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作者：Bertschinger, Nils; Hoefer, Martin; Schmand, Daniel
作者单位：Goethe University Frankfurt; Goethe University Frankfurt; University of Bremen
摘要：We study a game-theoretic variant of the maximum circulation problem. In a flow allocation game, we are given a directed flow network. Each node is a rational agent and can strategically allocate any incoming flow to the outgoing edges. Given the strategy choices of all agents, a maximal circulation that adheres to the chosen allocation strategies evolves in the network. Each agent wants to maximize the amount of flow through his or her node. Flow allocation games can be used to express strate...
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作者：Liu, Haiyan; Wang, Bin; Wang, Ruodu; Zhuang, Sheng Chao
作者单位：Michigan State University; Michigan State University; Chinese Academy of Sciences; University of Waterloo; University of Nebraska System; University of Nebraska Lincoln
摘要：Classic optimal transport theory is formulated through minimizing the expected transport cost between two given distributions. We propose the framework of distorted optimal transport by minimizing a distorted expected cost, which is the cost under a nonlinear expectation. This new formulation is motivated by concrete problems in decision theory, robust optimization, and risk management, and it has many distinct features compared with the classic theory. We choose simple cost functions and stud...
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作者：He, Shengyi; Lam, Henry
作者单位：Columbia University
摘要：Distributionally robust optimization (DRO) is a worst-case framework for stochastic optimization under uncertainty that has drawn fast-growing studies in recent years. When the underlying probability distribution is unknown and observed from data, DRO suggests computing the worst-case distribution within a so-called uncertainty set that captures the involved statistical uncertainty. In particular, DRO with uncertainty set constructed as a statistical divergence neighborhood ball has been shown...
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作者：Banerjee, Sayan; Budhiraja, Amarjit; Estevez, Benjamin
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
摘要：Consider a queuing system with K parallel queues in which the server for each queue processes jobs at rate n and the total arrival rate to the system is nK - v root n, where v is an element of (0,infinity) and n is large. Interarrival and service times are taken to be independent and exponentially distributed. It is well known that the join-the-shortest-queue (JSQ) policy has many desirable load-balancing properties. In particular, in comparison with uniformly at random routing, the time asymp...
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作者：Decamps, Jean-Paul; Gensbittel, Fabien; Mariotti, Thomas
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Centre National de la Recherche Scientifique (CNRS); Universite de Toulouse; Universite Toulouse 1 Capitole; Centre for Economic Policy Research - UK; Leibniz Association; Ifo Institut
摘要：We study the optimal investment policy of a firm facing both technological and cash-flow uncertainty. At any point in time, the firm can irreversibly invest in a standalone technology or wait for a technological breakthrough. Breakthroughs occur when market conditions become favorable enough, exceeding a threshold value that is ex ante unknown to the firm. The Markov state variables for the optimal investment policy are the current market conditions and their historic maximum, and the firm opt...
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作者：De Angelis, Tiziano; Gensbittel, Fabien; Villeneuve, Phane
作者单位：University of Turin; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics
摘要：We construct Nash equilibria in feedback form for a class of two-person stochastic games of singular control with absorption, arising from a stylized model for corporate finance. More precisely, the paper focuses on a strategic dynamic game in which two financially constrained firms operate in the same market. The firms distribute dividends and are faced with default risk. The strategic interaction arises from the fact that if one firm defaults, the other one becomes a monopolist and increases...
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作者：Tomasaz, Alberto Boggio; Carvalho, Margarida; Cordone, Roberto; Hosteins, Pierre
作者单位：University of Milan; Universite de Montreal; Universite de Montreal; University of Turin
摘要：Fortification-interdiction games are trilevel adversarial games where two opponents act in succession to protect, disrupt, and simply use an infrastructure for a specific purpose. Many such games have been formulated and tackled in the literature through specific algorithmic methods; however, very few investigations exist on the completeness of such fortification problems in order to locate them rigorously in the polynomial hierarchy. We clarify the completeness status of several well-known fo...
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作者：Segev, Danny
作者单位：Tel Aviv University; Tel Aviv University
摘要：The primary objective of this work is to revisit and revitalize one of the most fundamental models in deterministic inventory management, the continuous-time joint replenishment problem. Our main contribution consists of resolving several long-standing open questions in this context. For most of these questions, we obtain the first quantitative improvement over power-of-2 policies and their nearby derivatives, which have been state-of-the-art in terms of provable performance guarantees since t...
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作者：Zhang, Chuwen; He, Chang; Jiang, Yuntian; Xue, Chenyu; Jiang, Bo; Ge, Dongdong; Ye, Yinyu
作者单位：Shanghai University of Finance & Economics; Shanghai University of Finance & Economics; Shanghai University of Finance & Economics; Shanghai Jiao Tong University; Stanford University
摘要：In this paper, we introduce a homogeneous second-order descent method (HSODM) motivated from the homogenization trick in quadratic programming. The merit of homogenization is that only the leftmost eigenvector of a gradient-Hessian integrated matrix is computed at each iteration. Therefore, the algorithm is a single-loop method that does not need to switch to other sophisticated algorithms and is easy to implement. We show that HSODM has a global convergence rate of O(epsilon-3=2) to find an e...
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作者：Kunimoto, Takashi; Saran, Rene; Serrano, Roberto
作者单位：Singapore Management University; University System of Ohio; University of Cincinnati; Brown University
摘要：This is the brief corrigendum to Interim rationalizable implementation of functions [Kunimoto T, Saran R, Serrano R (2024) Interim rationalizable implementation of functions. Math. Oper Res. 49(3):1791-1824].
