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作者：Strub, Moris S.; Li, Duan
作者单位：Southern University of Science & Technology; City University of Hong Kong
摘要：The current literature on behavioral portfolio optimization with reference point updating assumes that the decision maker foresees how the reference point will evolve and thus solves a time-consistent problem formulation. Empirical findings, however, suggest that decision makers often fail to foresee the updating of the reference point and consequently make time-inconsistent decisions. We analyze and compare the optimal investment strategies for a discrete time behavioral portfolio optimizatio...
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作者：Bienkowski, Marcin; Bohm, Martin; Byrka, Jaroslaw; Chrobak, Marek; Durr, Christoph; Folwarczn, Lukas; Jez, Lukasz; Sgall, Jiri; Nguyen Kim Thang; Vesely, Pavel
作者单位：University of Wroclaw; University of Bremen; Charles University Prague; University of California System; University of California Riverside; Sorbonne Universite; Centre National de la Recherche Scientifique (CNRS); Czech Academy of Sciences; Institute of Mathematics of the Czech Academy of Sciences; Universite Paris Cite; Universite Paris Saclay; University of Warwick
摘要：In the multilevel aggregation problem (MLAP), requests arrive at the nodes of an edge-weighted tree J and have to be served eventually. A service is defined as a subtree X of J that contains the root of J. This subtree X serves all requests that are pending in the nodes of X, and the cost of this service is equal to the total weight of X. Each request also incurs waiting cost between its arrival and service times. The objective is to minimize the total waiting cost of all requests plus the tot...
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作者：Lu, Xuefei; Rudi, Alessandro; Borgonovo, Emanuele; Rosasco, Lorenzo
作者单位：Bocconi University; Universite PSL; Ecole Normale Superieure (ENS); Inria; University of Genoa; Massachusetts Institute of Technology (MIT); Istituto Italiano di Tecnologia - IIT
摘要：Kriging is one of the most widely used emulation methods in simulation. However, memory and time requirements potentially hinder its application to data sets generated by high-dimensional simulators. We borrow from the machine learning literature to propose a new algorithmic implementation of kriging that, while preserving prediction accuracy, notably reduces time and memory requirements. The theoretical and computational foundations of the algorithm are provided. The work then reports results...
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作者：Bastani, Hamsa; Bayati, Mohsen
作者单位：University of Pennsylvania; Stanford University
摘要：Big data have enabled decision makers to tailor decisions at the individual level in a variety of domains, such as personalized medicine and online advertising. Doing so involves learning a model of decision rewards conditional on individual-specific covariates. In many practical settings, these covariates are high dimensional; however, typically only a small subset of the observed features are predictive of a decision's success. We formulate this problem as a K-armed contextual bandit with hi...
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作者：Chen, Ye; Ryzhov, Ilya O.
作者单位：Virginia Commonwealth University; University System of Maryland; University of Maryland College Park; University System of Maryland; University of Maryland College Park
摘要：Approximate Bayesian inference is a powerful methodology for constructing computationally efficient statistical mechanisms for sequential learning from incomplete or censored information. Approximate Bayesian learning models have proven successful in a variety of operations research and business problems; however, prior work in this area has been primarily computational, and the consistency of approximate Bayesian estimators has been a largely open problem. We develop a new consistency theory ...
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作者：Dong, Jing; Perry, Ohad
作者单位：Columbia University; Northwestern University
摘要：Hospital-related queues have unique features that are not captured by standard queueing assumptions, necessitating the development of specialized models. In this paper, we propose a queueing model that takes into account the most salient features of queues associated with patient-flow dynamics in inpatient wards, including the need for a physician's approval to discharge patients and subsequent discharge delays. In this setting, fundamental quantities, such as the (effective) mean hospitalizat...
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作者：Alizamir, Saed; de Vericourt, Francis; Sun, Peng
作者单位：Yale University; European School of Management & Technology; Duke University
摘要：Arrow et al. [Arrow K, Blackwell D, Girshick M (1949) Bayes and minimax solutions of sequential decision problems. Econometrica 17(3/4):213-244.] introduced the first sequential search problem where at each stage the options available are to stop and take a definite action or to continue sampling for more information. We study how time pressure in the form of task accumulation may affect this decision problem. To that end, we consider a search problem where the decisionmaker (DM) faces a strea...
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作者：Thanh Nguyen; Vohra, Rakesh
作者单位：Purdue University System; Purdue University; University of Pennsylvania
摘要：The problem of finding stable matches that meet distributional concerns is usually formulated by imposing side constraints whose right-hand sides are absolute numbers specified before the preferences or number of agents on the proposing side are known. In many cases, it is more natural to express the relevant constraints as proportions. We treat such constraints as soft but provide ex post guarantees on how well the constraints are satisfied while preserving stability. Our technique requires a...
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作者：Adelman, Daniel; Uckun, Canan
作者单位：University of Chicago; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：With the rapid growth in residential smart meters across the United States in recent years, most homes in the United States will soon be capable of moving to time-varying prices for electricity. We develop a methodology for studying the welfare impacts of different pricing strategies on an electricity market when homes deploy smart, price-responsive appliances with forward-looking capabilities. Without assuming any functional form for dynamic prices, we show conditions under which asymptotical...
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作者：Bavafa, Hessam; Leys, Charles M.; Ormeci, Lerzan; Savin, Sergei
作者单位：University of Wisconsin System; University of Wisconsin Madison; University of Wisconsin System; University of Wisconsin Madison; Koc University; University of Pennsylvania
摘要：We consider the problem of allocating daily hospital service capacity among several types of elective surgical procedures in the presence of random numbers of urgent procedures described by arbitrary finite support distributions. Our focus is on the interaction between two major constraining hospital resources: operating room (OR) and recovery bed capacity. In our model, each type of surgical procedure has an associated revenue, stochastic procedure duration, and stochastic length of stay (LOS...
