
  作者单位：Institut Polytechnique de Paris; Ecole des Ponts ParisTech
  摘要：Practitioners of operations research often consider difficult variants of well-known optimization problems and struggle to find a good algorithm for their variants although decades of research have produced highly efficient algorithms for the well-known problems. We introduce a machine learning for operations research paradigm to build efficient heuristics for such variants: use a machine learning predictor to turn an instance of the variant into an instance of the well-known problem, then sol...
• Time-Varying Risk Aversion and Dynamic Portfolio Allocation AI翻译
  作者：Li, Haitao; Wu, Chongfeng; Zhou, Chunyang
  作者单位：Shanghai Jiao Tong University
  摘要：We study the implications of time-varying risk aversion for dynamic portfolio allocation under the framework of regime-switching models. In our model, both asset returns and investor risk aversion are regime dependent: In a bull regime, asset return is high, volatility is low, and risk aversion is low, and the opposite happens in a bear regime. We develop an efficient dynamic programming algorithm that overcomes the challenges imposed by regime-dependent preference in obtaining time-consistent...
• Mechanism Design for Correlated Valuations: Efficient Methods for Revenue Maximization AI翻译
  作者：Albert, Michael; Conitzer, Vincent; Lopomo, Giuseppe; Stone, Peter
  作者单位：University of Virginia; Duke University; Duke University; University of Texas System; University of Texas Austin
  摘要：Traditionally, the mechanism design literature has been primarily focused on settings where the bidders' valuations are independent. However, in settings where valuations are correlated, much stronger results are possible. For example, the entire surplus of efficient allocations can be extracted as revenue. These stronger results are true, in theory, under generic conditions on parameter values. However, in practice, they are rarely, if ever, implementable because of the stringent requirement ...
• A Polynomial-Time Approximation Scheme for Sequential Batch Testing of Series Systems AI翻译
  作者：Segev, Danny; Shaposhnik, Yaron
  作者单位：Tel Aviv University; University of Rochester
  摘要：We study a recently introduced generalization of the classic sequential testing problem for series systems, consisting of multiple stochastic components. The conventional assumption in such settings is that the overall system state can be expressed as an AND function, defined with respect to the states of individual components. However, unlike the classic setting, rather than testing components separately, one after the other, we allow aggregating multiple tests to be conducted simultaneously,...