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作者：Ruszczynski, Andrzej; Shapiro, Alexander
作者单位：Rutgers University System; Rutgers University New Brunswick; University System of Georgia; Georgia Institute of Technology
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作者：Carassus, Laurence; Rasonyi, Miklos
作者单位：Universite Paris Cite; Hungarian Academy of Sciences; HUN-REN; HUN-REN Institute for Computer Science & Control
摘要：A discrete-time financial market model is considered with a sequence of investors whose preferences are described by their utility functions U-n, defined on the whole real line and assumed to be strictly concave and increasing. Under suitable hypotheses, it is shown that whenever U-n tends to another utility function U-infinity the respective optimal strategies converge, too. Under additional assumptions the rate of convergence is estimated. We also establish the continuity of the fair price o...
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作者：Cheevaprawatdomrong, Torpong; Schochetman, Irwin E.; Smith, Robert L.; Garcia, Alfredo
作者单位：Oakland University; University of Michigan System; University of Michigan; University of Virginia
摘要：We consider a nonhomogeneous infinite-horizon Markov Decision Process (MDP) problem with multiple optimal first-period policies. We seek an algorithm that, given finite data, delivers an optimal first-period policy. Such an algorithm can thus recursively generate, within a rolling-horizon procedure, an infinite-horizon optimal solution to the original problem. However, it can happen that no such algorithm exists, i.e., the MDP is not well posed. Equivalently, it is impossible to solve the prob...
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作者：Naddef, Denis; Rinaldi, Giovanni
作者单位：Communaute Universite Grenoble Alpes; Institut National Polytechnique de Grenoble; Universite Grenoble Alpes (UGA); Centre National de la Recherche Scientifique (CNRS); Consiglio Nazionale delle Ricerche (CNR); Istituto di Analisi dei Sistemi ed Informatica Antonio Ruberti (IASI-CNR)
摘要：The path, the wheelbarrow, and the bicycle inequalities have been shown by Cornuejols, Fonlupt, and Naddef to be facet-defining for the graphical relaxation of STSP(n), the polytope of the symmetric traveling salesman problem on an n-node complete graph. We show that these inequalities, and some generalizations of them, define facets also for STSP(n). In conclusion, we characterize a large family of facet-defining inequalities for STSP(n) that include, as special cases, most of the inequalitie...
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作者：Jofre, Alejandro; Rockafellar, R. Terry; Wets, Roger J-B.
作者单位：Universidad de Chile; Universidad de Chile; University of Washington; University of Washington Seattle; University of California System; University of California Davis
摘要：Variational inequality representations are set up for a general Walrasian model of consumption and production with trading in a market. The variational inequalities are of functional rather than geometric type and therefore are able to accommodate a wider range of utility functions than has been covered satisfactorily in the past. They incorporate Lagrange multipliers for budget constraints, which are shown to lead to an enhanced equilibrium framework with features of collective optimization. ...
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作者：Huang, Yongwei; Zhang, Shuzhong
作者单位：Chinese University of Hong Kong
摘要：This paper studies the possibilities of the linear matrix inequality characterization of the matrix cones formed by nonnegative complex Hermitian quadratic functions over specific domains in the complex space. In its real-case analog, such studies were conducted in Sturm and Zhang [Sturm, J. F., S. Zhang. 2003. On cones of nonnegative quadratic functions. Math. Oper Res. 28 246-267]. In this paper it is shown that stronger results can be obtained for the complex Hermitian case. In particular, ...
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作者：Kanet, J. J.
作者单位：University System of Ohio; University of Dayton
摘要：In an earlier paper by Emmons [Emmons, H. 1969. One-machine sequencing to minimize certain functions of job tardiness. Oper Res. 17 701-715], the problem of sequencing jobs on a single machine in order to minimize total tardiness was analyzed. Emmons provided three theorems for specifying precedence relations for pairs of jobs. His theorems apply when the tardiness penalty for each job grows at the same rate. Rinnooy Kan et al. [Rinnooy Kan, A. H. G., B. J. Lageweg, J. K. Lenstra. 1975. Minimi...
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作者：Levi, Retsef; Roundy, Robin O.; Shmoys, David B.
作者单位：Massachusetts Institute of Technology (MIT); Cornell University; Cornell University
摘要：In this paper, we consider two fundamental inventory models, the single-period newsvendor problem and its multiperiod extension, but under the assumption that the explicit demand distributions are not known and that the only information available is a set of independent samples drawn from the true distributions. Under the assumption that the demand distributions are given explicitly, these models are well studied and relatively straightforward to solve. However, in most real-life scenarios, th...
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作者：Conforti, Michele; Di Summa, Marco; Zambelli, Giacomo
作者单位：University of Padua
摘要：We study properties of systems of linear constraints that are minimally infeasible with respect to some subset S of constraints. (i.e., systems that are infeasible but that become feasible on removal of any constraint in S). We then apply these results and a theorem of Conforti, Cornuejols, Kapoor, and Vuskovic to a class of 0, 1 matrices, for which the linear relaxation of the set-partitioning polytope LSP(A) = (x vertical bar Ax = 1, x >= 0) is integral. In this way, we obtain combinatorial ...
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作者：Maitra, Ashok P.; Sudderth, William D.
作者单位：University of Minnesota System; University of Minnesota Twin Cities
摘要：For an n-person stochastic game with Borel state space S and compact metric action sets A(1), A(2),...., A(n), sufficient conditions are given for the existence of subgame-perfect equilibria. One result is that such equilibria exist if the law of motion q(center dot vertical bar s, a) is, for fixed s, continuous in a = (a(1), a,....,a(n)) for the total variation norm and the payoff functions f(1), f(2),....,f(n) are bounded, Borel measurable functions of the sequence of states (s(1), s(2),...)...
