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作者：Shin, Dongwook; Broadie, Mark; Zeevi, Assaf
作者单位：Hong Kong University of Science & Technology; Columbia University
摘要：We consider a problem of ordinal optimization where the objective is to select the best of several competing alternatives (systems) when the probability distributions governing each system's performance are not known but can be learned via sampling. The objective is to dynamically allocate samples within a finite sampling budget to minimize the probability of selecting a system that is not the best. This objective does not possess an analytically tractable solution. We introduce a family of pr...
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作者：Zhang, Huanan; Chao, Xiuli; Shi, Cong
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of Michigan System; University of Michigan
摘要：We develop the first nonparametric learning algorithm for periodic-review perishable inventory systems. In contrast to the classical perishable inventory literature, we assume that the firm does not know the demand distribution a priori and makes replenishment decisions in each period based only on the past sales (censored demand) data. It is well known that even with complete information about the demand distribution a priori, the optimal policy for this problem does not possess a simple stru...
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作者：Flajolet, Arthur; Blandin, Sebastien; Jaillet, Patrick
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：We consider the problem of finding an optimal history-dependent routing strategy on a directed graph weighted by stochastic arc costs when the objective is to minimize the risk of spending more than a prescribed budget. To help mitigate the impact of the lack of information on the arc cost probability distributions, we introduce a robust counterpart where the distributions are only known through confidence intervals on some statistics such as the mean, the mean absolute deviation, and any quan...
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作者：Podinovski, Victor V.; Olesen, Ole Bent; Sarrico, Claudia S.
作者单位：Loughborough University; University of Southern Denmark; Universidade de Lisboa
摘要：We develop a nonparametric methodology for assessing the efficiency of decision-making units operating in a production technology with several component processes. The latter is modeled by the new multiple hybrid returns-to-scale (MHRS) technology, formally derived from an explicitly stated set of production axioms. In contrast with the existing models of data envelopment analysis (DEA), the MHRS technology allows the incorporation of component-specific and shared inputs and outputs that repre...
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作者：Sun, Longsheng; Karwan, Mark H.; Kwon, Changhyun
作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY; State University System of Florida; University of South Florida
摘要：Often, network users are not perfectly rational, especially when they are satisficing-rather than optimizing-decision makers and each individual's perception of the decision environment reflects personal preferences or perception errors due to lack of information. While the assumption of satisficing drivers has been used in modeling route choice behavior, this research uses a link-based perception error model to describe driver's uncertain behavior, without assuming stochasticity. In congestio...
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作者：Li, Jonathan Yu-Meng
作者单位：University of Ottawa
摘要：Worst-case risk measures provide a means of calculating the largest value of risk when only partial information of the underlying distribution is available. For popular risk measures such as value-at-risk (VaR) and conditional value-at-risk (CVaR) it is now known that their worst-case counterparts can be evaluated in closed form when only the first two moments are known. We show in this paper that closed-form solutions exist for a general class of law invariant coherent risk measures, which co...
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作者：Postek, Krzysztof; Ben-Tal, Aharon; den Hertog, Dick; Melenberg, Bertrand
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Technion Israel Institute of Technology; Shenkar College of Engineering, Design & Art; Tilburg University; Tilburg University; Tilburg University
摘要：In this paper we consider ambiguous stochastic constraints under partial information consisting of means and dispersion measures of the underlying random parameters. Whereas the past literature used the variance as the dispersion measure, here we use the mean absolute deviation from the mean (MAD). This makes it possible to use the 1972 result of Ben-Tal and Hochman (BH) m which tight upper and lower bounds on the expectation of a convex function of a random variable are given. First, we use t...
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作者：Jagabathula, Srikanth; Subramanian, Lakshminarayanan; Venkataraman, Ashwin
作者单位：New York University; New York University
摘要：We consider the problem of segmenting a large population of customers into nonoverlapping groups with similar preferences, using diverse preference observations such as purchases, ratings, clicks, and so forth, over subsets of items. We focus on the setting where the universe of items is large (ranging from thousands to millions) and unstructured (lacking well-defined attributes) and each customer provides observations for only a few items. These data characteristics limit the applicability of...
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作者：Massoulie, Laurent; Xu, Kuang
作者单位：Stanford University
摘要：We propose and analyze a family of information processing systems, where a finite set of experts or servers are employed to extract information about a stream of incoming jobs. Each job is associated with a hidden label drawn from some prior distribution. An inspection by an expert produces a noisy outcome that depends both on the job's hidden label and the type of the expert and occupies the expert for a finite time duration. A decision-maker's task is to dynamically assign inspections so tha...
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作者：Tsitsiklis, John N.; Xu, Kuang
作者单位：Massachusetts Institute of Technology (MIT); Stanford University
摘要：We formulate a model of sequential decision making, dubbed the Goal Prediction game, to study the extent to which an overseeing adversary can predict the final goal of an agent who tries to reach that goal quickly, through a sequence of intermediate actions. Our formulation is motivated by the increasing ubiquity of large-scale surveillance and data collection infrastructures, which can be used to predict an agent's intentions and future actions, despite the agent's desire for privacy. Our mai...
