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作者：Epstein, Larry G.; Ji, Shaolin
作者单位：Boston University; Shandong University
摘要：We model learning in a continuous-time Brownian setting where there is prior ambiguity. The associated model of preference values robustness and is time-consistent. It is applied to study optimal learning when the choice between actions can be postponed, at a per-unit-time cost, in order to observe a signal that provides information about an unknown parameter. The corresponding optimal stopping problem is solved in closed form, with a focus on two specific settings: Ellsberg's two-urn thought ...
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作者：Ban, Gah-Yi
作者单位：University of London; London Business School
摘要：We revisit the classical dynamic inventory management problem of Scarf [Scarf H (1959b) The optimality of (s, S) policies in the dynamic inventory problem. Arrow KJ, Karlin S, Suppes P, eds. Mathematical Methods in the Social Science (Stanford University Press, Stanford, CA), 196-202.] from the perspective of a decision maker who has n historical selling seasons of data and must make ordering decisions for the upcoming season. We develop a nonparametric estimation procedure for the (S, s) poli...
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作者：Ata, Baris; Peng, Xiaoshan
作者单位：University of Chicago; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：This paper studies the callback option as an instrument to effectively mitigate congestion due to temporary surges in arrivals to a call center. The call arrival process can be an arbitrary point process, allowing uncertainty and temporary surges in the arrival rate, provided that the system is stable. When a customer arrives, the call center manager examines the system state and decides whether to offer the incoming customer the callback option. When the callback option is offered, the custom...
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作者：Le Thi Khanh Hien; Sim, Melvyn; Xu, Huan
作者单位：University of Mons; National University of Singapore
摘要：We study a network fortification problem on a directed network that channels single-commodity resources to fulfill random demands delivered to a subset of the nodes. For given a realization of demands, the malicious interdictor would disrupt the network in a manner that would maximize the total demand shortfalls subject to the interdictor's constraints. To mitigate the risk of such shortfalls, a network's operator can fortify it by providing additional network capacity and/or protecting the no...
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作者：Bansal, Saurabh; Gutierrez, Genaro J.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of Texas System; University of Texas Austin
摘要：In this paper, we develop a new characterization of multiple-point forecasts provided by experts and use it in an optimization framework to deduce actionable signals, including the mean, standard deviation, or a combination of the two for underlying probability distributions. This framework consists of three steps: (1) calibrate experts' point forecasts using historical data to determine which quantile they provide, on average, when asked for forecasts, (2) quantify the precision in the expert...
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作者：Chen, Shea D.; Lim, Andrew E. B.
作者单位：National University of Singapore; National University of Singapore
摘要：The Black-Litterman model provides a framework for combining the forecasts of a backward-looking equilibrium model with the views of (several) forward-looking experts in a portfolio allocation decision. The classical version uses the capital asset pricing model to specify expected returns, and assumes that expert views are unbiased noisy observations of future returns. It combines the two using Bayes' rule and the portfolio allocation decision is made on the basis of the updated forecast. The ...
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作者：Colini-Baldeschi, Riccardo; Cominetti, Roberto; Mertikopoulos, Panayotis; Scarsini, Marco
作者单位：Facebook Inc; Universidad Adolfo Ibanez; Communaute Universite Grenoble Alpes; Institut National Polytechnique de Grenoble; Universite Grenoble Alpes (UGA); Centre National de la Recherche Scientifique (CNRS); Inria; Luiss Guido Carli University
摘要：This paper examines the behavior of the price of anarchy as a function of the traffic inflow in nonatomic congestion games with multiple origin/destination (O/D) pairs. Empirical studies in real-world networks show that the price of anarchy is close to 1 in both light and heavy traffic, thus raising the following question: can these observations be justified theoretically? We first show that this is not always the case: the price of anarchy may remain a positive distance away from 1 for all va...
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作者：Xiao, Shihong; Chen, Ying-Ju; Tang, Christopher
作者单位：Hong Kong University of Science & Technology; Hong Kong University of Science & Technology; University of California System; University of California Los Angeles
摘要：In developing economies, smallholders apply their own specialized knowledge and exert costly effort to manage their farms. To raise overall productivity, NGOs and governments are advocating various knowledge-sharing and learning platforms for farmers to exchange a variety of farming techniques. Putting altruism aside, we examine the overall economic implications for heterogeneous farmers sharing their private knowledge voluntarily with others under (implicit) competition. By analyzing a multip...
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作者：Wagner, Laura; Martinez-de-Albeniz, Victor
作者单位：Universidade Catolica Portuguesa; University of Navarra; IESE Business School
摘要：Lenient return policies enable consumers to return or exchange products they are unsatisfied with, which boosts sales. Unfortunately, they also increase retailer costs. We develop a search framework where consumers sequentially learn about products' true value and evaluate whether to keep, exchange, or return them. Our formulation results in a tractable attraction demand model that can be used for optimization. We show that when pricing is not a decision, the assortment problem does not have a...
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作者：Ashlagi, Itai; Saberi, Amin; Shameli, Ali
作者单位：Stanford University
摘要：We generalize the serial dictatorship (SD) and probabilistic serial (PS) mechanism for assigning indivisible objects (seats in a school) to agents (students) to accommodate distributional constraints. Such constraints are motivated by equity considerations. Our generalization of SD maintains several of its desirable properties, including strategyproofness, Pareto optimality, and computational tractability, while satisfying the distributional constraints with a small error. Our generalization o...
