-
作者：Keppo, Jussi; Touzi, Nizar; Zuo, Ruiting
作者单位：National University of Singapore; National University of Singapore; New York University; New York University Tandon School of Engineering; Hong Kong University of Science & Technology (Guangzhou)
摘要：We study incentive contracts in asset management business under dynamic actions and relationships between an investor, a partner of an investment company, and a fund manager of the company. Both the manager and the partner exert costly effort to manage the investments. The investor cannot perfectly observe the partner's and manager's actions, and similarly, the partner cannot perfectly observe the manager's actions. Thus, we consider a hierarchical contracting framework under hidden efforts, w...
-
作者：Ghosal, Shubhechyya; Ho, Chin Pang; Wiesemann, Wolfram
作者单位：Imperial College London; City University of Hong Kong
摘要：We propose a generic model for the capacitated vehicle routing problem (CVRP) under demand uncertainty. By combining risk measures, satisficing measures, or disutility functions with complete or partial characterizations of the probability distribution governing the demands, our formulation bridges the popular but often independently studied paradigms of stochastic programming and distributionally robust optimization. We characterize when an uncertainty-affected CVRP is (not) amenable to a sol...
-
作者：Fallah, Alireza; Makhdoumi, Ali; Malekian, Azarakhsh; Ozdaglar, Asuman
作者单位：Massachusetts Institute of Technology (MIT); Duke University; University of Toronto
摘要：We consider a platform's problem of collecting data from privacy sensitive users to estimate an underlying parameter of interest. We formulate this question as a Bayesianoptimal mechanism design problem, in which an individual can share their (verifiable) data in exchange for a monetary reward or services, but at the same time has a (private) heterogeneous privacy cost which we quantify using differential privacy. We consider two popular differential privacy settings for providing privacy guar...
-
作者：Zhong, Yueyang; Birge, John R.; Ward, Amy R.
作者单位：University of Chicago
摘要：The multiclass many-server queue with abandonment (specifically, the multiclass GI/GI/N+GI queue) is a canonical model for service systems. One key operational question is how to schedule; that is, how to choose the customer that a newly available server will serve. The scheduling question is of fundamental importance because scheduling determines which customer classes have more abandonments. However, even though there is much work on scheduling in queueing systems, there is comparatively les...
-
作者：Chen, Nan; Ma, Xiang; Liu, Yanchu; Yu, Wei
作者单位：Chinese University of Hong Kong; Sun Yat Sen University
摘要：We use the technique of information relaxation to develop a duality-driven iterative approach (DDP) to obtain and improve confidence interval estimates for the true value of finite-horizon stochastic dynamic programming problems. Each iteration of the algorithm solves an optimization-expectation procedure. We show that the sequence of dual value estimates yielded from the proposed approach monotonically converges to the true value function in a finite number of dual iterations. Aiming to overc...
-
作者：Perchet, Vianney; Rigollet, Philippe; Le Gouic, Thibaut
作者单位：Institut Polytechnique de Paris; ENSAE Paris; Massachusetts Institute of Technology (MIT)
摘要：We describe an efficient algorithm to compute solutions for the general twoplayer Blotto game on n battlefields with heterogeneous values. Whereas explicit constructions for such solutions have been limited to specific, largely symmetric or homogeneous setups, this algorithmic resolution covers the most general situation to date: a valueasymmetric game with an asymmetric budget with sufficient symmetry and homogeneity. The proposed algorithm rests on recent theoretical advances regarding Sinkh...
-
作者：Zbib, Hani; Balcik, Burcu; Rancourt, Marie-Eve; Laporte, Gilbert
作者单位：University of Quebec; University of Quebec Montreal; Universite de Montreal; HEC Montreal; Ozyegin University; Universite de Montreal; University of Bath
摘要：We develop a mutual catastrophe insurance framework for the prepositioning of strategic reserves to foster horizontal collaboration in preparedness against lowprobability high -impact natural disasters. The framework consists of a risk -averse insurer pooling the risks of a portfolio of risk -averse policyholders. It encompasses the operational functions of planning the prepositioning network in preparedness for incoming insurance claims, in the form of units of strategic reserves, setting cov...
-
作者：Chen, Xi; Krishnamurthy, Akshay; Wang, Yining
作者单位：New York University; University of Texas System; University of Texas Dallas
摘要：We consider the dynamic assortment optimization problem under the multinomial logit model with unknown utility parameters. The main question investigated in this paper is model mis-specification under the e-contamination model, which is a fundamental model in robust statistics and machine learning. In particular, throughout a selling horizon of length T, we assume that customers make purchases according to a well-specified underlying multinomial logit choice model in a (1 - e)-fraction of the ...
-
作者：Ravner, Liron; Snitkovsky, Ran I.
作者单位：University of Haifa; Tel Aviv University
摘要：We suggest a novel stochastic-approximation algorithm to compute a symmetric Nash-equilibrium strategy in a general queueing game with a finite action space. The algorithm involves a single simulation of the queueing process with dynamic updating of the strategy at regeneration times. Under mild assumptions on the utility function and on the regenerative structure of the queueing process, the algorithm converges to a symmetric equilibrium strategy almost surely. This yields a powerful tool tha...
-
作者：Zhou, Yi; Fu, Michael C.; Ryzhov, Ilya O.
作者单位：University System of Maryland; University of Maryland College Park; University System of Maryland; University of Maryland College Park; University System of Maryland; University of Maryland College Park
摘要：We consider the problem of selecting the best alternative in a setting where prior similarity information between the performance output of different alternatives can be learned from data. Incorporating similarity information enables efficient budget allocation for faster identification of the best alternative in sequential selection. Using a new selection criterion, the similarity selection index, we develop two new allocation methods: one based on a mathematical programming characterization ...
