Operations Research eJournal最新文献_第9页

Online Decision-Making with High-Dimensional Covariates 具有高维协变量的在线决策

Operations Research eJournal Pub Date : 2015-06-05 DOI: 10.2139/ssrn.2661896

Hamsa Bastani, M. Bayati

{"title":"Online Decision-Making with High-Dimensional Covariates","authors":"Hamsa Bastani, M. Bayati","doi":"10.2139/ssrn.2661896","DOIUrl":"https://doi.org/10.2139/ssrn.2661896","url":null,"abstract":"Big data has enabled decision-makers to tailor decisions at the individual-level in a variety of domains such as personalized medicine and online advertising. This involves learning a model of decision rewards conditional on individual-specific covariates. In many practical settings, these covariates are high-dimensional; however, typically only a small subset of the observed features are predictive of a decision's success. We formulate this problem as a multi-armed bandit with high-dimensional covariates, and present a new efficient bandit algorithm based on the LASSO estimator. Our regret analysis establishes that our algorithm achieves near-optimal performance in comparison to an oracle that knows all the problem parameters. The key step in our analysis is proving a new oracle inequality that guarantees the convergence of the LASSO estimator despite the non-i.i.d. data induced by the bandit policy. Furthermore, we illustrate the practical relevance of our algorithm by evaluating it on a real-world clinical problem of warfarin dosing. A patient's optimal warfarin dosage depends on the patient's genetic profile and medical records; incorrect initial dosage may result in adverse consequences such as stroke or bleeding. We show that our algorithm outperforms existing bandit methods as well as physicians to correctly dose a majority of patients.","PeriodicalId":275253,"journal":{"name":"Operations Research eJournal","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123571115","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 245

Solving a Real-Life VRP with Inter-Route and Intra-Route Challenges 解决现实生活中存在路由间和路由内挑战的VRP

Operations Research eJournal Pub Date : 2015-05-26 DOI: 10.2139/ssrn.2610549

J. Gromicho, S. Haneyah, L. Kok

引用次数: 6

Diffusion Limit of Fair Resource Control -- Stationarity and Interchange of Limits 公平资源控制的扩散极限——极限的平稳性与互换性

Operations Research eJournal Pub Date : 2015-03-17 DOI: 10.2139/ssrn.2579541

H. Ye, D. Yao

{"title":"Diffusion Limit of Fair Resource Control -- Stationarity and Interchange of Limits","authors":"H. Ye, D. Yao","doi":"10.2139/ssrn.2579541","DOIUrl":"https://doi.org/10.2139/ssrn.2579541","url":null,"abstract":"We study a resource-sharing network where each job requires the concurrent occupancy of a subset of links (servers/resources), and each link’s capacity is shared among job classes that require its service. The real-time allocation of the service capacity among job classes is determined by the so-called “proportional fair” scheme, which allocates the capacity among job classes taking into account the queue lengths and the shadow prices of link capacity. We show that the usual traffic condition is necessary and sufficient for the diffusion limit to have a stationary distribution. We also establish the uniform stability of the prelimit networks, and hence the existence of their stationary distributions. To justify the interchange of two limits, the limit in time and limit in diffusion scaling, we identify a bounded workload condition, and show it is a sufficient condition to justify the interchange for the stationary distributions and their moments. This last result is essential for the validity of the diffusion limit as an approximation to the stationary performance of the original network. We present a set of examples to illustrate justifying the validity of diffusion approximation in resource-sharing networks, and also discuss extensions to other multiclass networks via the well-known Kumar-Seidman/Rybko-Stolyar model.","PeriodicalId":275253,"journal":{"name":"Operations Research eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130584102","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 6

An Empirical Study of the Effect of the Internet on Fares in the U.S. Airline Industry. 互联网对美国航空业票价影响的实证研究。

Operations Research eJournal Pub Date : 2015-02-27 DOI: 10.23895/KDIJEP.2015.37.1.1

Hwaryung Lee

引用次数: 0

From Group Data to Useful Probabilities: The Relevance of Actuarial Risk Assessment in Individual Instances 从群体数据到有用概率:精算风险评估在个体实例中的相关性

Operations Research eJournal Pub Date : 2014-11-25 DOI: 10.2139/ssrn.2372101

D. Mossman

引用次数: 39

Learning to Coordinate in Social Networks 学会在社交网络中协调

Operations Research eJournal Pub Date : 2014-11-05 DOI: 10.2139/ssrn.2292124

Pooya Molavi, Ceyhun Eksin, Alejandro Ribeiro, A. Jadbabaie

引用次数: 19

Four Border Structures in GCM (Small Addition to the 'Garbage Can Model: Reconstruction and Logical Analysis') GCM中的四种边界结构(“垃圾桶模型”的小补充:重构与逻辑分析)

