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作者：Georghiou, Angelos; Tsoukalas, Angelos; Wiesemann, Wolfram
作者单位：McGill University; American University of Beirut; Imperial College London
摘要：Two-stage robust optimization problems, in which decisions are taken both in anticipation of and in response to the observation of an unknown parameter vector from within an uncertainty set, are notoriously challenging. In this paper, we develop convergent hierarchies of primal (conservative) and dual (progressive) bounds for these problems that trade off the competing goals of tractability and optimality: Although the coarsest bounds recover a tractable but suboptimal affine decision rule app...
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作者：Kettunen, Janne; Lejeune, Miguel A.
作者单位：George Washington University
摘要：The periodic selection of new product development (NPD) projects is a crucial operational decision. The main goals of start-up companies in NPD are to attain a reliable return level and deliver this return level fast. Achieving these goals is complicated because of uncertainties in projects' returns and durations. We develop new disjunctive stochastic programming models that capture the above-mentioned NPD goals. The first stochastic model is static, representing the traditional waterfall prod...
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作者：Ban, Gah-Yi
作者单位：University of London; London Business School
摘要：We revisit the classical dynamic inventory management problem of Scarf [Scarf H (1959b) The optimality of (s, S) policies in the dynamic inventory problem. Arrow KJ, Karlin S, Suppes P, eds. Mathematical Methods in the Social Science (Stanford University Press, Stanford, CA), 196-202.] from the perspective of a decision maker who has n historical selling seasons of data and must make ordering decisions for the upcoming season. We develop a nonparametric estimation procedure for the (S, s) poli...
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作者：Ouyang, Huiyin; Argon, Nilay Tanik; Ziya, Serhan
作者单位：University of Hong Kong; University of North Carolina; University of North Carolina Chapel Hill
摘要：The objective of this paper is to use mathematical modeling and analysis to develop insights into and policies for making bed allocation decisions in an intensive care unit (ICU) of a hospital during periods when patient demand is high. We first develop a stylized mathematical model in which patients' health conditions change over time according to a Markov chain. In this model, each patient is in one of two possible health stages, one representing the critical and the other representing the h...
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作者：Lu, Xuefei; Rudi, Alessandro; Borgonovo, Emanuele; Rosasco, Lorenzo
作者单位：Bocconi University; Universite PSL; Ecole Normale Superieure (ENS); Inria; University of Genoa; Massachusetts Institute of Technology (MIT); Istituto Italiano di Tecnologia - IIT
摘要：Kriging is one of the most widely used emulation methods in simulation. However, memory and time requirements potentially hinder its application to data sets generated by high-dimensional simulators. We borrow from the machine learning literature to propose a new algorithmic implementation of kriging that, while preserving prediction accuracy, notably reduces time and memory requirements. The theoretical and computational foundations of the algorithm are provided. The work then reports results...
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作者：Le Thi Khanh Hien; Sim, Melvyn; Xu, Huan
作者单位：University of Mons; National University of Singapore
摘要：We study a network fortification problem on a directed network that channels single-commodity resources to fulfill random demands delivered to a subset of the nodes. For given a realization of demands, the malicious interdictor would disrupt the network in a manner that would maximize the total demand shortfalls subject to the interdictor's constraints. To mitigate the risk of such shortfalls, a network's operator can fortify it by providing additional network capacity and/or protecting the no...
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作者：Haviv, Avery
作者单位：University of Rochester
摘要：In this paper I develop a cyclic value function iteration, which is an adjustment to the standard value function iteration. When using this algorithm, the inclusion of cyclic variables of any size into the state space of an infinite horizon Markov decision process does not increase the computational complexity of solving for the value function. This result is proven theoretically and shown to closely hold in practice using Monte Carlo simulations.
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作者：Bagaria, Vivek; Ding, Jian; Tse, David; Wu, Yihong; Xu, Jiaming
作者单位：Stanford University; University of Pennsylvania; Yale University; Duke University
摘要：We introduce the problem of hidden Hamiltonian cycle recovery, where there is an unknown Hamiltonian cycle in an n-vertex complete graph that needs to be inferred from noisy edge measurements. The measurements are independent and distributed according to P-n for edges in the cycle and Q(n) otherwise. This formulation is motivated by a problem in genome assembly, where the goal is to order a set of contigs (genome subsequences) according to their positions on the genome using long-range linking...
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作者：Russo, Daniel
作者单位：Columbia University
摘要：This paper considers the optimal adaptive allocation of measurement effort for identifying the best among a finite set of options or designs. An experimenter sequentially chooses designs to measure and observes noisy signals of their quality with the goal of confidently identifying the best design after a small number of measurements. This paper proposes three simple and intuitive Bayesian algorithms for adaptively allocating measurement effort and formalizes a sense in which these seemingly n...
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作者：Chen, Mingliu; Sun, Peng; Xiao, Yongbo
作者单位：Duke University; Tsinghua University
摘要：Consider a setting in which a principal induces effort from an agent to reduce the arrival rate of a Poisson process of adverse events. The effort is costly to the agent and unobservable to the principal unless the principal is monitoring the agent. Monitoring ensures effort but is costly to the principal. The optimal contract involves monetary payments and monitoring sessions that depend on past arrival times. We formulate the problem as a stochastic optimal control model and solve the proble...
