Mathematics of Operations Research

最新文章

• Uniform Turnpike Theorems for Finite Markov Decision Processes AI翻译
  作者：Lewis, Mark E.; Paul, Anand
  作者单位：Cornell University; State University System of Florida; University of Florida
  摘要：A turnpike integer is the smallest finite horizon for which an optimal infinite horizon decision is the optimal initial decision. An important practical question considered in the literature is how to bound the turnpike integer using only the problem inputs. In this paper, we consider turnpike integers as a function of the discount factor. While a turnpike integer is finite for any fixed discount factor, we show that it approaches infinity in the neighborhood of a specific set of discount rate...
• Multiunit Facility Location Games AI翻译
  作者：Ben-Porat, Omer; Tennenholtz, Moshe
  作者单位：Technion Israel Institute of Technology
  摘要：Facility location games have been a topic of major interest in economics, operations research, and computer science, starting from the seminal work by Hotelling [Hotelling H (1929) Stability in competition. Econom. J. 39(153):41-57]. In the classical pure location Hotelling game, businesses compete for maximizing customer attraction by strategically locating their facilities, assuming no price competition, and customers are attracted to their closest facilities. Surprisingly, very little rigor...
• No-Arbitrage and Hedging with Liquid American Options AI翻译
  作者：Bayraktar, Erhan; Zhou, Zhou
  作者单位：University of Michigan System; University of Michigan; University of Sydney
  摘要：Since most of the traded options on individual stocks are of American type, it is of interest to generalize the results obtained in semistatic trading to the case when one is allowed to statically trade American options. However, this problem has proved to be elusive so far because of the asymmetric nature of the positions of holding versus shorting such options. Here, we provide a unified framework and generalize the fundamental theorem of asset pricing (FTAP) and hedging dualities in Bayrakt...
• A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs AI翻译
  作者：De Angelis, Tiziano; Ferrari, Giorgio; Moriarty, John
  作者单位：University of Leeds; University of Bielefeld; University of London; Queen Mary University London
  摘要：In this paper we provide a complete theoretical analysis of a two-dimensional degenerate nonconvex singular stochastic control problem. The optimisation is motivated by a storage-consumption model in an electricity market, and features a stochastic real-valued spot price modelled by Brownian motion. We find analytical expressions for the value function, the optimal control, and the boundaries of the action and inaction regions. The optimal policy is characterised in terms of two monotone and d...
• Revisiting Stochastic Loss Networks: Structures and Approximations AI翻译
  作者：Jung, Kyomin; Lu, Yingdong; Shah, Devavrat; Sharma, Mayank; Squillante, Mark S.
  作者单位：Seoul National University (SNU); International Business Machines (IBM); IBM USA; Massachusetts Institute of Technology (MIT); International Business Machines (IBM); IBM USA
  摘要：We consider fundamental properties of stochastic loss networks, seeking to improve on the so-called Erlang fixed-point approximation. We propose a family of mathematical approximations for estimating the stationary loss probabilities and show that they always converge exponentially fast, provide asymptotically exact results, and yield greater accuracy than the Erlang fixed-point approximation. We further derive structural properties of the inverse of the classical Erlang loss function that cha...
• On the Role of a Market Maker in Networked Cournot Competition AI翻译
  作者：Cai, Desmond; Bose, Subhonmesh; Wierman, Adam
  作者单位：California Institute of Technology; University of Illinois System; University of Illinois Urbana-Champaign; California Institute of Technology
  摘要：We study Cournot competition among firms in a networked marketplace that is centrally managed by a market maker. In particular, we study a situation in which a market maker facilitates trade between geographically separate markets via a constrained transport network. Our focus is on understanding the consequences of the design of the market maker and providing tools for optimal design. To that end, we provide a characterization of the equilibrium outcomes of the game between the firms and the ...
• The Exact Computational Complexity of Evolutionarily Stable Strategies AI翻译
  作者：Conitzer, Vincent
  作者单位：Duke University
  摘要：While the computational complexity of many game-theoretic solution concepts, notably Nash equilibrium, has now been settled, the question of determining the exact complexity of computing an evolutionarily stable strategy has resisted solution since attention was drawn to it in 2004. In this paper, I settle this question by proving that deciding the existence of an evolutionarily stable strategy is Sigma(p)(2) complete.
• Quantifying Distributional Model Risk via Optimal Transport AI翻译
  作者：Blanchet, Jose; Murthy, Karthyek
  作者单位：Stanford University; Singapore University of Technology & Design
  摘要：This paper deals with the problem of quantifying the impact of model mis-specification when computing general expected values of interest. The methodology that we propose is applicable in great generality; in particular, we provide examples involving path-dependent expectations of stochastic processes. Our approach consists of computing bounds for the expectation of interest regardless of the probability measure used, as long as the measure lies within a prescribed tolerance measured in terms ...
• Explore First, Exploit Next: The True Shape of Regret in Bandit Problems AI翻译
  作者：Garivier, Aurelien; Menard, Pierre; Stoltz, Gilles
  作者单位：Universite de Toulouse; Universite Toulouse III - Paul Sabatier; Centre National de la Recherche Scientifique (CNRS); Hautes Etudes Commerciales (HEC) Paris; Centre National de la Recherche Scientifique (CNRS)
  摘要：We revisit lower bounds on the regret in the case of multiarmed bandit problems. We obtain nonasymptotic, distribution-dependent bounds and provide simple proofs based only on well-known properties of Kullback-Leibler divergences. These bounds show in particular that in the initial phase the regret grows almost linearly, and that the well-known logarithmic growth of the regret only holds in a final phase. The proof techniques come to the essence of the information-theoretic arguments used and ...
• Expressiveness and Robustness of First-Price Position Auctions AI翻译
  作者：Dutting, Paul; Fischer, Felix; Parkes, David C.
  作者单位：University of London; London School Economics & Political Science; University of London; Queen Mary University London; Harvard University
  摘要：Ideally, the properties of an economic mechanism should hold in a robust way across multiple equilibria and under varying assumptions regarding the information available to participants. Focusing on the design of robust position auctions, we seek mechanisms that possess an efficient equilibrium and guarantee high revenue in every efficient equilibrium, under complete and incomplete information. A generalized first-price auction that is expressive in the sense of allowing multidimensional bids ...