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作者：Boxma, Onno; Mandjes, Michel
作者单位：Eindhoven University of Technology; University of Amsterdam
摘要：The aim of this paper is to analyze a general class of storage processes, in which the rate at which the storage level increases or decreases is assumed to be an affine function of the current storage level, and, in addition, both upward and downward jumps are allowed. To do so, we first focus on a related insurance risk model, for which we determine the ruin probability at an exponentially distributed epoch jointly with the corresponding undershoot and overshoot, given that the capital level ...
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作者：Chen, Xi; Wang, Yining; Zhou, Yuan
作者单位：New York University; State University System of Florida; University of Florida; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We study the dynamic assortment planning problem, where for each arriving customer, the seller offers an assortment of substitutable products and the customer makes the purchase among offered products according to an uncapacitated multinomial logit (MNL) model. Because all the utility parameters of theMNLmodel are unknown, the seller needs to simultaneously learn customers' choice behavior and make dynamic decisions on assortments based on the current knowledge. The goal of the seller is to ma...
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作者：Jiang, Bo; Wang, Haoyue; Zhang, Shuzhong
作者单位：Shanghai University of Finance & Economics; Massachusetts Institute of Technology (MIT); University of Minnesota System; University of Minnesota Twin Cities; Shenzhen Research Institute of Big Data; The Chinese University of Hong Kong, Shenzhen
摘要：This paper is concerned with finding an optimal algorithm for minimizing a composite convex objective function. The basic setting is that the objective is the sum of two convex functions: the first function is smooth with up to the dth-order derivative information available, and the second function is possibly nonsmooth, but its proximal tensor mappings can be computed approximately in an efficient manner. The problem is to find-in that setting-the best possible (optimal) iteration complexity ...
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作者：Schlicher, Loe; Slikker, Marco; van Jaarsveld, Willem; Van Houtum, Geert-Jan
作者单位：Eindhoven University of Technology
摘要：We study several service providers that keep spare parts in stock to protect for downtime of their high-tech machines and that face different downtime costs per stockout. Service providers can cooperate by forming a joint spare parts pool, and we study the allocation of the joint costs to the individual service providers by studying an associated cooperative game. In extant literature, the joint spare parts pool is typically controlled by a suboptimal full-pooling policy. A full-pooling policy...
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作者：de Klerk, Etienne; Laurent, Monique
作者单位：Tilburg University; Delft University of Technology; Centrum Wiskunde & Informatica (CWI)
摘要：We study the convergence rate of a hierarchy of upper bounds for polynomial optimization problems, proposed by Lasserre, and a related hierarchy by de Klerk, Hess, and Laurent. For polynomial optimization over the hypercube, we show a refined convergence analysis for the first hierarchy. We also show lower bounds on the convergence rate for both hierarchies on a class of examples. These lower bounds match the upper bounds and thus establish the true rate of convergence on these examples. Inter...
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作者：Jansen, Klaus; Klein, Kim-Manuel
作者单位：University of Kiel
摘要：We consider the bin packing problem with d different item sizes and revisit the structure theorem given by Goemans and Rothvoss about solutions of the integer cone. We present new techniques on how solutions can be modified and give a new structure theorem that relies on the set of vertices of the underlying integer polytope. As a result of our new structure theorem, we obtain an algorithm for the bin packing problem with running time vertical bar V vertical bar 2(O(d)) center dot enc(I)(O(1))...
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作者：Burke, James, V; Engle, Abraham
作者单位：University of Washington; University of Washington Seattle
摘要：This work concerns the local convergence theory of Newton and quasi-Newton methods for convex composite optimization: where one minimizes an objective that can be written as the composition of a convex function with one that is continuiously differentiable. We focus on the case in which the convex function is a potentially infinite-valued piecewise linear-quadratic function. Such problems include nonlinear programming, minimax optimization, and estimation of nonlinear dynamics with non-Gaussia...
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作者：Iwata, Satoru; Yokoi, Yu
作者单位：University of Tokyo; Research Organization of Information & Systems (ROIS); National Institute of Informatics (NII) - Japan
摘要：The stable matching (or stable marriage) model of Gale and Shapley [Gale D, Shapley LS (1962) College admissions and the stability of marriage. Amer. Math. Monthly 69(1):9 15.] has been generalized in various directions, such as matroid kernels by Fleiner [Fleiner T (2001) A matroid generalization of the stable matching polytope. Aardal K, Gerards AMH, eds. Proc. 8th Internat. Conf. Integer Programming Combin. Optim., Lecture Notes in Computer Science, vol. 2081 (Springer-Verlag, Berlin), 105-...
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作者：Sun, Ruoyu; Luo, Zhi-Quan; Ye, Yinyu
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of Illinois System; University of Illinois Urbana-Champaign; The Chinese University of Hong Kong, Shenzhen; Shenzhen Research Institute of Big Data; Stanford University
摘要：Random permutation is observed to be powerful for optimization algorithms: for multiblock ADMM (alternating direction method of multipliers), whereas the classical cyclic version diverges, the randomly permuted version converges in practice; for BCD (block coordinate descent), the randomly permuted version is typically faster than other versions. In this paper we provide strong theoretical evidence that random permutation has positive effects on ADMM and BCD, by analyzing randomly permuted ADM...
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作者：Keutchayan, Julien; Munger, David; Gendreau, Michel
作者单位：Universite de Montreal; Polytechnique Montreal; Universite de Montreal
摘要：Stochastic programming problems generally lead to large-scale programs if the number of random outcomes is large or if the problem has many stages. A way to tackle them is provided by scenario-tree generation methods, which construct approximate problems from a reduced subset of outcomes. However, it is well known that the number of scenarios required to keep the approximation error within a given tolerance grows rapidly with the number of random parameters and stages. For this reason, to limi...
