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作者：Aflaki, Arian; Zhang(Ken), Qian
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; California State University System; California State Polytechnic University Pomona
摘要：We study a firm setting prices for a product with limited inventories sold over two periods to heterogeneous customers. The firm is uncertain about customer valuations and learns from their purchasing behavior. This information can be used for future personalized pricing (P-Pricing). The firm can be of two types; a P-type firm may implement P-Pricing, whereas a U-type firm must set uniform prices for all customers. Customers are uncertain about the firm type and inventory. Upon observing the f...
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作者：Berczi, Kristof; Codazzi, Laura; Golak, Julian; Grigoriev, Alexander
作者单位：Eotvos Lorand University; Eotvos Lorand University; Hamburg University of Technology; University of Hamburg; Maastricht University
摘要：In combinatorial markets, the goal is typically to determine a pair of pricing and allocation of items that results in an efficient distribution of resources or maximizes the seller's profit. In dynamic pricing schemes, agents arrive in an unspecified sequential order, and the prices can be updated between agent arrivals, which makes the concept fairness of dynamic prices highly nontrivial. In markets with expected price deflation, typical agent follows the prices prior to their purchase and b...
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作者：Zeng, Siliang; Hong, Mingyi; Garcia, Alfredo
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Texas A&M University System; Texas A&M University College Station
摘要：We consider the task of estimating a structural model of dynamic decisions by human agent based on the observable history of implemented actions and visited states. This problem has an inherent nested structure: In the inner problem, an optimal policy a given reward function is identified, whereas in the outer problem, a measure of fit is maximized. Several approaches have been proposed to alleviate the computational burden this nested-loop structure, but these methods still suffer from high c...
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作者：Zu, You; Iyer, Murthy; Xu, Ifeng
作者单位：University of Minnesota System; University of Minnesota Twin Cities; University of Chicago
摘要：Motivated by information sharing in online platforms, we study repeated persuasion between a sender and a stream of receivers, where, at each time, the sender observes a payoff -relevant state drawn independently and identically from an unknown distribution and shares state information with the receivers, who each choose an action. The sender seeks to persuade the receivers into taking actions aligned with the sender's preference by selectively sharing state information. However, in contrast t...
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作者：Brown, David B.; Zhang, Jingwei
作者单位：Duke University; The Chinese University of Hong Kong, Shenzhen
摘要：Many sequential decision problems involve deciding how to allocate shared resources across a set of independent systems at each point in time. A classic example is the restless bandit problem, in which a budget constraint limits the selection of arms. Fluid relaxations provide a natural approximation technique for this broad class of problems. A recent stream of research has established strong performance guarantees for feasible policies based on fluid relaxations. In this paper, we generalize...
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作者：Erazo, Ignacio; Toriello, Alejandro
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：Motivated by applications in e-commerce logistics where orders or items arrive at different times and must be dispatched or processed in batches, we propose the subadditive dispatching problem (SAD), a strongly NP-hard problem defined by a set of orders with release times and a nondecreasing subadditive dispatch time function. A single uncapacitated vehicle must dispatch orders in batches to minimize the makespan, the time at which all orders have been dispatched. We propose a mixed-integer li...
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作者：Braouezec, Yann; Kiani, Keyvan
作者单位：IESEG School of Management; Universite de Lille; Centre National de la Recherche Scientifique (CNRS); CNRS - Institute for Humanities & Social Sciences (INSHS); emlyon business school; Centre National de la Recherche Scientifique (CNRS); Ecole Normale Superieure de Lyon (ENS de LYON); Universite Claude Bernard Lyon 1; Universite Jean Monnet; Universite Lyon 2
摘要：We offer a stress test framework in which interaction between regulated banks occurs through the impact they may have on asset prices when they deleverage. Because banks are constrained to maintain their risk-based capital ratio higher than a threshold, the deleveraging problem yields a generalized game in which the solvency constraint of each bank depends on the decisions of the others. We analyze the game under microprudential but also under macroprudential regulation. Microprudential regula...
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作者：Segev, Danny
作者单位：Tel Aviv University; Tel Aviv University
摘要：We consider a multistage stochastic optimization problem, studying how a single server should prioritize stochastically departing customers. In this setting, our objective is to determine an adaptive service policy that maximizes the expected total reward collected along a discrete planning horizon, in the presence of customers who are independently departing between one stage and the next with known stationary probabilities. Despite its deceiving structural simplicity, we are unaware of nontr...
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作者：Sim, Melvyn; Tang, Qinshen; Zhou, Minglong; Zhu, Taozeng
作者单位：National University of Singapore; Nanyang Technological University; Fudan University; Dongbei University of Finance & Economics
摘要：We introduce a novel approach to prescriptive analytics that leverages robust satisficing techniques to determine optimal decisions in situations of distribution ambiguity and parameter estimation uncertainty. Our decision model relies on a reward function that incorporates uncertain parameters, which can be predicted using available side information. However, the accuracy of the linear prediction model depends on the quality of regression coefficient estimates derived from the available data....
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作者：Chen, Yuyu; Embrechts, Paul; Wang, Ruodu
作者单位：University of Melbourne; Swiss Federal Institutes of Technology Domain; ETH Zurich; Swiss Federal Institutes of Technology Domain; ETH Zurich; University of Waterloo
摘要：We find the perhaps surprising inequality that the weighted average of independent and identically distributed Pareto random variables with infinite mean is larger than one such random variable in the sense of first -order stochastic dominance. This result holds for more general models including super-Pareto distributions, negative dependence, and triggering events and yields superadditivity of the risk measure value -at -risk for these models.
