Operations Research

最新文章

• Dual Bounds for Periodical Stochastic Programs AI翻译
  作者：Shapiro, Alexander; Cheng, Yi
  作者单位：University System of Georgia; Georgia Institute of Technology
  摘要：In this paper, we discuss construction of the dual of a periodical formulation of infinite-horizon linear stochastic programs with a discount factor. The dual problem is used for computing a deterministic upper bound for the optimal value of the considered multistage stochastic program. Numerical experiments demonstrate behavior of that upper bound, especially when the discount factor is close to one.
• The Price of Incentivizing Exploration: A Characterization via Thompson Sampling and Sample Complexity AI翻译
  作者：Sellke, Mark; Slikvins, Aleksandrs
  作者单位：Institute for Advanced Study - USA; Microsoft
  摘要：We consider incentivized exploration: a version of multiarmed bandits where the choice of arms is controlled by self-interested agents and the algorithm can only issue recommendations. The algorithm controls the flow of information, and the information asymmetry can incentivize the agents to explore. Prior work achieves optimal regret rates up to multiplicative factors that become arbitrarily large depending on the Bayesian priors and scale exponentially in the number of arms. A more basic pro...
• Pricing Under Uncertainty in Multi-Interval Real-Time Markets AI翻译
  作者：Cho, Jehum; Papavasiliou, Anthony
  摘要：Recent research has demonstrated that real-time auctions can generate the need for side payments, even if the market clearing models are convex, because of the rolling nature of real-time market clearing. This observation has inspired proposals for modifying the real-time market-clearing model in order to account for binding past decisions. We extend this analysis in order to account for uncertainty by proposing a real-time market clearing model with look-ahead and an endogenous representation...
• A Robust Spectral Clustering Algorithm for Sub-Gaussian Mixture Models with Outliers AI翻译
  作者：Srivastava, Prateek R.; Sarkar, Purnamrita; Hanasusanto, Grani A.
  作者单位：University of Texas System; University of Texas Austin; University of Texas System; University of Texas Austin; University of Texas System; University of Texas Austin
  摘要：We consider the problem of clustering data sets in the presence of arbitrary outliers. Traditional clustering algorithms such as k-means and spectral clustering are known to perform poorly for data sets contaminated with even a small number of outliers. In this paper, we develop a provably robust spectral clustering algorithm that applies a simple rounding scheme to denoise a Gaussian kernel matrix built from the data points and uses vanilla spectral clustering to recover the cluster labels of...
• Stochastic Scheduling with Abandonment: Necessary and Sufficient Conditions for the Optimality of a Strict Priority Policy AI翻译
  作者：Chen, Gang; Gayon, Jean-Philippe; Lemaire, Pierre
  作者单位：Guangzhou University; IMT - Institut Mines-Telecom; Mines Saint-Etienne; Centre National de la Recherche Scientifique (CNRS); Universite Clermont Auvergne (UCA); Polytechnic Institute of Clermont Auvergne; Communaute Universite Grenoble Alpes; Institut National Polytechnique de Grenoble; Universite Grenoble Alpes (UGA); Centre National de la Recherche Scientifique (CNRS)
  摘要：We consider a stochastic scheduling problem in clearing systems with two types of jobs, each characterized by a general service time distribution, an exponentially distributed lifetime, and a reward. A job abandons the system if its waiting time in the queue is larger than its lifetime. Preemption is not allowed. The objective is to maximize the total expected reward. When service times are homogeneous, we provide a set of necessary and sufficient conditions for the optimality of a strict prio...
• An Alternating Direction Method of Multipliers-Based Distributed Optimization Method for Solving Security-Constrained Alternating Current Optimal Power Flow AI翻译
  作者：Gholami, Amin; Sun, Kaizhao; Zhang, Shixuan; Sun, Xu Andy
  作者单位：Brown University; Massachusetts Institute of Technology (MIT)
  摘要：In this paper, we study efficient and robust computational methods for solving the security-constrained alternating current optimal power flow (SC-ACOPF) problem, a two-stage nonlinear optimization problem with disjunctive constraints, that is central to the operation of electric power grids. The first-stage problem in SC-ACOPF determines the operation of the power grid in normal condition, whereas the second-stage problem responds to various contingencies of losing generators, transmission li...
• Customized Dynamic Pricing When Customers Develop a Habit or Satiation AI翻译
  作者：Chen, Wen; He, Ying; Bansal, Saurabh
  作者单位：Providence College; University of Southern Denmark; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
  摘要：We study a dynamic pricing problem in which a firm chooses prices over multiple periods when consumers are state dependent; that is, they develop a habit or satiation from their past consumption. We first derive an intertemporal demand function to capture how demand in one period depends on the price in that period and consumption in previous periods through habit or satiation. Subsequently, we formulate the optimal price setting problem for a firm over a multiperiod horizon. We establish that...
• Revenue Management with Heterogeneous Resources: Unit Resource Capacities, Advance Bookings, and Itineraries over Time Intervals AI翻译
  作者：Rusmevichientong, Paat; Sumida, Mika; Topaloglu, Huseyin; Bai, Yicheng
  作者单位：University of Southern California
  摘要：We study revenue management problems with heterogeneous resources, each with unit capacity. An arriving customer makes a booking request for a particular interval of days in the future. We offer an assortment of resources in response to each booking request. The customer makes a choice within the assortment to use the chosen resource for her desired interval of days. The goal is to find a policy that determines an assortment of resources to offer to each customer to maximize the total expected...
• The Stability of MNL-Based Demand Under Dynamic Customer Substitution and Its Algorithmic Implications AI翻译
  作者：Aouad, Ali; Segev, Danny
  作者单位：University of London; London Business School; Tel Aviv University
  摘要：We study the dynamic assortment planning problem under the widely utilized multinomial logit choice model (MNL). In this single-period assortment optimization and inventory management problem, the retailer jointly decides on an assortment, that is, a sub-set of products to be offered, as well as on the inventory levels of these products, aiming to maximize the expected revenue subject to a capacity constraint on the total number of units stocked. The demand process is formed by a stochastic st...
• On Finite Adaptability in Two-Stage Distributionally Robust Optimization AI翻译
  作者：Han, Eojin; Bandi, Chaithanya; Nohadani, Omid
  作者单位：Southern Methodist University; National University of Singapore
  摘要：In many real applications, practitioners prefer policies that are interpretable and easy to implement. This tendency is magnified in sequential decision-making settings. In this paper, we leverage the concept of finite adaptability to construct policies for two-stage optimization problems. More specifically, we focus on the general setting of distributional uncertainties affecting the right-hand sides of constraints, because in a broad range of applications, uncertainties do not affect the obj...