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作者：Ejov, V; Filar, JA; Nguyen, MT
作者单位：University of South Australia; Defence Science & Technology
摘要：We consider the Hamiltonian cycle problem embedded in a singularly perturbed Markov decision process. We also consider a functional on the space of deterministic policies of the process that consists of the (1,1)-entry of the fundamental matrices of the Markov chains induced by the same policies. We show that when the perturbation parameter, epsilon, is less than or equal to 1/N-2, the Hamiltonian cycles of the directed graph are precisely the minimizers of our functional over the space of det...
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作者：Ioffe, AD; Lucchetti, RE; Revalski, JP
作者单位：Technion Israel Institute of Technology; Polytechnic University of Milan; Bulgarian Academy of Sciences
摘要：We provide an abstract principle aimed at proving that classes of optimization problems are typically well posed in the sense that the collection of ill-posed problems within each class is sigma-porous. As a consequence, we establish typical well-posedness in the above sense for unconstrained minimization of certain classes of functions (e.g., convex and quasi-convex continuous), as well as of convex programming with inequality constraints. We conclude the paper by showing that the collection ...
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作者：Lehrer, E
作者单位：Tel Aviv University
摘要：We introduce a two-player game where at each period one player, say, Player 2, chooses a distribution and the other player, Player 1, chooses a realization. Player 1 wins the game if the sequence of realized outcomes is normal with respect to the sequence of distributions. We present a pure winning strategy of Player 1 and thereby provide a universal algorithm that generates a normal sequence for any discrete stochastic process. It turns out that to select the nth digit, the algorithm conducts...
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作者：Frieze, A
作者单位：Carnegie Mellon University
摘要：Let the edges of the complete graph K-n be assigned independent uniform [0, 1] random edge weights. Let Z(TSP) and Z(2FAC) be the weights of the minimum length travelling salesman tour and minimum weight 2-factor, respectively. We show that whp \Z(TSP) - Z(2FAC)\ = o(1). The proof is obtained by the analysis of a polynomial time algorithm that finds a tour only a little longer than Z(2FAC).
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作者：Lim, AEB
作者单位：University of California System; University of California Berkeley
摘要：This paper concerns the, problems of quadratic hedging and pricing, and mean-variance portfolio selection in an incomplete market setting with continuous trading, multiple assets, and Brownian information. In particular, we assume throughout that the parameters describing the market model may be random processes. We approach these problems from the perspective of linear-quadratic (LQ) optimal control and backward stochastic differential equations (BSDEs); that is, we focus on the so-called sto...
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作者：Jaskiewicz, A
作者单位：Wroclaw University of Science & Technology
摘要：The two expected average costs used in the theory of semi-Markov control processes with a Borel state space are considered. Under some stochastic stability conditions, we prove that the two criteria are equivalent in the sense that they lead to the same optimality equation.
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作者：Jeanblanc, M; Lakner, P; Kadam, A
作者单位：Universite Paris Saclay; New York University; University of Michigan System; University of Michigan
摘要：In this paper we consider the optimization problem of an agent who wants to maximize the total expected discounted utility from consumption over an infinite horizon. The agent is under obligation to pay a debt at a fixed rate until he/she declares bankruptcy. At that point, after paying a fixed cost, the agent will be able to keep a certain fraction of the present wealth, and the debt will be forgiven. The selection of the bankruptcy time is taken to be at the discretion of the agent. The nove...
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作者：Choi, BD; Kim, B; Zhu, DB
作者单位：Korea University; Samsung Electronics; Samsung
摘要：We consider a MAP/M/c queue where a customer who cannot begin to receive his service for a fixed time is lost. We find a simple Markov process by using a concept of virtual waiting time and then obtain the stationary distribution of the Markov process. We find several performance measures such as loss probability, waiting time distribution, mean waiting time, and mean queue size by using the results of the stationary distribution of the Markov process.
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作者：Laraki, R; Sudderth, WD
作者单位：Centre National de la Recherche Scientifique (CNRS); heSam Universite; Conservatoire National Arts & Metiers (CNAM); Institut Polytechnique de Paris; Ecole Polytechnique; University of Minnesota System; University of Minnesota Twin Cities
摘要：We give necessary and sufficient conditions for certain optimal reward operators to preserve continuity and Lipschitz continuity.
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作者：Ben-Ameur, H; L'Ecuyer, P; Lemieux, C
作者单位：Universite de Montreal; HEC Montreal; Universite de Montreal; HEC Montreal; Universite de Montreal; Universite de Montreal; University of Calgary
摘要：Several methods for reducing the variance in the context of Monte Carlo simulation are based on correlation induction. This includes antithetic variates, Latin hypercube sampling, and randomized version of quasi-Monte Carlo methods such as lattice rules and digital nets. where the resulting estimators are usually weighted averages of several dependent random variables that can be seen as function evaluations at a finite set of random points in the unit hypercube. In this paper. we consider a s...
