Mathematics of Operations Research

最新文章

• On Computation of Generalized Derivatives of the Normal-Cone Mapping and Their Applications AI翻译
  作者：Gfrerer, Helmut; Outrata, Jiri V.
  作者单位：Johannes Kepler University Linz; Czech Academy of Sciences; Institute of Information Theory & Automation of the Czech Academy of Sciences; Federation University Australia
  摘要：The paper concerns the computation of the graphical derivative and the regular (Frechet) coderivative of the normal-cone mapping related to C-2 inequality constraints under very weak qualification conditions. This enables us to provide the graphical derivative and the regular coderivative of the solution map to a class of parameterized generalized equations with the constraint set of the investigated type. On the basis of these results, we finally obtain a characterization of the isolated calm...
• General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options AI翻译
  作者：Fusai, Gianluca; Kyriakou, Ioannis
  作者单位：University of Eastern Piedmont Amedeo Avogadro; City St Georges, University of London
  摘要：We propose an accurate method for pricing arithmetic Asian options on the discrete or continuous average in a general model setting by means of a lower bound approximation. In particular, we derive analytical expressions for the lower bound in the Fourier domain. This is then recovered by a single univariate inversion and sharpened using an optimization technique. In addition, we derive an upper bound to the error from the lower bound price approximation. Our proposed method can be applied to ...
• Optimality of Quasi-Open-Loop Policies for Discounted Semi-Markov Decision Processes AI翻译
  作者：Adelman, Daniel; Mancini, Angelo J.
  作者单位：University of Chicago
  摘要：Quasi-open-loop policies consist of sequences of Markovian decision rules that are insensitive to one component of the state space. Given a semi-Markov decision process (SMDP), we distinguish between exogenous and endogenous state components as follows: (i) the decision-maker's actions do not impact the evolution of an exogenous state component, and (ii) between consecutive decision epochs, the exogenous and endogenous state components are conditionally independent given the decision-maker's l...
• Computation, Multiplicity, and Comparative Statics of Cournot Equilibria in Integers AI翻译
  作者：Todd, Michael J.
  作者单位：Cornell University
  摘要：We give an efficient algorithm for computing a Cournot equilibrium when the producers are confined to integers, the inverse demand function is linear, and costs are quadratic. The method also establishes existence constructively. We use our characterization to discuss the multiplicity of integer Cournot equilibria and their relationship to the real Cournot equilibrium.
• The Cutting Plane Method is Polynomial for Perfect Matchings AI翻译
  作者：Chandrasekaran, Karthekeyan; Vegh, Laszlo A.; Vempala, Santosh S.
  作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of London; London School Economics & Political Science; University System of Georgia; Georgia Institute of Technology; University System of Georgia; Georgia Institute of Technology
  摘要：The cutting plane approach to finding minimum-cost perfect matchings has been discussed by several authors over past decades. Its convergence has been an open question. We develop a cutting plane algorithm that converges in polynomial-time using only Edmonds' blossom inequalities, and which maintains half-integral intermediate LP solutions supported by a disjoint union of odd cycles and edges. Our main insight is a method to retain only a subset of the previously added cutting planes based on ...
• Majorization-Minimization Procedures and Convergence of SQP Methods for Semi-Algebraic and Tame Programs AI翻译
  作者：Bolte, Jerome; Pauwels, Edouard
  作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Technion Israel Institute of Technology
  摘要：In view of solving nonsmooth and nonconvex problems involving complex constraints (like standard NLP problems), we study general maximization-minimization procedures produced by families of strongly convex subproblems. Using techniques from semi-algebraic geometry and variational analysis-in particular Lojasiewicz inequality-we establish the convergence of sequences generated by these types of schemes to critical points. The broad applicability of this process is illustrated in the context of ...
• Congestion Games with Variable Demands AI翻译
  作者：Harks, Tobias; Klimm, Max
  作者单位：Maastricht University; Technical University of Berlin
  摘要：We initiate the study of congestion games with variable demands in which the players strategically choose both a nonnegative demand and a subset of resources. The players' incentives to use higher demands are stimulated by nondecreasing and concave utility functions. The payoff for a player is defined as the difference between the utility of the demand and the associated cost on the used resources. Although this class of noncooperative games captures many elements of real-world applications, i...
• Finitely Additive Dynamic Programming AI翻译
  作者：Sudderth, William D.
  作者单位：University of Minnesota System; University of Minnesota Twin Cities
  摘要：The theory of dynamic programming is formulated using finitely additive probability measures defined on sets of arbitrary cardinality. Many results from the conventional countably additive theory generalize, and the proofs are simpler.
• Minimizing Cubic and Homogeneous Polynomials over Integers in the Plane AI翻译
  作者：Del Pia, Alberto; Hildebrand, Robert; Weismantel, Robert; Zemmer, Kevin
  作者单位：University of Wisconsin System; University of Wisconsin Madison; University of Wisconsin System; University of Wisconsin Madison; Swiss Federal Institutes of Technology Domain; ETH Zurich
  摘要：We complete the complexity classification by degree of minimizing a polynomial over the integer points in a polyhedron in a real vector space of dimension two. Previous work shows that optimizing a quadratic polynomial over the integer points in a polyhedral region in a real vector space of dimension two can be done in polynomial time, whereas optimizing a quartic polynomial in the same type of region is NP-hard. We close the gap by showing that this problem can be solved in polynomial time fo...
• A Measure-Valued Differentiation Approach to Sensitivities of Quantiles AI翻译
  作者：Heidergott, Bernd; Volk-Makarewicz, Warren
  作者单位：Vrije Universiteit Amsterdam; Tinbergen Institute; Vrije Universiteit Amsterdam
  摘要：Quantiles play an important role in modelling quality of service in the service industry and in modelling risk in the financial industry. The recent discovery that efficient simulation-based estimators can be obtained for quantile sensitivities has led to an intensive search for sample-path differentiation-based estimators for quantile sensitivities. In this paper, we present a novel approach to quantile sensitivity estimation. Our approach elaborates on the concept of measure-valued different...