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作者：Bensoussan, Alain; Park, Seyoung
作者单位：University of Texas System; University of Texas Dallas; City University of Hong Kong; University of Nottingham
摘要：We develop a new dynamic continuous -time model of optimal consumption and investment to include independent stochastic labor income. We reduce the problem of solving the Bellman equation to a problem of solving an integral equation. We then explicitly characterize the optimal consumption and investment strategy as a function of incometo -wealth ratio. We provide some analytical comparative statics associated with the value function and optimal strategies. We also develop a quite general numer...
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作者：Loeffen, Ronnie; Patie, Pierre; Wang, Jian
作者单位：University of Liverpool; Cornell University
摘要：We develop a comprehensive methodology for the fluctuation theory of continuous-time, skip-free Markov chains, extending and improving the recent work of Choi and Patie for discrete-time, skip-free Markov chains. As a significant application, we use it to derive a full set of fluctuation identities regarding exiting a finite or infinite interval for Markov branching processes with immigration, thereby uncovering many new results for this classic family of continuous-time Markov chains. The the...
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作者：Zhao, Jingyang; Xiao, Mingyu
作者单位：University of Electronic Science & Technology of China
摘要：The bipartite traveling tournament problem (BTTP) addresses interleague sports scheduling, which aims to design a feasible bipartite tournament between two n-team leagues under some constraints such that the total traveling distance of all participating teams is minimized. Since its introduction, several methods have been developed to design feasible schedules for the National Basketball Association (NBA), Nippon Professional Baseball (NPB), and so on. In terms of solution quality with a theor...
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作者：Brustle, Johannes; Perez-Salazar, Sebastian; Verdugo, Victor
作者单位：Sapienza University Rome; Rice University; Rice University; Pontificia Universidad Catolica de Chile; Pontificia Universidad Catolica de Chile
摘要：The prophet inequality is one of the cornerstone problems in optimal stopping theory and has become a crucial tool for designing sequential algorithms in Bayesian settings. In the i.i.d. k-selection prophet inequality problem, we sequentially observe n nonnegative random values sampled from a known distribution. Each time, a decision is made to accept or reject the value, and under the constraint of accepting at most k items. For k = 1, Hill and Kertz [Ann. Probab. 1982] provided an upper boun...
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作者：Conforti, Michele; Kaibel, Volker
作者单位：University of Padua; Otto von Guericke University
摘要：For a subset T of nodes of an undirected graph G, a T-Steiner cut is a cut delta(S) with T boolean AND S not equal & oslash; and T\S not equal & oslash;. The T-Steiner cut dominant of G is the dominant CUT+(G,T)of the convex hull of the incidence vectors of the T-Steiner cuts of G. For T={s,t}, this is the well-understood s-t-cut dominant. Choosing T as the set of all nodes of G, we obtain the cut dominant for which an outer description in the space of the original variables is still not known...
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作者：Laurent, Monique; Polak, Sven; Vargas, Luis Felipe
作者单位：Centrum Wiskunde & Informatica (CWI); Tilburg University; Universita della Svizzera Italiana
摘要：We investigate some graph parameters dealing with bi-independent pairs (A , B) in a bipartite graph G = (V1 U V2 , E), that is, pairs (A , B) where A c V1 , B c V2 , and A U B are independent. These parameters also allow us to study bicliques in general graphs. When maximizing the cardinality |A U B|, one finds the stability number alpha(G), wellknown to be polynomial -time computable. When maximizing the product |A | center dot | B |, one finds the parameter g(G), shown to be NP -hard by Peet...
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作者：Dayanikli, Gokce; Lauriere, Mathieu
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; New York University; NYU Shanghai
摘要：We propose a single-level numerical approach to solve Stackelberg mean field game (MFG) problems. In the Stackelberg MFG, an infinite population of agents plays a noncooperative game and chooses their controls to optimize their individual objectives while interacting with the principal and other agents through the population distribution. The principal can influence the mean field Nash equilibrium at the population level through policies, and she optimizes her own objective, which depends on t...
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作者：Zhou, Shenglong; Pan, Lili; Xiu, Naihua; Li, Geoffrey Ye
作者单位：Beijing Jiaotong University; Imperial College London
摘要：Sample average approximation (SAA) is a tractable approach for dealing with chance constrained programming, a challenging stochastic optimization problem. The constraint of SAA is characterized by the 0/1 loss function, which results in considerable complexities in devising numerical algorithms. Most existing methods have been devised based on reformulations of SAA, such as binary integer programming or relaxed problems. However, the development of viable methods to directly tackle SAA remains...
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作者：Liao, Guocheng; Su, Yu; Ziani, Juba; Wierman, Adam; Huang, Jianwei
作者单位：Sun Yat Sen University; California Institute of Technology; University System of Georgia; Georgia Institute of Technology; The Chinese University of Hong Kong, Shenzhen; Shenzhen Institute of Artificial Intelligence & Robotics for Society
摘要：Whereas users claim to be concerned about privacy, often they do little to protect their privacy in their online actions. One prominent explanation for this privacy paradox is that, when an individual shares data, it is not just the individual's privacy that is compromised; the privacy of other individuals with correlated data is also compromised. This information leakage encourages oversharing of data and significantly impacts the incentives of individuals in online platforms. In this paper, ...
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作者：Cui, Xingbang; Zhang, Liping
作者单位：Tsinghua University
摘要：The progressive hedging algorithm (PHA) is an effective solution method for solving monotone stochastic variational inequalities (SVIs). However, this validity is based on the assumption of global maximal monotonicity. In this paper, we propose a localized PHA for solving nonmonotone SVIs and show that its validity is based on the weaker assumption of locally elicitable maximal monotonicity. Furthermore, we prove that such assumption holds when the mapping involved in the SVI is locally elicit...
