Mathematics of Operations Research

最新文章

• Primal-Dual Interior-Point Methods for Domain-Driven Formulations AI翻译
  作者：Karimi, Mehdi; Tuncel, Levent
  作者单位：University of Waterloo
  摘要：We study infeasible-start, primal-dual interior-point methods for convex optimization problems given in a typically natural form we denote as domain-driven formulations. Our algorithms extend many advantages of primal-dual interior-point techniques available for conic formulations, such as the current best complexity bounds, and more robust certificates of approximate optimality, unboundedness, and infeasibility, to domain-driven formulations. The complexity results are new for the infeasible-...
• On Synchronous, Asynchronous, and Randomized Best-Response Schemes for Stochastic Nash Games AI翻译
  作者：Lei, Jinlong; Shanbhag, Uday, V; Pang, Jong-Shi; Sen, Suvrajeet
  作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of Southern California
  摘要：In this paper, we consider a stochastic Nash game in which each player minimizes a parameterized expectation-valued convex objective function. In deterministic regimes, proximal best-response (BR) schemes have been shown to be convergent under a suitable spectral property associated with the proximal BR map. However, a direct application of this scheme to stochastic settings requires obtaining exact solutions to stochastic optimization problems at each iteration. Instead, we propose an inexact...
• Approximation Algorithms for D-optimal Design AI翻译
  作者：Singh, Mohit; Xie, Weijun
  作者单位：University System of Georgia; Georgia Institute of Technology; Virginia Polytechnic Institute & State University
  摘要：Experimental design is a classical statistics problem, and its aim is to estimate an unknown vector from linear measurements where a Gaussian noise is introduced in each measurement. For the combinatorial experimental design problem, the goal is to pick a subset of experiments so as to make the most accurate estimate of the unknown parameters. In this paper, we will study one of the most robust measures of error estimation-the D-optimality criterion, which corresponds to minimizing the volume ...
• Monotonicity and Weighted Prenucleoli: A Characterization Without Consistency AI翻译
  作者：Calleja, Pedro; Llerena, Francesc; Sudholter, Peter
  作者单位：University of Barcelona; Universitat Rovira i Virgili; Universitat Rovira i Virgili; University of Southern Denmark
  摘要：A solution on a set of transferable utility (TU) games satisfies strong aggregate monotonicity (SAM) if every player can improve when the grand coalition becomes richer. It satisfies equal surplus division (ESD) if the solution allows the players to improve equally. We show that the set of weight systems generating weighted prenucleoli that satisfy SAM is open, which implies that for weight systems close enough to any regular system, the weighted prenucleolus satisfies SAM. We also provide a n...
• Epi-Regularization of Risk Measures AI翻译
  作者：Kouri, Drew P.; Surowiec, Thomas M.
  作者单位：United States Department of Energy (DOE); Sandia National Laboratories; Philipps University Marburg
  摘要：Uncertainty pervades virtually every branch of science and engineering, and in many disciplines, the underlying phenomena can be modeled by partial differential equations (PDEs) with uncertain or random inputs. This work is motivated by risk-averse stochastic programming problems constrained by PDEs. These problems are posed in infinite dimensions, which leads to a significant increase in the scale of the (discretized ) problem. In order to handle the inherent nonsmoothness of, for example, co...
• A Verification Theorem for Threshold-Indexability of Real-State Discounted Restless Bandits AI翻译
  作者：Nino-Mora, Jose
  摘要：The Whittle index, which characterizes optimal policies for controlling certain single restless bandit projects (a Markov decision process with two actions: active and passive) is the basis for a widely used heuristic index policy for the intractable restless multiarmed bandit problem. Yet two roadblocks need to be overcome to apply such a policy: the individual projects in the model at hand must be shown to be indexable, so that they possess a Whittle index; and the index must be evaluated. S...
• A Block Successive Upper-Bound Minimization Method of Multipliers for Linearly Constrained Convex Optimization AI翻译
  作者：Hong, Mingyi; Chang, Tsung-Hui; Wang, Xiangfeng; Razaviyayn, Meisam; Ma, Shiqian; Luo, Zhi-Quan
  作者单位：University of Minnesota System; University of Minnesota Twin Cities; The Chinese University of Hong Kong, Shenzhen; Shenzhen Research Institute of Big Data; East China Normal University; University of Southern California; University of California System; University of California Davis
  摘要：Consider the problem of minimizing the sum of a smooth convex function and a separable nonsmooth convex function subject to linear coupling constraints. Problems of this form arise in many contemporary applications, including signal processing, wireless networking, and smart grid provisioning. Motivated by the huge size of these applications, we propose a new class of first-order primal-dual algorithms called the block successive upper-bound minimization method of multipliers (BSUM-M) to solve...
• Discrete Midpoint Convexity AI翻译
  作者：Moriguchi, Satoko; Murota, Kazuo; Tamura, Akihisa; Tardella, Fablo
  作者单位：Tokyo Metropolitan University; Keio University; Sapienza University Rome
  摘要：For a function defined on the integer lattice, we consider discrete versions of midpoint convexity, which offer a unifying framework for discrete convexity of functions, including integral convexity, L-(sic)-convexity, and submodularity. By considering discrete midpoint convexity for all pairs at l(infinity)-distance equal to 2 or not smaller than 2, we identify new classes of discrete convex functions, called locally and globally discrete midpoint convex functions. These functions enjoy nice ...
• Surplus-Invariant Risk Measures AI翻译
  作者：Gao, Niushan; Munari, Cosimo
  作者单位：Toronto Metropolitan University; University of Zurich; Swiss Finance Institute (SFI)
  摘要：This paper presents a systematic study of the notion of surplus invariance, which plays a natural and important role in the theory of risk measures and capital requirements. So far, this notion has been investigated in the setting of some special spaces of random variables. In this paper, we develop a theory of surplus invariance in its natural framework, namely, that of vector lattices. Besides providing a unifying perspective on the existing literature, we establish a variety of new results ...
• Future Expectations Modeling, Random Coefficient Forward-Backward Stochastic Differential Equations, and Stochastic Viscosity Solutions AI翻译
  作者：Kartala, Xanthi-Isidora; Englezos, Nikolaos; Yannacopoulos, Athanasios N.
  作者单位：Athens University of Economics & Business; University of Piraeus; Athens University of Economics & Business
  摘要：In this paper we study a class of infinite horizon fully coupled forward-backward stochastic differential equations (FBSDEs) with random coefficients that are stimulated by various continuous time future expectations models. Under standard Lipschitz and monotonicity conditions and by means of the contraction mapping principle, we establish existence and uniqueness of an adapted solution, and we obtain results regarding the dependence of this solution on the data of the problem. Making further ...