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作者：Vegh, Laszlo A.
作者单位：University of London; London School Economics & Political Science
摘要：We consider a nonlinear extension of the generalized network flow model, with the flow leaving an arc being an increasing concave function of the flow entering it, as proposed by Truemper [Truemper K (1978) Optimal flows in nonlinear gain networks. Networks 8(1): 17-36] and by Shigeno [Shigeno M (2006) Maximum network flows with concave gains. Math. Programming 107(3): 439-459]. We give a polynomial time combinatorial algorithm for solving corresponding flow maximization problems, finding an e...
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作者：Bernstein, Andrey; Mannor, Shie; Shimkin, Nahum
作者单位：Technion Israel Institute of Technology
摘要：Blackwell's theory of approachability, introduced in 1956, has since proved a useful tool in the study of a range of repeated multiagent decision problems. Given a repeated matrix game with vector payoffs, a target set S is approachable by a certain player if he can ensure that the average payoff vector converges to that set, for any strategy of the opponent. In this paper we consider the case where a set need not be approachable in general, but may be approached if the opponent played favorab...
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作者：Laeven, Roger J. A.; Stadje, Mitja
作者单位：University of Amsterdam; Tilburg University
摘要：We solve, theoretically and numerically, the problems of optimal portfolio choice and indifference valuation in a general continuous-time setting. The setting features (i) ambiguity and time-consistent ambiguity-averse preferences, (ii) discontinuities in the asset price processes, with a general and possibly infinite activity jump part next to a continuous diffusion part, and (iii) general and possibly nonconvex trading constraints. We characterize our solutions as solutions to backward stoch...
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作者：Cai, Ning; Li, Chenxu; Shi, Chao
作者单位：Hong Kong University of Science & Technology; Peking University
摘要：In this paper we propose a closed-form asymptotic expansion approach to pricing discretely monitored Asian options in general one-dimensional diffusion models. Our expansion is a small-time expansion because the expansion parameter is selected to be the square root of the length of monitoring interval. This expansion method is distinguished from many other pricing-oriented expansion algorithms in the literature because of two appealing features. First, we illustrate that it is possible to expl...
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作者：Eaves, B. Curtis; Veinott, Arthur F., Jr.
作者单位：Stanford University; Stanford University
摘要：This paper considers infinite-horizon finite state-and-action Markov population decision chains (MPDCs) in which the goal is to find a stationary stopping policy with maximum stopping value, that is, with maximum value over all deterministic Markov stopping policies. A policy is stopping if the resulting expected population size in a period diminishes to zero as the period converges to infinity. The paper shows that the following are equivalent: (a) there is a stationary maximum-stopping value...
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作者：Gopalakrishnan, Ragavendran; Marden, Jason R.; Wierman, Adam
作者单位：University of Colorado System; University of Colorado Boulder; California Institute of Technology
摘要：We consider the problem of designing distribution rules to share welfare (cost or revenue) among individually strategic agents. There are many known distribution rules that guarantee the existence of a (pure) Nash equilibrium in this setting, e.g., the Shapley value and its weighted variants; however, a characterization of the space of distribution rules that guarantees the existence of a Nash equilibrium is unknown. Our work provides an exact characterization of this space for a specific clas...
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作者：Atar, Rami; Kaspi, Haya; Shimkin, Nahum
作者单位：Technion Israel Institute of Technology; Technion Israel Institute of Technology
摘要：A multiclass many-server system is considered, in which customers are served according to a nonpreemptive priority policy and may renege while waiting to enter service. The service and reneging time distributions satisfy mild conditions. Building on an approach developed by Kaspi and Ramanan, the law-of-large-numbers many-server asymptotics are characterized as the unique solution to a set of differential equations in a measure space, regarded as fluid model equations. In stationarity, converg...
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作者：Kamiyama, Naoyuki
作者单位：Kyushu University
摘要：In two-sided matching markets, the concept of stability proposed by Gale and Shapley is one of the most important solution concepts. In this paper, we consider a problem related to stability of a matching in a two-sided matching market with indifferences. It is known that stability does not guarantee Pareto efficiency in a two-sided matching market with indifferences. However, Erdil and Ergin proved that there always exists a stable and Pareto efficient matching in a many-to-one matching marke...
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作者：Remerova, Maria; Reed, Josh; Zwart, Bert
作者单位：New York University; Vrije Universiteit Amsterdam; University System of Georgia; Georgia Institute of Technology
摘要：Bandwidth-sharing networks as introduced by Roberts and Massoule [Roberts JW, Massoule L (1998) Bandwidth sharing and admission control for elastic traffic. Proc. ITC Specialist Seminar, Yokohama, Japan], Massoulie and Roberts [Massoulie L, Roberts JW (1999) Bandwidth sharing: Objectives and algorithms. Proc. IEEE Infocom. (Books in Statistics, New York), 1395-1403] model the dynamic interaction among an evolving population of elastic flows competing for several links. With policies based on o...
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作者：Audibert, Jean-Yves; Bubeck, Sebastien; Lugosi, Gabor
作者单位：Centre National de la Recherche Scientifique (CNRS); Universite PSL; Ecole Normale Superieure (ENS); Inria; Princeton University; ICREA; Pompeu Fabra University
摘要：We address online linear optimization problems when the possible actions of the decision maker are represented by binary vectors. The regret of the decision maker is the difference between her realized loss and the minimal loss she would have achieved by picking, in hindsight, the best possible action. Our goal is to understand the magnitude of the best possible (minimax) regret. We study the problem under three different assumptions for the feedback the decision maker receives: full informati...
