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作者：Kleinert, Thomas; Labbe, Martine; Plein, Fraenk; Schmidt, Martin
作者单位：University of Erlangen Nuremberg; Universite Libre de Bruxelles; Universitat Trier
摘要：One of the most frequently used approaches to solve linear bilevel optimization problems consists in replacing the lower-level problem with its Karush-Kuhn-Tucker (KKT) conditions and by reformulating the KKT complementarity conditions using techniques from mixed-integer linear optimization. The latter step requires to determine some big-M constant in order to bound the lower level's dual feasible set such that no bilevel-optimal solution is cut off. In practice, heuristics are often used to f...
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作者：Manshadi, Vahideh; Misra, Sidhant; Rodilitz, Scott
作者单位：Yale University; United States Department of Energy (DOE); Los Alamos National Laboratory
摘要：Motivated by viral marketing on social networks, we study the diffusion process of a new product on a network where each agent is connected to a random subset of others. The number of contacts (i.e., degree) varies across agents, and the firm knows the degree of each agent. Further, the firm can seed a fraction of the population and incurs a fixed cost per contact. Under any bounded degree distribution and for any target adoption proportion, we compute both the cost and the time it takes to re...
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作者：Lei, Jinlong; Shanbhag, Uday, V
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：The distributed computation of equilibria and optima has seen growing interest in a broad collection of networked problems. We consider the computation of Nash equilibria of convex stochastic noncooperative games characterized by a possibly non-convex potential function. Since any stationary point of the potential function is a Nash equilibrium, there is an equivalence between asynchronous best-response (BR) schemes applied on a noncooperative game and block-coordinate descent (BCD) schemes im...
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作者：Nadarajah, Selvaprabu; Cire, Andre A.
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; University of Toronto; University Toronto Scarborough; University of Toronto
摘要：We present relaxations for discrete optimization problems using approximate linear programs (ALPs) defined on multiple networks that represent different state-space aggregations. Our network ALP leverages information across these networks using a piecewise-constant value function approximation, and its optimistic bound is theoretically guaranteed to weakly improve upon the bounds from the individual networks used in its construction. Solving network ALPs is challenging because of its large num...
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作者：Ma, Will; Simchi-Levi, David
作者单位：Columbia University; Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：Motivated by the dynamic assortment offerings and item pricings occurring in e-commerce, we study a general problem of allocating finite inventories to heterogeneous customers arriving sequentially. We analyze this problem under the framework of competitive analysis, where the sequence of customers is unknown and does not necessarily follow any pattern. Previous work in this area, studying online matching, advertising, and assortment problems, has focused on the case where each item can only b...
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作者：Xu, Yuqian; Zhu, Lingjiong; Pinedo, Michael
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; State University System of Florida; Florida State University; New York University
摘要：In this paper, we propose a general modeling framework for operational risk management of financial firms. We consider operational risk events as shocks to a financial firm's value process and then study capital investments under preventive and corrective controls to mitigate risk losses. The optimal decisions are made in three scenarios: (i) preventive control only, (ii) corrective control only, and (iii) joint controls. We characterize the optimal control policies within a general modeling f...
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作者：Anstreicher, Kurt M.
作者单位：University of Iowa
摘要：We consider a new approach for the maximum-entropy sampling problem (MESP) that is based on bounds obtained by maximizing a function of the form ldet M(x) over linear constraints, where M(x) is linear in the n-vector x. These bounds can be computed very efficiently and are superior to all previously known bounds for MESP on most benchmark test problems. A branch-and-bound algorithm using the new bounds solves challenging instances of MESP to optimality for the first time.
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作者：Briec, Walter; Cavaignac, Laurent; Kerstens, Kristiaan
作者单位：Universite Perpignan Via Domitia; Universite Perpignan Via Domitia; Universite de Lille; IESEG School of Management; Centre National de la Recherche Scientifique (CNRS); CNRS - Institute for Humanities & Social Sciences (INSHS)
摘要：This contribution defines a new generalized input efficiency measure which encompasses and thus links four well-known input efficiency measures: the Debreu-Farrell measure, the Fare-Lovell measure, the asymmetric Fare measure, and the multiplicative Fare-Lovell measure. The axiomatic properties of this new measure are studied. The generalized input efficiency measure naturally leads to the definition of new measures as special cases. It also provides a general framework for testing the choice ...
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作者：Walteros, Jose L.; Buchanan, Austin
作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY; Oklahoma State University System; Oklahoma State University - Stillwater
摘要：To this day, the maximum clique problem remains a computationally challenging problem. Indeed, despite researchers' best efforts, there exist unsolved benchmark instances with 1,000 vertices. However, relatively simple algorithms solve real-life instances with millions of vertices in a few seconds. Why is this the case? Why is the problem apparently so easy in many naturally occurring networks? In this paper, we provide an explanation. First, we observe that the graph's clique number. is very ...
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作者：Peng, Yijie; Fu, Michael C.; Heidergott, Bernd; Lam, Henry
作者单位：Peking University; University System of Maryland; University of Maryland College Park; University System of Maryland; University of Maryland College Park; Vrije Universiteit Amsterdam; Columbia University
摘要：We propose a gradient-based simulated maximum likelihood estimation to estimate unknown parameters in a stochastic model without assuming that the likelihood function of the observations is available in closed form. A key element is to develop Monte Carlo-based estimators for the density and its derivatives for the output process, using only knowledge about the dynamics of the model. We present the theory of these estimators and demonstrate how our approach can handle various types of model st...
