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作者：Desai, Vijay V.; Farias, Vivek F.; Moallemi, Ciamac C.
作者单位：Columbia University; Massachusetts Institute of Technology (MIT); Columbia University
摘要：We present a novel linear program for the approximation of the dynamic programming cost-to-go function in high-dimensional stochastic control problems. LP approaches to approximate DP have typically relied on a natural projection of a well-studied linear program for exact dynamic programming. Such programs restrict attention to approximations that are lower bounds to the optimal cost-to-go function. Our program-the smoothed approximate linear program-is distinct from such approaches and relaxe...
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作者：Pinker, Edieal J.
作者单位：University of Rochester
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作者：Heller, Yuval
作者单位：University of Oxford; University of Oxford
摘要：In many situations, such as trade in stock exchanges, agents have many opportunities to act within a short interval of time. The agents in such situations can often coordinate their actions in advance, but coordination during the game consumes too much time. An equilibrium in such situations has to be sequential in order to handle mistakes made by players. In this paper, we present a new solution concept for infinite-horizon dynamic games, which is appropriate for such situations: a sequential...
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作者：Benth, Fred E.; Dahl, Geir; Mannino, Carlo
作者单位：University of Oslo; University of Oslo; Sapienza University Rome
摘要：The current financial crisis motivates the study of correlated defaults in financial systems. In this paper we focus on such a model, which is based on Markov random fields. This is a probabilistic model in which uncertainty in default probabilities incorporates experts' opinions on the default risk (based on various credit ratings). We consider a bilevel optimization model for finding an optimal recovery policy: which companies should be supported given a fixed budget. This is closely linked ...
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作者：Hu, Jian; Mehrotra, Sanjay
作者单位：Northwestern University
摘要：We introduce and study a family of models for multiexpert multiobjective/criteria decision making. These models use a concept of weight robustness to generate a risk-averse decision. In particular, the multiexpert multicriteria robust weighted sum approach (McRow) introduced in this paper identifies a (robust) Pareto decision that minimizes the worst-case weighted sum of objectives over a given weight region. The corresponding objective value, called the robust value of a decision, is shown to...
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作者：Atamtuerk, Alper; Berenguer, Gemma; Shen, Zuo-Jun (Max)
作者单位：University of California System; University of California Berkeley
摘要：We study several joint facility location and inventory management problems with stochastic retailer demand. In particular, we consider cases with uncapacitated facilities, capacitated facilities, correlated retailer demand, stochastic lead times, and multicommodities. We show how to formulate these problems as conic quadratic mixed-integer problems. Valid inequalities, including extended polymatroid and extended cover cuts, are added to strengthen the formulations and improve the computational...
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作者：Alpern, Steve; Morton, Alec; Papadaki, Katerina
作者单位：University of London; London School Economics & Political Science; University of London; London School Economics & Political Science
摘要：A key operational problem for those charged with the security of vulnerable facilities (such as airports or art galleries) is the scheduling and deployment of patrols. Motivated by the problem of optimizing randomized, and thus unpredictable, patrols, we present a class of patrolling games. The facility to be patrolled can be thought of as a network or graph Q of interconnected nodes (e. g., rooms, terminals), and the Attacker can choose to attack any node of Q within a given time T. He requir...
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作者：Baldacci, Roberto; Mingozzi, Aristide; Roberti, Roberto
作者单位：University of Bologna; University of Bologna; University of Bologna
摘要：In this paper, we describe an effective exact method for solving both the capacitated vehicle routing problem (CVRP) and the vehicle routing problem with time windows (VRPTW) that improves the method proposed by Baldacci et al. [Baldacci, R., N. Christofides, A. Mingozzi. 2008. An exact algorithm for the vehicle routing problem based on the set partitioning formulation with additional cuts. Math. Programming 115(2) 351-385] for the CVRP. The proposed algorithm is based on the set partitioning ...
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作者：Goh, Joel; Sim, Melvyn
作者单位：National University of Singapore; National University of Singapore
摘要：We introduce ROME, an algebraic modeling toolbox for a class of robust optimization problems. ROME serves as an intermediate layer between the modeler and optimization solver engines, allowing modelers to express robust optimization problems in a mathematically meaningful way. In this paper, we discuss how ROME can be used to model (1) a service-constrained robust inventory management problem, (2) a project-crashing problem, and (3) a robust portfolio optimization problem. Through these modeli...
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作者：Farahat, Amr; Perakis, Georgia
作者单位：Cornell University; Massachusetts Institute of Technology (MIT)
摘要：We compare equilibrium profits of Bertrand (price) and Cournot (quantity) competition in oligopolies with an arbitrary number of nonsymmetric firms offering differentiated substitutable products under an affine demand function. We provide a precise characterization of the profit relationship in terms of (1) the number of firms, (2) their relative quality and cost differences, and (3) the competition intensity, defined as the maxiumum absolute value of total change in competitors' demand over c...
