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作者：Mueller, Alfred; Scarsini, Marco; Tsetlin, Ilia; Winkler, Robert L.
作者单位：Universitat Siegen; Luiss Guido Carli University; INSEAD Business School; Duke University
摘要：Consider a choice between two random variables, for which only means and variances are known. Is it possible to rank them by putting some constraints on risk preferences? We provide such a ranking by bounding how much marginal utility can change. Such bounds enable us to rank all distributions with given means and variances by first-order almost-stochastic dominance. We show how our results can be used to compare a risky project and a sure payoff and also provide a new connection between the S...
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作者：Shi, Pengyi; Helm, Jonathan E.; Deglise-Hawkinson, Jivan; Pan, Julian
作者单位：Purdue University System; Purdue University; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：When to discharge a patient plays an important role in hospital patient flow management and the quality of care and patient outcomes. In this work, we develop and implement a data-integrated decision support framework to aid hospitals in managing the delicate balance between readmission risk at discharge and ward congestion. We formulate a large-scale Markov decision process (MDP) that integrates a personalized readmission prediction model to dynamically prescribe both how many and which patie...
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作者：Deo, Anand; Juneja, Sandeep
作者单位：Tata Institute of Fundamental Research (TIFR)
摘要：We consider discrete default intensity-based and logit-type reduced-form models for conditional default probabilities for corporate loans where we develop simple closed-form approximations to the maximum likelihood estimator (MLE) when the underlying covariates follow a stationary Gaussian process. In a practical asymptotic regime where the default probabilities are small, say less than 3% annually, and the number of firms and the time period of data available are reasonably large, we rigorous...
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作者：Broek, Michiel A. J. Uit Het; Schrotenboer, Albert H.; Jargalsaikhan, Bolor; Roodbergen, Kees Jan; Coelho, Leandro C.
作者单位：University of Groningen; Laval University; Laval University
摘要：We present a generic branch-and-cut framework for solving routing problems with multiple depots and asymmetric cost structures, which determines a set of cost-minimizing (capacitated) vehicle tours that fulfill a set of customer demands. The backbone of the framework is a series of valid inequalities with corresponding separation algorithms that exploit the asymmetric cost structure in directed graphs. We derive three new classes of so-called D-k inequalities that eliminate subtours, enforce t...
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作者：Wu, Zijun; Moehring, Rolf H.; Chen, Yanyan; Xu, Dachuan
作者单位：Hefei University; Technical University of Berlin; Beijing University of Technology; Beijing University of Technology
摘要：We investigate the price of anarchy (PoA) in nonatomic congestion games when the total demand T gets very large. First results in this direction have recently been obtained by Colini-Baldeschi et al. (2016, 2017, 2020) for routing games and show that the PoA converges to one when the growth of the total demand T satisfies certain regularity conditions. We extend their results by developing a new framework for the limit analysis of the PoA that offers strong techniques such as the limit of game...
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作者：Rostami, Borzou; Desaulniers, Guy; Errico, Fausto; Lodi, Andrea
作者单位：Wilfrid Laurier University; Universite de Montreal; Polytechnique Montreal; Universite de Montreal; Polytechnique Montreal; Universite de Montreal; University of Quebec; Ecole de Technologie Superieure - Canada; Universite de Montreal
摘要：In this paper, we consider a version of the capacitated vehicle routing problem (CVRP) where travel times are assumed to be uncertain and statistically correlated (CVRP-SCT). In particular, we suppose that travel times follow a multivariate probability distribution whose first and second moments are known. The main purpose of the CVRP-CST is to plan vehicle routes whose travel times are reliable, in the sense that observed travel times are not excessively dispersed with respect to their expect...
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作者：Dworczak, Piotr
作者单位：Northwestern University
摘要：I introduce a class of algorithms called deferred acceptance with compensation chains (DACC). DACC algorithms generalize the Gale-Shapley algorithm by allowing both sides of the market to make offers. The main result is a characterization of the set of stable matchings: a matching is stable if and only if it is the outcome of a DACC algorithm. The proof of convergence of DACC algorithms uses a novel technique based on a construction of a potential function.
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作者：Zhang, Yu; Zhang, Zhenzhen; Lim, Andrew; Sim, Melvyn
作者单位：Southwestern University of Finance & Economics - China; Tongji University; National University of Singapore; National University of Singapore
摘要：Optimal routing solutions based on deterministic models usually fail to deliver promised on-time services in an uncertain real world, which can lead to the loss of customers and revenue. We study a vehicle routing problem with time windows (VRPTW) toward the end of mitigating the risk of late customer arrivals as much as possible when travel times are based on empirical distributions. To prevent overfitting, we propose a distributionally robust optimization model that uses a Wasserstein distan...
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作者：Baggio, Andrea; Carvalho, Margarida; Lodi, Andrea; Tramontani, Andrea
作者单位：Universite de Montreal; Universite de Montreal; Universite de Montreal; Polytechnique Montreal
摘要：In recent years, a lot of effort has been dedicated to develop strategies to defend networks against possible cascade failures or malicious viral attacks. On the one hand, network safety is investigated from a preventive perspective. On the other hand, blocking models have been proposed for scenarios in which the attack has already taken place causing a harmful spreading throughout the network. In this work, we combine these two perspectives. More precisely, following the framework defender-at...
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作者：Kanoria, Yash; Nazerzadeh, Hamid
作者单位：Columbia University; University of Southern California
摘要：Large fractions of online advertisements are sold via repeated second-price auctions. In these auctions, the reserve price is the main tool for the auctioneer to boost revenues. In this work, we investigate the following question: how can the auctioneer optimize reserve prices by learning from the previous bids while accounting for the long-term incentives and strategic behavior of the bidders? To this end, we consider a seller who repeatedly sells ex ante identical items via a second-price au...
