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作者：Shah, Virag; Gulikers, Lennart; Massoulie, Laurent; Vojnovic, Milan
作者单位：Uber Technologies, Inc.; University of London; London School Economics & Political Science
摘要：A matching in a two-sided market often incurs an externality: a matched resource may become unavailable to the other side of the market, at least for a while. This is especially an issue in online platforms involving human experts, as the expert resources are often scarce. The efficient utilization of experts in these platforms is made challenging by the fact that the information available about the parties involved is usually limited. To address this challenge, we develop a model of a task-ex...
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作者：Rivera Letelier, Orlando; Espinoza, Daniel; Goycoolea, Marcos; Moreno, Eduardo; Munoz, Gonzalo
作者单位：Universidad Adolfo Ibanez; Alphabet Inc.; Google Incorporated; Universidad Adolfo Ibanez; Universidad Adolfo Ibanez; Universidad de O'Higgins
摘要：Given a discretized representation of an ore body known as a block model, the open pit mining production scheduling problem that we consider consists of defining which blocks to extract, when to extract them, and how or whether to process them, in such a way as to comply with operational constraints and maximize net present value. Although it has been established that this problem can be modeled with mixed-integer programming, the number of blocks used to represent real-world mines (millions) ...
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作者：Chen, Boxiao; Chao, Xiuli; Wang, Yining
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; University of Michigan System; University of Michigan; State University System of Florida; University of Florida
摘要：A firm makes pricing and inventory replenishment decisions for a product over T periods to maximize its expected total profit. Demand is random and price sensitive, and unsatisfied demands are lost and unobservable (censored demand). The firm knows the demand process up to some parameters and needs to learn them through pricing and inventory experimentation. However, because of business constraints, the firm is prevented from making frequent price changes, leading to correlated and dependent s...
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作者：Yu, Yimin; Kong, Xiangyin
作者单位：City University of Hong Kong; Chinese Academy of Sciences; University of Science & Technology of China, CAS
摘要：We consider incentive compensation where the firm has ambiguity on the effort-contingent output distribution: The parameters of the output probability distribution are in an ellipsoidal uncertainty set. The firm evaluates any contract by its worst-case performance over all possible parameters in the uncertainty set. Similarly, the incentive compatible condition for the agent must hold for all possible parameters in the uncertainty set. The firm is financially risk neutral and the agent has lim...
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作者：Gupta, Varun; Radovanovic, Ana
作者单位：University of Chicago; Alphabet Inc.; Google Incorporated
摘要：Bin packing is an algorithmic problem that arises in diverse applications such as remnant inventory systems, shipping logistics, and appointment scheduling. In its simplest variant, a sequence of T items (e.g., orders for raw material, packages for delivery) is revealed one at a time, and each item must be packed on arrival in an available bin (e.g., remnant pieces of raw material in inventory, shipping containers). The sizes of items are independent and identically distributed (i.i.d.) sample...
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作者：Mintz, Yonatan; Aswani, Anil; Kaminsky, Philip; Flowers, Elena; Fukuoka, Yoshimi
作者单位：University System of Georgia; Georgia Institute of Technology; University of California System; University of California Berkeley; University of California System; University of California San Francisco; University of California System; University of California San Francisco
摘要：Many settings involve sequential decision making where a set of actions can be chosen at each time step, each action provides a stochastic reward, and the distribution for the reward provided by each action is initially unknown. However, frequent selection of a specific action may reduce the expected reward for that action, whereas abstaining from choosing an action may cause its expected reward to increase. Such nonstationary phenomena are observed in many real-world settings such as personal...
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作者：Han, Weidong; Powell, Warren B.
作者单位：Princeton University
摘要：We consider an optimal learning problem where we are trying to learn a function that is nonlinear in unknown parameters in an online setting. We formulate the problem as a dynamic program, provide the optimality condition using Bellman's equation, and propose a multiperiod lookahead policy to overcome the nonconcavity in the value of information. We adopt a sampled belief model, which we refer to as a discrete prior. For an infinite-horizon problem with discounted cumulative rewards, we prove ...
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作者：Glynn, Peter W.; Fan, Lin; Fu, Michael C.; Hu, Jian-Qiang; Peng, Yijie
作者单位：Stanford University; University System of Maryland; University of Maryland College Park; University System of Maryland; University of Maryland College Park; Fudan University; Peking University
摘要：We provide a simple proof of the central limit theorem (CLT) for estimated functions at estimated points. Such estimators arise in a number of different simulationbased computational settings. We illustrate the methodology via applications to quantile estimation and related sensitivity analysis, as well as to computation of conditional valueat-risk.
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作者：Ebert, Sebastian
作者单位：Frankfurt School Finance & Management; Tilburg University
摘要：This article gives a comprehensive treatment of preferences regarding time risk-the risk of something happening sooner or later-within the expected discounted utility model. We characterize the signs of the discount function's derivatives of all orders and show how these signs are decisive for time risk preferences. We introduce the notions of prudent and temperate discounting and illustrate their importance for economic behavior. Several applications in which an important event is only a matt...
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作者：Shapiro, Alexander; Xin, Linwei
作者单位：University System of Georgia; Georgia Institute of Technology; University of Chicago
摘要：In this paper, we investigate optimal policies of distributionally robust (risk averse) inventory models. We demonstrate that if the respective risk measures are not strictly monotone, then there may exist infinitely many optimal policies that are not basestock and not time consistent. This is in a sharp contrast with the risk neutral formulation of the inventory model where all optimal policies are time consistent. This also extends previous studies of time inconsistency in the robust setting.
