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作者：Parmentier, Axel
作者单位：Institut Polytechnique de Paris; Ecole des Ponts ParisTech
摘要：Practitioners of operations research often consider difficult variants of well-known optimization problems and struggle to find a good algorithm for their variants although decades of research have produced highly efficient algorithms for the well-known problems. We introduce a machine learning for operations research paradigm to build efficient heuristics for such variants: use a machine learning predictor to turn an instance of the variant into an instance of the well-known problem, then sol...
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作者：Bichuch, Maxim; Feinstein, Zachary
作者单位：Johns Hopkins University; Stevens Institute of Technology
摘要：In this work we present an equilibrium formulation for price impacts. This is motivated by the Buhlmann equilibrium in which assets are sold into a system of market participants, for example, a fire sale in systemic risk, and can be viewed as a generalization of the Esscher premium. Existence and uniqueness of clearing prices for the liquidation of a portfolio are studied. We also investigate other desired portfolio properties including monotonicity and concavity. Price per portfolio unit sold...
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作者：Cohen, Maxime C.; Zhang, Renyu; Jiao, Kevin
作者单位：McGill University; Chinese University of Hong Kong; New York University
摘要：We study how retailers can use data aggregation and clustering to improve demand prediction. High accuracy in demand prediction allows retailers to effectively manage their inventory as well as mitigate stock-outs and excess supply. A typical retail setting involves predicting demand for hundreds of items simultaneously. Although some items have a large amount of historical data, others were recently introduced and, thus, transaction data can be scarce. A common approach is to cluster several ...
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作者：Keppo, Jussi; Kim, Michael Jong; Zhang, Xinyuan
作者单位：National University of Singapore; National University of Singapore; University of British Columbia
摘要：We study optimal manipulation of a Bayesian learner through adaptive provisioning of information. The problem is motivated by settings in which a firm can disseminate possibly biased information at a cost, to influence the public's belief about a hidden parameter related to the firm's payoffs. For example, firms advertise to sell products. We study a sequential optimizationmodel in which the firmdynamically decides on the quantity and content of information sent to the public, aiming to maximi...
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作者：Wang, Yining; Wang, He
作者单位：State University System of Florida; University of Florida; University System of Georgia; Georgia Institute of Technology
摘要：Price-based revenue management is an important problem in operations management with many practical applications. The problemconsiders a sellerwho sells one ormultiple products over T consecutive periods and is subject to constraints on the initial inventory levels of resources. Whereas, in theory, the optimal pricing policy could be obtained via dynamic programming, computing the exact dynamic programming solution is often intractable. Approximate policies, such as the resolving heuristics, a...
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作者：Zhalechian, Mohammad; Keyvanshokooh, Esmaeil; Shi, Cong; Van Oyen, Mark P.
作者单位：University of Michigan System; University of Michigan; Texas A&M University System; Texas A&M University College Station
摘要：Joint online learning and resource allocation is a fundamental problem inherent in many applications. In a general setting, heterogeneous customers arrive sequentially, each of which can be allocated to a resource in an online fashion. Customers stochastically consume the resources, allocations yield stochastic rewards, and the system receives feedback outcomes with delay. We introduce a generic framework that judiciously synergizes online learning with a broad class of online resource allocat...
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作者：Anderson, Edward; Chen, Bo; Shao, Lusheng
作者单位：University of Sydney; Imperial College London; University of Warwick; University of Melbourne
摘要：We introduce a general model for suppliers competing for a buyer's procurement business. The buyer faces uncertain demand, and there is a requirement to reserve capacity in advance of knowing the demand. Each supplier has costs that are twodimensional, with some capacity costs incurred prior to production and some production costs incurred at the time of delivery. These costs are general functions of quantity, and this naturally leads us to a supply function competition framework in which each...
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作者：Allouah, Amine; Bahamou, Achraf; Besbes, Omar
作者单位：Facebook Inc; Columbia University; Columbia University
摘要：In the present paper, we study a fundamental data-driven pricing problem: how should a decision maker (optimally) price based on a finite and limited number of samples from the customers' value distribution. The decision maker's objective is to select a general pricing policy with maximum worst-case ratio of revenue compared with an oracle with knowledge of the value distribution, when the latter is only known to belong to some general nonparametric class. We study achievable performance for t...
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作者：Conitzer, Vincent; Kroer, Christian; Sodomka, Eric; Stier-Moses, Nicolas E.
作者单位：Duke University; Columbia University; Facebook Inc
摘要：Budgets play a significant role in real-world sequential auction markets such as those implemented by internet companies. To maximize the value provided to auction participants, spending is smoothed across auctions so budgets are used for the best opportunities. Motivated by a mechanism used in practice by several companies, this paper considers a smoothing procedure that relies on pacing multipliers: on behalf of each buyer, the auction market applies a factor between 0 and 1 that uniformly s...
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作者：Zhong, Ying; Hong, L. Jeff
作者单位：University of Electronic Science & Technology of China; Fudan University; Fudan University
摘要：On one hand, large-scale ranking and selection (R&S) problems require a large amount of computation. On the other hand, parallel computing environments that provide a large capacity for computation are becoming prevalent today, and they are accessible by ordinary users. Therefore, solving large-scale R&S problems in parallel computing environments has emerged as an important research topic in recent years. However, directly implementing traditional stagewise procedures and fully sequential pro...
