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作者：Albrecher, Hansjoerg; Goffard, Pierre-Olivier
作者单位：University of Lausanne; Swiss Finance Institute (SFI); Universite Claude Bernard Lyon 1
摘要：Mining blocks on a blockchain equipped with a proof of work consensus protocol is well known to be resource consuming. A miner bears the operational cost, mainly electricity consumption and IT gear, of mining and is compensated by a capital gain when a block is discovered. This paper aims at quantifying the profitability of mining when the possible event of ruin is also considered. This is done by formulating a tractable stochastic model and using tools from applied probability and analysis, i...
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作者：Albert, Michael; Conitzer, Vincent; Lopomo, Giuseppe; Stone, Peter
作者单位：University of Virginia; Duke University; Duke University; University of Texas System; University of Texas Austin
摘要：Traditionally, the mechanism design literature has been primarily focused on settings where the bidders' valuations are independent. However, in settings where valuations are correlated, much stronger results are possible. For example, the entire surplus of efficient allocations can be extracted as revenue. These stronger results are true, in theory, under generic conditions on parameter values. However, in practice, they are rarely, if ever, implementable because of the stringent requirement ...
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作者：Fu, Jing; Moran, Bill; Taylor, Peter G.
作者单位：University of Melbourne; University of Melbourne
摘要：We study a resource allocation problem with varying requests and with resources of limited capacity shared by multiple requests. It is modeled as a set of heterogeneous restless multiarmed bandit problems (RMABPs) connected by constraints imposed by resource capacity. Following Whittle's relaxation idea and Weber and Weiss' asymptotic optimality proof, we propose a simple policy and prove it to be asymptotically optimal in a regime where both arrival rates and capacities increase. We provide a...
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作者：Wu, Chenguang (Allen); Bassamboo, Achal; Perry, Ohad
作者单位：Hong Kong University of Science & Technology; Northwestern University; Northwestern University
摘要：As empirically observed in restaurants, call centers, and intensive care units, service times needed by customers are often related to the delay they experience in queue. Two forms of dependence mechanisms in service systems with customer abandonment immediately come to mind: First, the service requirement of a customer may evolve while waiting in queue, in which case the service time of each customer is endogenously determined by the system's dynamics. Second, customers may arrive (exogenousl...
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作者：Bertsimas, Dimitris; Kodur, Nihal
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：We present two methods, based on regression in reproducing kernel Hilbert spaces, for solving an optimization problem with uncertain parameters for which we have historical data, including auxiliary data. The first method approximates the objective function and the second approximates the optimizer. We provide finite sample guarantees and prove asymptotic optimality for both methods. Computational experiments suggest that at least the second method overcomes a curse of dimensionality that affl...
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作者：Farias, Vivek F.; Gutin, Eli
作者单位：Massachusetts Institute of Technology (MIT); Uber Technologies, Inc.
摘要：Recent years have seen a resurgence of interest in Bayesian algorithms for the multiarmed bandit (MAB) problem, such as Thompson sampling. These algorithms seek to exploit prior information on arm biases. The empirically observed performance of these algorithms makes them a compelling alternative to their frequentist counterparts. Nonetheless, there appears to be a wide range in empirical performance among such Bayesian algorithms. These algorithms also vary substantially in their design (as o...
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作者：Validi, Hamidreza; Buchanan, Austin; Lykhovyd, Eugene
作者单位：Rice University; Oklahoma State University System; Oklahoma State University - Stillwater; Texas A&M University System; Texas A&M University College Station
摘要：Beginning in the 1960s, techniques from operations research began to be used to generate political districting plans. A classical example is the integer programming model of Hess et al. [Hess SW, Weaver JB, Siegfeldt HJ, Whelan JN, Zitlau PA (1965) Oper. Res. 13(6):998-1006.]. Because of the model's compactness-seeking objective, it tends to generate contiguous or nearly contiguous districts, although none of the model's constraints explicitly impose contiguity. Consequently, Hess et al. had t...
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作者：Xin, Linwei
作者单位：University of Chicago
摘要：Stochastic inventory systems with lead times are often challenging to optimize, including single-sourcing lost-sales and dual-sourcing inventory systems. Recent numerical results suggest that capped policies demonstrate superior performance over existing heuristics. However, the superior performance lacks a theoretical foundation, and why such policies generally perform so well remains a major open question. In this paper, we provide a theoretical foundation for this phenomenon in two classica...
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作者：Besbes, Omar; Elmachtoub, N. Adam; Sun, Yunjie
作者单位：Columbia University; Columbia University; Columbia University; Columbia University
摘要：We consider a fundamental pricing model in which a fixed number of units of a reusable resource are used to serve customers. Customers arrive to the system according to a stochastic process and, upon arrival, decide whether to purchase the service, depending on their willingness to pay and the current price. The service time during which the resource is used by the customer is stochastic, and the firm may incur a service cost. This model represents various markets for reusable resources, such ...
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作者：Miao, Sentao; Jasin, Stefanus; Chao, Xiuli
作者单位：McGill University; University of Michigan System; University of Michigan; University of Michigan System; University of Michigan
摘要：We consider a periodic-review inventory control problem for the Multi Warehouse Multi-Store system with lost sales. We focus on a time horizon during which the systemreceives no external replenishment. Specifically, each warehouse has a finite initial inventory at the beginning of the horizon, which is then periodically allocated to the stores in each period in order to minimize the total expected lost-sales costs, holding costs, and shipping costs. This is a hard problem and the structure of ...
