Operations Research

最新文章

• Estimation of High-Dimensional Contextual Pricing Models with Nonparametric Price Confounders AI翻译
  作者：Wang, Yining; Liu, Quanquan
  作者单位：University of Texas System; University of Texas Dallas
  摘要：Personalized pricing with contextual information is a widespread practice in a number of revenue management problems. A pricing algorithm or platform utilizes users' personal data to make the most profitable pricing decisions, which could vary among individuals. In this paper, we study the question of estimating a contextual demand regression model with high-dimensional data, incorporating an unknown, nonparametric pricing function that acts as a confounding term to the demand model. We propos...
• Markdown Policies for Demand Learning with Forward-Looking Customers AI翻译
  作者：Birge, John R.; Chen, Hongfan (Kevin); Keskin, N. Bora
  作者单位：University of Chicago; Chinese University of Hong Kong; Duke University
  摘要：We consider the markdown pricing problem of a firm that sells a product to a mixture of myopic and forward-looking customers. The firm faces uncertainty about the customers' forward-looking behavior, arrival pattern, and valuations for the product, which we collectively refer to as the demand model. Over a multiperiod selling season, the firm sequentially marks down the product's price and makes demand observations to learn about the underlying demand model. Because forward-looking customers c...
• Tight Guarantees for Multiunit Prophet Inequalities and Online Stochastic Knapsack AI翻译
  作者：Jiang, Jiashuo; Ma, Will; Zhang, Jiawei
  作者单位：Hong Kong University of Science & Technology; Columbia University; Columbia University; New York University
  摘要：Prophet inequalities are a useful tool for designing online allocation procedures and comparing their performance to the optimal offline allocation. In the basic setting of k-unit prophet inequalities, a well-known procedure with its celebrated performance guarantee of 1-1 root k+3 has found widespread adoption in mechanism design and general online allocation problems in online advertising, healthcare scheduling, and revenue management. Despite being commonly used to derive approximately opti...
• Differential Privacy via Distributionally Robust Optimization AI翻译
  作者：Selvi, Aras; Liu, Huikang; Wiesemann, Wolfram
  作者单位：Imperial College London; Shanghai Jiao Tong University
  摘要：In recent years, differential privacy has emerged as the de facto standard for sharing statistics of data sets while limiting the disclosure of private information about the involved individuals. This is achieved by randomly perturbing the statistics to be published, which in turn, leads to a privacy-accuracy trade-off; larger perturbations provide stronger privacy guarantees, but they result in less accurate statistics that offer lower utility to the recipients. Of particular interest are, th...
• Dynamic Portfolio Allocation Under Market Incompleteness and Wealth Effects AI翻译
  作者：Shen, Yiwen; Li, Chenxu; Scaillet, Olivier; Jiang, Yueting
  作者单位：Hong Kong University of Science & Technology; Peking University; University of Geneva; University of Geneva; University of Hong Kong; Chinese University of Hong Kong
  摘要：This paper develops a novel decomposition of optimal dynamic portfolio choice under flexible incomplete-market models and the wealth-dependent hyperbolic absolute risk aversion (HARA) utility. The decomposition reveals the fundamental impacts of market incompleteness and wealth effect in portfolio allocation. With hedgeable interest rate risk, we show that the optimal portfolio under HARA utility can be decomposed into a pure constant relative risk aversion optimal portfolio and a financing bo...
• Optimal Trading with Speed-Dependent Transaction Cost Rates: A Flexible Framework AI翻译
  作者：Liu, Hong; Qian, Shuaijie; Xu, Jing
  作者单位：Washington University (WUSTL); Hong Kong University of Science & Technology; Renmin University of China
  摘要：The effective transaction cost rate (TCR) incurred by a large trade often depends on the execution speed. We propose a continuous-time workhorse model to study optimal trading strategies with speed-dependent TCRs. The TCR function is flexible enough for approximating general TCR functions of trading speeds. Applying our framework to order execution problems, we theoretically characterize the structure of the optimal trading strategy and numerically analyze it extensively after calibration. Whe...
• On the Almost Threshold Policy for Multisourcing Under Uncertain Supplies AI翻译
  作者：Federgruen, Awi; Feng, Qi; Shanthikumar, George
  作者单位：Columbia University; Purdue University System; Purdue University
  摘要：With extended supply chains and increased global sourcing, the uncertainty in supply streams has become a major consideration in formulating procurement strategies. Many studies in the existing literature characterize the optimal procurement policies under specific assumptions of the supply and demand distributions. In several special cases, a threshold policy or an almost threshold policy is shown to be optimal. A recent study by Feng and Shathikumar [Feng Q, Shanthikumar JG (2018) Supply and...
• Multipurchase Assortment Optimization Under a General Random Utility Model AI翻译
  作者：Abdallah, Tarek; Braverman, Anton; Gu, Wenhao
  作者单位：Northwestern University
  摘要：The static assortment optimization problem, where customers select a single item according to some choice model such as a random utility model, is a classical and well-studied setting. In contrast, the multipurchase variant, where customers may choose multiple items, has received far less attention because modeling utility-maximizing behavior over sets of items is substantially more complex, even under natural extensions of the Multinomial Logit model. In this paper, we propose a general multi...
• Hard and Soft Defense Against a Sequence of Aerial Threats AI翻译
  作者：Atkinson, Michael; Kress, Moshe
  作者单位：United States Department of Defense; United States Navy; Naval Postgraduate School
  摘要：The increasing prevalence of missiles and drones (hereafter referred to as threats) in attacks by both state and nonstate actors highlights the critical need for a robust defense system to counter these threats. We develop a combat model for the engagement between a Blue defender who is subject to repeated attacks by Red threats. The defender employs two types of defenses: hard interceptors, such as antiballistic missiles, and soft measures, such as directedenergy weapons and jamming. Employin...
• Convex Chance-Constrained Programs with Wasserstein Ambiguity AI翻译
  作者：Shen, Haoming; Jiang, Ruiwei
  作者单位：University of Arkansas System; University of Arkansas Fayetteville; University of Michigan System; University of Michigan
  摘要：Chance constraints yield nonconvex feasible regions in general. In particular, when the uncertain parameters are modeled by a Wasserstein ball, existing studies showed that the distributionally robust (pessimistic) chance constraint admits a mixed-integer conic representation. This paper identifies sufficient conditions that lead to convex feasible regions of chance constraints with Wasserstein ambiguity. First, when uncertainty arises from the right-hand side of a pessimistic joint chance con...