Mathematics of Operations Research

最新文章

• Entropy Regularization for Mean Field Games with Learning AI翻译
  作者：Guo, Xin; Xu, Renyuan; Zariphopoulou, Thaleia
  作者单位：University of California System; University of California Berkeley; University of Southern California; University of Oxford; University of Texas System; University of Texas Austin; University of Texas System; University of Texas Austin; University of Oxford
  摘要：Entropy regularization has been extensively adopted to improve the efficiency, the stability, and the convergence of algorithms in reinforcement learning. This paper analyzes both quantitatively and qualitatively the impact of entropy regularization for mean field games (MFGs) with learning in a finite time horizon. Our study provides a theoretical justification that entropy regularization yields time-dependent policies and, furthermore, helps stabilizing and accelerating convergence to the ga...
• Local Density Estimation in High Dimensions AI翻译
  作者：Wu, Xian; Charikar, Moses; Natchu, Vishnu
  作者单位：University of California System; University of California Berkeley; Stanford University
  摘要：An important question that arises in the study of high-dimensional vector representations learned from data are, given a set D of vectors and a query q, estimate the number of points within a specified distance threshold of q. We develop two estimators, LSH count and multiprobe count that use locality-sensitive hashing to preprocess the data to accurately and efficiently estimate the answers to such questions via importance sampling. A key innovation is the ability to maintain a small number o...
• Prophet Matching with General Arrivals AI翻译
  作者：Ezra, Tomer; Feldman, Michal; Gravin, Nick; Tang, Zhihao Gavin
  作者单位：Tel Aviv University; Shanghai University of Finance & Economics
  摘要：We provide prophet inequality algorithms for online weighted matching in general (nonbipartite) graphs, under two well-studied arrival models: edge arrival and vertex arrival. The weights of the edges are drawn froma priori known probability distribution. Under edge arrival, the weight of each edge is revealed on arrival, and the algorithm decides whether to include it in thematching or not. Under vertex arrival, theweights of all edges fromthe newly arriving vertex to all previously arrived v...
• Control of Fork-Join Processing Networks with Multiple Job Types and Parallel Shared Resources AI翻译
  作者：Ozkan, Erhun
  作者单位：Koc University
  摘要：A fork-join processing network is a queueing network in which tasks associated with a job can be processed simultaneously. Fork-join processing networks are prevalent in computer systems, healthcare, manufacturing, project management, justice systems, and so on. Unlike the conventional queueing networks, fork-join processing networks have synchronization constraints that arise because of the parallel processing of tasks and can cause significant job delays. We study scheduling in fork-join pro...
• Decomposition of Games: Some Strategic Considerations AI翻译
  作者：Abdou, Joseph; Pnevmatikos, Nikolaos; Scarsini, Marco; Venel, Xavier
  作者单位：Universite Paris-Pantheon-Assas; Luiss Guido Carli University
  摘要：Orthogonal direct-sum decompositions of finite games into potential, harmonic and nonstrategic components exist in the literature. In this paper we study the issue of decomposing games that are strategically equivalent from a game-theoretical point of view, for instance games obtained via transformations such as duplications of strategies or positive affine mappings of the payoffs. We show the need to define classes of decompositions to achieve commutativity of game transformations and decompo...
• Parametric Computation of Minimum-Cost Flows with Piecewise Quadratic Costs AI翻译
  作者：Klimm, Max; Warode, Philipp
  作者单位：Technical University of Berlin
  摘要：We develop algorithms solving parametric flow problems with separable, continuous, piecewise quadratic, and strictly convex cost functions. The parameter to be considered is a common multiplier on the demand of all nodes. Our algorithms compute a family of flows that are each feasible for the respective demand and minimize the costs among the feasible flows for that demand. For single commodity networks with homogenous cost functions, our algorithm requires one matrix multiplication for the in...
• Dense Orbits of the Bayesian Updating Group Action AI翻译
  作者：Hellman, Ziv; Levy, Yehuda John
  作者单位：Bar Ilan University; University of Glasgow
  摘要：We study dynamic properties of the group action on the simplex that is induced by Bayesian updating. We show that, generically, the orbits are dense in the simplex, although one must make use of the entire group, hence departing from straightforward Bayesian updating. We demonstrate also the necessity of the genericity of the signalling structure, a relationship to descriptive set theoretical concepts, and applications thereof to repeated games of incomplete information, as well a strengthenin...
• One-Step Estimation with Scaled Proximal Methods AI翻译
  作者：Bassett, Robert; Deride, Julio
  作者单位：United States Department of Defense; United States Navy; Naval Postgraduate School; Universidad Tecnica Federico Santa Maria
  摘要：We study statistical estimators computed using iterative optimization methods that are not run until completion. Classical results on maximum likelihood estimators (MLEs) assert that a one-step estimator (OSE), in which a single Newton-Raphson iteration is performed from a starting point with certain properties, is asymptotically equivalent to the MLE. We further develop these early-stopping results by deriving properties of one-step estimators defined by a single iteration of scaled proximal ...
• A Dynamic Contagion Risk Model with Recovery Features AI翻译
  作者：Amini, Hamed; Minca, Andreea; Sulem, Agnes
  作者单位：University System of Georgia; Georgia State University; Cornell University
  摘要：We introduce threshold growth in the classical threshold contagion model, or equivalently a network of Cramer-Lundberg processes in which nodes have downward jumps when there is a failure of a neighboring node. Choosing the configuration model as underlying graph, we prove fluid limits for the baseline model, as well as extensions to the directed case, state-dependent interarrival times and the case of growth driven by upward jumps. We obtain explicit ruin probabilities for the nodes according...
• McKean-Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations AI翻译
  作者：Djete, Mao Fabrice; Possamai, Dylan; Tan, Xiaolu
  作者单位：Institut Polytechnique de Paris; Ecole Polytechnique; ENSTA Paris; Chinese University of Hong Kong
  摘要：We study a McKean???Vlasov optimal control problem with common noise in order to establish the corresponding limit theory as well as the equivalence between different formulations, including strong, weak, and relaxed formulations. In contrast to the strong formulation, in which the problem is formulated on a fixed probability space equipped with two Brownian filtrations, the weak formulation is obtained by considering a more general probability space with two filtrations satisfying an (H)-hypo...