Operations Research eJournal Pub Date : 2014-11-05 DOI: 10.2139/ssrn.2519433

I. Smarzhevskiy

{"title":"Four Border Structures in GCM (Small Addition to the 'Garbage Can Model: Reconstruction and Logical Analysis')","authors":"I. Smarzhevskiy","doi":"10.2139/ssrn.2519433","DOIUrl":"https://doi.org/10.2139/ssrn.2519433","url":null,"abstract":"For efficient operation of the collective decision making system, described by garbage can model (Cohen M., March J., Olsen J., 1972. A Garbage Can Model of Organizational Choice), the structure of the access problems and managers to the choices is crucial. The logic of the system is studied and developed a scheme that allows for arbitrary even N to get the probability distribution of the number of resolved problems and the types of decisions. For the case of arbitrary dimension of decision-making system and the three types of structures: 1) specialized access structure with specialized decision structure 2) unsegmented access structure with specialized decision structure 3) specialized access structure with unsegmented decision structure, in different types of energy load, an analytical solution: set the maximum number of problems that can be solved and obtained the probability distribution of outcomes.A comparison of the effectiveness of the system for four border options for the organizational structure: the one previously studied, and the three discussed in the article. The examples of the probability distribution of outcomes in the system dimension is ten, which is the subject of a number of studies that reconstruct the original model code and verified the results. The correspondence complexity of problems types of organizational structure, in which the decision-making system works most effectively.The work is a continuation of the previously published working paper “Garbage Can Model: Reconstruction and Logical Analysis” (http://ssrn.com/abstract=2490388).","PeriodicalId":275253,"journal":{"name":"Operations Research eJournal","volume":"2017 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-11-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114967728","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Robustness of Capacity and Energy-Only Markets - A Stochastic Dynamic Capacity Investment Model 产能和纯能源市场的鲁棒性——一个随机动态产能投资模型

Operations Research eJournal Pub Date : 2014-10-11 DOI: 10.2139/ssrn.2508696

Daniel Hach, S. Spinler

{"title":"Robustness of Capacity and Energy-Only Markets - A Stochastic Dynamic Capacity Investment Model","authors":"Daniel Hach, S. Spinler","doi":"10.2139/ssrn.2508696","DOIUrl":"https://doi.org/10.2139/ssrn.2508696","url":null,"abstract":"We present a multi-feature stochastic dynamic capacity investment model that includes realistic investor behavior. The long-term investment model includes features, such as strategic bidding of generators, price elasticity of demand, and ramping constraints. It incorporates an iterative procedure of finding a sensible electricity price forecast closely depicting real-world investor behavior in a single computable model.Using this model, we assess the robustness and the total bill of generation of a capacity market compared to an energy-only market as capacity markets are increasingly considered worldwide due to rising feed-in from renewables. To estimate unplanned unavailabilities, we analyze a novel data set of the European Energy Exchange describing unplanned unavailability incidents. Applying the model to the Great Britain market, we find that capacity markets are more robust to unplanned unavailabilities of conventional generation in terms of the total bill of generation and price volatility. At the same time, capacity markets induce additional costs through capacity payments. Therefore, we jointly analyze the total bill of generation and the robustness with different levels of reserve margins. Our results show that there is a promising area of efficient trade-offs between the two targets affordability and reliability in the range of reserve margins between 0 and 15%.","PeriodicalId":275253,"journal":{"name":"Operations Research eJournal","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121764523","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Crossing in Soccer has a Strong Negative Impact on Scoring: Evidence from the English Premier League the German Bundesliga and the World Cup 2014 足球比赛中的传中对进球有强烈的负面影响:来自英超、德甲和2014年世界杯的证据

Operations Research eJournal Pub Date : 2014-09-30 DOI: 10.2139/ssrn.2225728

J. Vecer

引用次数: 10

Intertemporal Price Discrimination: Structure and Computation of Optimal Policies 跨期价格歧视:最优政策的结构与计算

Operations Research eJournal Pub Date : 2014-08-06 DOI: 10.2139/ssrn.2126312

Omar Besbes, I. Lobel

{"title":"Intertemporal Price Discrimination: Structure and Computation of Optimal Policies","authors":"Omar Besbes, I. Lobel","doi":"10.2139/ssrn.2126312","DOIUrl":"https://doi.org/10.2139/ssrn.2126312","url":null,"abstract":"We study a firm's optimal pricing policy under commitment. The firm's objective is to maximize its long-term average revenue given a steady arrival of strategic customers. In particular, customers arrive over time, are strategic in timing their purchases, and are heterogeneous along two dimensions: their valuation for the firm's product and their willingness to wait before purchasing or leaving. The customers' patience and valuation may be correlated in an arbitrary fashion. For this general formulation, we prove that the firm may restrict attention to cyclic pricing policies, which have length, at most, twice the maximum willingness to wait of the customer population. To efficiently compute optimal policies, we develop a dynamic programming approach that uses a novel state space that is general, capable of handling arbitrary problem primitives, and that generalizes to finite horizon problems with nonstationary parameters. We analyze the class of monotone pricing policies and establish their suboptimality in general. Optimal policies are, in a typical scenario, characterized by nested sales, where the firm offers partial discounts throughout each cycle, offers a significant discount halfway through the cycle, and holds its largest discount at the end of the cycle. We further establish a form of equivalence between the problem of pricing for a stream of heterogeneous strategic customers and pricing for a pool of heterogeneous customers who may stockpile units of the product. \u0000 \u0000This paper was accepted by Yossi Aviv, operations management.","PeriodicalId":275253,"journal":{"name":"Operations Research eJournal","volume":"595 2","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120875953","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 113