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作者：Seifried, Frank Thomas
作者单位：University of Kaiserslautern
摘要：We investigate the optimal portfolio problem under the threat of a financial market crash in a multidimensional jump-diffusion framework. We set up a nonprobabilistic crash model and consider an investor that seeks to maximize CRRA utility in the worst possible crash scenario. We recast the problem as a stochastic differential game; with the help of the fundamental notion of indifference strategies, we completely solve the portfolio problem using martingale arguments.
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作者：Hoda, Samid; Gilpin, Andrew; Pena, Javier; Sandholm, Tuomas
作者单位：Carnegie Mellon University; Carnegie Mellon University
摘要：We develop first-order smoothing techniques for saddle-point problems that arise in finding a Nash equilibrium of sequential games. The crux of our work is a construction of suitable prox-functions for a certain class of polytopes that encode the sequential nature of the game. We also introduce heuristics that significantly speed up the algorithm, and decomposed game representations that reduce the memory requirements, enabling the application of the techniques to drastically larger games. An ...
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作者：Lu, Shu
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：This paper studies solution properties of a parametric variational condition under the constant rank constraint qualification (CRCQ), and properties of its underlying set. We start by showing that if the CRCQ holds at a point in a fixed set, then there exists a one-to-one correspondence between the collection of nonempty faces of the normal cone to the set at that point and the collection of active index sets at points nearby. We then study the behavior of the Euclidean projector, and prove un...
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作者：Subramanian, Vijay G.
作者单位：Maynooth University
摘要：We consider a single server discrete-time system with a fixed number of users where the server picks operating points from a compact, convex, and coordinate convex set. For this system, we analyse the performance of a stabilising policy that at any given time picks operating points from the allowed rate region that maximise a weighted sum of rates, where the weights depend on the work loads of the users. Assuming a large deviations principle (LDP) for the arrival processes in the Skorohod spac...
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作者：Jelenkovic, Predrag R.; Tan, Jian
作者单位：Columbia University; International Business Machines (IBM); IBM USA
摘要：Power law distributions have been repeatedly observed in a wide variety of socioeconomic, biological, and technological areas. In many of the observations, e. g., city populations and sizes of living organisms, the objects of interest evolve because of the replication of their many independent components, e. g., births and deaths of individuals and replications of cells. Furthermore, the rates of replications are often controlled by exogenous parameters causing periods of expansion and contrac...
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作者：Bertsimas, Dimitris; Doan, Xuan Vinh; Natarajan, Karthik; Teo, Chung-Piaw
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); City University of Hong Kong; National University of Singapore
摘要：We propose a semidefinite optimization (SDP) model for the class of minimax two-stage stochastic linear optimization problems with risk aversion. The distribution of second-stage random variables belongs to a set of multivariate distributions with known first and second moments. For the minimax stochastic problem with random objective, we provide a tight SDP formulation. The problem with random right-hand side is NP-hard in general. In a special case, the problem can be solved in polynomial ti...
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作者：Conforti, Michele; Wolsey, Laurence A.; Zambelli, Giacomo
作者单位：University of Padua; Universite Catholique Louvain
摘要：We consider the mixed-integer version of bipartite vertex cover. This is equivalent to a mixed-integer network dual model, introduced recently, that generalizes several mixed-integer sets arising in production planning. We derive properties of inequalities that are valid for the convex hull of the mixed-integer bipartite covers by projecting an extended formulation onto the space of the original variables. This permits us to give a complete description of the facet-inducing inequalities of the...
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作者：Cook, William J.; Espinoza, Daniel G.; Goycoolea, Marcos
作者单位：University System of Georgia; Georgia Institute of Technology; Universidad de Chile; Universidad Adolfo Ibanez
摘要：We extend the work of Letchford [Letchford, A. N. 2000. Separating a superclass of comb inequalities in planar graphs. Math. Oper. Res. 25 443-454] by introducing a new class of valid inequalities for the traveling salesman problem, called the generalized domino-parity (GDP) constraints. Just as Letchford's domino-parity constraints generalize comb inequalities, GDP constraints generalize the most well-known multiple-handle constraints, including clique-tree, bipartition, path, and star inequa...
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作者：Dieker, A. B.; Warren, J.
作者单位：University System of Georgia; Georgia Institute of Technology; University of Warwick
摘要：This paper studies the queue-length process in series Jackson networks with external input to the first station only. We show that its Markov transition probabilities can be written as a finite sum of noncrossing probabilities, so that questions on time-dependent queueing behavior are translated to questions on noncrossing probabilities. This makes previous work on noncrossing probabilities relevant to queueing systems and allows new queueing results to be established. To illustrate the latter...
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作者：Lee, Jon; Sviridenko, Maxim; Vondrak, Jan
作者单位：International Business Machines (IBM); IBM USA; International Business Machines (IBM); IBM USA
摘要：Submodular function maximization is a central problem in combinatorial optimization, generalizing many important NP-hard problems including max cut in digraphs, graphs, and hypergraphs; certain constraint satisfaction problems; maximum entropy sampling; and maximum facility location problems. Our main result is that for any k >= 2 and any epsilon > 0, there is a natural local search algorithm that has approximation guarantee of 1/(k+epsilon) for the problem of maximizing a monotone submodular ...
