Operations Research

最新文章

• First-Order Prudence and Its Implications for Precautionary Savings and the Risk-Free Rate AI翻译
  作者：Ebert, Sebastian; Karehnke, Paul
  作者单位：Ruprecht Karls University Heidelberg; heSam Universite; ESCP Business School
  摘要：Prudence is widely known for inducing saving in response to future risk- precautionary saving. In this paper, we revisit this important implication by providing definitions of first- and second-order prudence that parallel Segal and Spivak's [Segal U, Spivak A (1990) First order versus second order risk aversion. J. Econom. Theory 51:111-125] definitions of first- and second-order risk aversion. Second-order prudence means that the decision-maker is almost prudent-neutral for small risks, wher...
• UCB-Type Learning Algorithms with Kaplan-Meier Estimator for Lost-Sales Inventory Models with Lead Times AI翻译
  作者：Lyu, Chengyi; Zhang, Huanan; Xin, Linwei
  作者单位：University of Colorado System; University of Colorado Boulder; University of Chicago
  摘要：In this paper, we consider a classic periodic -review lost -sales inventory system with lead times, which is notoriously challenging to optimize with a wide range of realworld applications. We consider a joint learning and optimization problem in which the decision maker does not know the demand distribution a priori and can only use past sales information (i.e., censored demand). Departing from existing learning algorithms on this learning problem that require the convexity property of the un...
• Comparing Sequential Forecasters AI翻译
  作者：Choe, Yo Joong; Ramdas, Aaditya
  作者单位：University of Chicago; Carnegie Mellon University
  摘要：Consider two forecasters, each making a single prediction for a sequence of events over time. We ask a relatively basic question: how might we compare these forecasters, either online or post hoc, avoiding unverifiable assumptions on how the forecasts and outcomes were generated? In this paper, we present a rigorous answer to this question by designing novel sequential inference procedures for estimating the time-varying difference in forecast scores. To do this, we employ confidence sequences...
• Systemic Portfolio Diversification AI翻译
  作者：Capponi, Agostino; Weber, Marko
  作者单位：Columbia University; National University of Singapore
  摘要：We study the portfolio choice problem of banks, taking into account losses due to fire-sale spillovers. We show that the optimal asset allocation can be recovered as the unique Nash equilibrium of a potential game. Our analysis highlights the key tradeoff between individual diversification and systemic risk. In a stylized model economy featuring two banks and two assets, we show that sacrificing individual diversification to reduce portfolio commonality increases the likelihood of a sale event...
• Flattening Energy-Consumption Curves by Monthly Constrained Direct Load Control Contracts AI翻译
  作者：Fattahi, Ali; Ghodsi, Saeed; Dasu, Sriram; Ahmadi, Reza
  作者单位：Johns Hopkins University; University of California System; University of California Los Angeles; University of Southern California
  摘要：Balancing electricity demand and supply is one of the most critical tasks that utility firms perform to maintain grid stability and reduce system cost. Demand-response programs are among the strategies that utilities use to reduce electricity consumption during peak hours and flatten the energy-consumption curve. Direct load control contracts (DLCCs) are a class of incentive-based demand-response programs that allow utilities to assign calls to customer groups to reduce their energy usage by a...
• Survey of Dynamic Resource-Constrained Reward Collection Problems: Unified Model and Analysis AI翻译
  作者：Balseiro, Santiago R.; Besbes, Omar; Pizarro, Dana
  作者单位：Columbia University; Universidad de O'Higgins
  摘要：Dynamic resource allocation problems arise under a variety of settings and have been studied across disciplines such as operations research and computer science. The present paper introduces a unifying model for a very large class of dynamic optimization problems that we call dynamic resource-constrained reward collection (DRC2) problems. We show that this class encompasses a variety of disparate and classical dynamic optimization problems such as dynamic pricing with capacity constraints, dyn...
• Wasserstein Distributionally Robust Optimization and Variation Regularization AI翻译
  作者：Gao, Rui; Chen, Xi; Kleywegtc, Anton J.
  作者单位：University of Texas System; University of Texas Austin; New York University; University System of Georgia; Georgia Institute of Technology
  摘要：Wasserstein distributionally robust optimization (DRO) is an approach to optimization under uncertainty in which the decision maker hedges against a set of probability distributions, specified by a Wasserstein ball, for the uncertain parameters. This approach facilitates robust machine learning, resulting in models that sustain good performance when the data are to some extent different from the training data. This robustness is related to the well-studied effect of regularization. The connect...
• Sample and Computationally Efficient Stochastic Kriging in High Dimensions AI翻译
  作者：Ding, Liang; Zhang, Xiaowei
  作者单位：Fudan University; University of Hong Kong
  摘要：Stochastic kriging has been widely employed for simulation metamodeling to predict the response surface of complex simulation models. However, its use is limited to cases where the design space is low-dimensional because in general the sample complexity (i.e., the number of design points required for stochastic kriging to produce an accurate prediction) grows exponentially in the dimensionality of the design space. The large sample size results in both a prohibitive sample cost for running the...
• A Dynamic Model for Managing Volunteer Engagement AI翻译
  作者：Ata, Baris; Tongarlak, Mustafa H.; Lee, Deishin; Field, Joy
  作者单位：University of Chicago; Bogazici University; Western University (University of Western Ontario); Boston College
  摘要：Nonprofit organizations that provide food, shelter, and other services to people in need, rely on volunteers to deliver their services. Unlike paid labor, nonprofit organizations have less control over unpaid volunteers' schedules, efforts, and reliability. However, these organizations can invest in volunteer engagement activities to ensure a steady and adequate supply of volunteer labor. We study a key operational question of how a nonprofit organization can manage its volunteer workforce cap...
• Dynamic Placement in Refugee Resettlement AI翻译
  作者：Ahani, Narges; Golz, Paul; Procaccia, Ariel D.; Teytelboym, Alexander; Trapp, Andrew C.
  作者单位：Bank of America Corporation; Harvard University; University of Oxford; Worcester Polytechnic Institute; Worcester Polytechnic Institute
  摘要：Employment outcomes of resettled refugees depend strongly on where they are initially placed in the host country. Each week, a resettlement agency is allocated a set of refugees by the U.S. government. The agency must place these refugees in its local affiliates while respecting the affiliates' annual capacities. We develop an allocation system that recommends where to place an incoming refugee family to improve total employment success. Our algorithm is based on two-stage stochastic programmi...