-
作者：Chang, Mou-Hsiung; Pang, Tao; Yang, Yipeng
作者单位：North Carolina State University; University of Missouri System; University of Missouri Columbia
摘要：This paper considers a portfolio management problem of Merton's type in which the risky asset return is related to the return history. The problem is modeled by a stochastic system with delay. The investor's goal is to choose the investment control as well as the consumption control to maximize his total expected, discounted utility. Under certain situations, we derive the explicit solutions in a finite dimensional space.
-
作者：Deng, Xiaotie; Qi, Qi; Saberi, Amin; Zhang, Jie
作者单位：University of Liverpool; Stanford University; City University of Hong Kong
摘要：We study three discrete fixed point concept (SPERNER, DPZP, BROUWER) under two different models: the polynomial-time function model and the oracle function model. We fully characterize the computational complexities of these three problems. The computational complexity unification of the above problems gives us more choices in the study of different applications. As an example, by a reduction from DPZP, we derive asymptotically equal lower and upper bound for TUCKER in the oracle model. The sa...
-
作者：Nie, Jiawang
作者单位：University of California System; University of California San Diego
摘要：Consider a convex set S = {x is an element of D: G(x) >= 0}, where G(x) is a symmetric matrix whose every entry is a polynomial or rational function, D subset of R-n is a domain on which G(x) is defined, and G(x) >= 0 means G(x) is positive semidefinite. The set S is called semidefinite representable if it equals the projection of a higher dimensional set that is defined by a linear matrix inequality (LMI). This paper studies sufficient conditions guaranteeing semidefinite representability of ...
-
作者：Anthony, Barbara; Goyal, Vineet; Gupta, Anupam; Nagarajan, Viswanath
作者单位：Massachusetts Institute of Technology (MIT); Carnegie Mellon University; International Business Machines (IBM); IBM USA
摘要：This paper studies an extension of the k-median problem under uncertain demand. We are given an n-vertex metric space (V, d) and m client sets {S-i subset of V}(i=1)(m). The goal is to open a set of k facilities F such that the worst-case connection cost over all the client sets is minimized, i.e., min(F subset of V,vertical bar F vertical bar=k) max(i is an element of[m]){Sigma(d(j,f))(j is an element of si)}, where for any F subset of V, d(j, F) = min(f is an element of F) d(j, f). This is a...
-
作者：Bogomolnaia, Anna; Holzman, Ron; Moulin, Herve
作者单位：Rice University; Technion Israel Institute of Technology
摘要：We consider a communication network where each pair of users requests a connection guaranteeing a certain capacity. The cost of building capacity is identical across pairs. Efficiency is achieved by any maximal cost spanning tree. We construct cost sharing methods ensuring standalone core stability, monotonicity of one's cost share in one's capacity requests, and continuity in everyone's requests. We define a solution for simple problems where each pairwise request is zero or one, and extend i...
-
作者：Bayraktar, Erhan; Egami, Masahiko
作者单位：University of Michigan System; University of Michigan; Kyoto University
摘要：We explicitly solve the optimal switching problem for one-dimensional diffusions by directly using the dynamic programming principle and the excessive characterization of the value function. The shape of the value function and the smooth fit principle then can be proved using the properties of concave functions.
-
作者：Dayanik, Savas
作者单位：Ihsan Dogramaci Bilkent University; Ihsan Dogramaci Bilkent University
摘要：Suppose that a Wiener process gains a known drift rate at some unobservable disorder time with some zero-modified exponential distribution. The process is observed only at known fixed discrete time epochs, which may not always be spaced in equal distances. The problem is to detect the disorder time as quickly as possible by means of an alarm that depends only on the observations of Wiener process at those discrete time epochs. We show that Bayes optimal alarm times, which minimize expected tot...
-
作者：Kindler, Guy; Naor, Assaf; Schechtman, Gideon
作者单位：Hebrew University of Jerusalem; New York University; Weizmann Institute of Science
摘要：For p >= 2 we consider the problem of, given an n x n matrix A = (a(ij)) whose diagonal entries vanish, approximating in polynomial time the number Opt(p)(A):= max{(i,j=1)Sigma(n) a(ij)x(i)x(j): (x(1), ..., x(n)) is an element of R-n boolean AND ((i=1)Sigma(n) vertical bar x(i)vertical bar(p))(1/p) <= 1}. When p = 2 this is simply the problem of computing the maximum eigenvalue of A, whereas for p = infinity ( actually it suffices to take p approximate to log n) it is the Grothendieck problem ...
-
作者：Bonifaci, Vincenzo; Harks, Tobias; Schafer, Guido
作者单位：Max Planck Society; Technical University of Berlin
摘要：We investigate the impact of Stackelberg routing to reduce the price of anarchy in network routing games. In this setting, an alpha fraction of the entire demand is first routed centrally according to a predefined Stackelberg strategy and the remaining demand is then routed selfishly by (nonatomic) players. Although several advances have been made recently in proving that Stackelberg routing can, in fact, significantly reduce the price of anarchy for certain network topologies, the central que...
-
作者：Dobzinski, Shahar; Nisan, Noam; Schapira, Michael
作者单位：Cornell University; Hebrew University of Jerusalem; Yale University; University of California System; University of California Berkeley
摘要：In a combinatorial auction m heterogenous indivisible items are sold to n bidders. This paper considers settings in which the valuation functions of the bidders are known to be complement free (a.k.a. subadditive). We provide several approximation algorithms for the social-welfare maximization problem in such settings. First, we present a logarithmic upper bound for the case that the access to the valuation functions is via demand queries. For the weaker value queries model we provide a tight ...
