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作者：Kleinert, Thomas; Labbe, Martine; Plein, Fraenk; Schmidt, Martin
作者单位：University of Erlangen Nuremberg; Universite Libre de Bruxelles; Universitat Trier
摘要：One of the most frequently used approaches to solve linear bilevel optimization problems consists in replacing the lower-level problem with its Karush-Kuhn-Tucker (KKT) conditions and by reformulating the KKT complementarity conditions using techniques from mixed-integer linear optimization. The latter step requires to determine some big-M constant in order to bound the lower level's dual feasible set such that no bilevel-optimal solution is cut off. In practice, heuristics are often used to f...
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作者：Nadarajah, Selvaprabu; Cire, Andre A.
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; University of Toronto; University Toronto Scarborough; University of Toronto
摘要：We present relaxations for discrete optimization problems using approximate linear programs (ALPs) defined on multiple networks that represent different state-space aggregations. Our network ALP leverages information across these networks using a piecewise-constant value function approximation, and its optimistic bound is theoretically guaranteed to weakly improve upon the bounds from the individual networks used in its construction. Solving network ALPs is challenging because of its large num...
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作者：Xu, Yuqian; Zhu, Lingjiong; Pinedo, Michael
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; State University System of Florida; Florida State University; New York University
摘要：In this paper, we propose a general modeling framework for operational risk management of financial firms. We consider operational risk events as shocks to a financial firm's value process and then study capital investments under preventive and corrective controls to mitigate risk losses. The optimal decisions are made in three scenarios: (i) preventive control only, (ii) corrective control only, and (iii) joint controls. We characterize the optimal control policies within a general modeling f...
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作者：Colini-Baldeschi, Riccardo; Cominetti, Roberto; Mertikopoulos, Panayotis; Scarsini, Marco
作者单位：Facebook Inc; Universidad Adolfo Ibanez; Inria; Communaute Universite Grenoble Alpes; Institut National Polytechnique de Grenoble; Universite Grenoble Alpes (UGA); Centre National de la Recherche Scientifique (CNRS); Luiss Guido Carli University
摘要：This paper examines the behavior of the price of anarchy as a function of the traffic inflow in nonatomic congestion games with multiple origin/destination (O/D) pairs. Empirical studies in real-world networks show that the price of anarchy is close to 1 in both light and heavy traffic, thus raising the following question: can these observations be justified theoretically? We first show that this is not always the case: the price of anarchy may remain a positive distance away from 1 for all va...
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作者：Xie, Weijun; Ahmed, Shabbir
作者单位：Virginia Polytechnic Institute & State University; University System of Georgia; Georgia Institute of Technology
摘要：A chance-constrained optimization problem involves constraints with random data that can be violated with probability bounded from above by a prespecified small risk parameter. Such constraints are used to model reliability requirements in a variety of application areas, such as finance, energy, service, and manufacturing. Except under very special conditions, chance-constrained problems are extremely difficult. There has been a great deal of elegant work on developing tractable approximations...
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作者：Yang, Jiankui; Yao, David D.; Ye, Heng-Qing
作者单位：Beijing University of Posts & Telecommunications; Columbia University; Hong Kong Polytechnic University
摘要：The goal of this paper is to illustrate the optimality of reflection control in three different settings, to bring out their connections and to contrast their distinctions. First, we study the control of a Brownian motion with a negative drift, so as to minimize a long-run average cost objective. Weprove the optimality of the reflection control, which prevents the Brownian motion from dropping below a certain level by cancelling out from time to time part of the negative drift; and we show tha...
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作者：Kallus, Nathan; Udell, Madeleine
作者单位：Cornell University
摘要：We study the problem of dynamic assortment personalization with large, heterogeneous populations and wide arrays of products, and demonstrate the importance of structural priors for effective, efficient large-scale personalization. Assortment personalization is the problem of choosing, for each individual (type), a best assortment of products, ads, or other offerings (items) so as to maximize revenue. This problem is central to revenue management in e-commerce and online advertising where both...
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作者：Xuan Vinh Doan; Tri-Dung Nguyen
作者单位：University of Warwick; University of Southampton
摘要：In classical newsvendor games, vendors collaborate to serve their aggregate demand whose joint distribution is assumed known with certainty. We investigate a new class of newsvendor games with ambiguity in the joint demand distributions, which is represented by a Frechet class of distributions with some, possibly overlapping, marginal information. To model this new class of games, we use ideas from distributionally robust optimization to handle distributional ambiguity and study the robust new...
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作者：Ata, Baris; Peng, Xiaoshan
作者单位：University of Chicago; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：This paper studies the callback option as an instrument to effectively mitigate congestion due to temporary surges in arrivals to a call center. The call arrival process can be an arbitrary point process, allowing uncertainty and temporary surges in the arrival rate, provided that the system is stable. When a customer arrives, the call center manager examines the system state and decides whether to offer the incoming customer the callback option. When the callback option is offered, the custom...
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作者：Ebert, Sebastian
作者单位：Frankfurt School Finance & Management; Tilburg University
摘要：This article gives a comprehensive treatment of preferences regarding time risk-the risk of something happening sooner or later-within the expected discounted utility model. We characterize the signs of the discount function's derivatives of all orders and show how these signs are decisive for time risk preferences. We introduce the notions of prudent and temperate discounting and illustrate their importance for economic behavior. Several applications in which an important event is only a matt...
