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This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective functional balances the expected utility and variance on log…
We treat uncertain linear programming problems by utilizing the notion of weighted analytic centers and notions from the area of multi-criteria decision making. After introducing our approach, we develop interactive cutting-plane algorithms…
The problem of demand inversion - a crucial step in the estimation of random utility discrete-choice models - is equivalent to the determination of stable outcomes in two-sided matching models. This equivalence applies to random utility…
The recovery of society after a large scale disaster generally consists of two phases, short- and long-term recoveries. The problem of short-term recovery is rather close to the problem of resilience in their goal, namely, bouncing the…
We consider the problem of online dynamic power management that provides hard real-time guarantees. In this problem, each of the given jobs is associated with an arrival time, a deadline, and an execution time, and the objective is to…
Windowed recurrences are sliding window calculations where a function is applied iteratively across the window of data, and are ubiquitous throughout the natural, social, and computational sciences. In this monograph we explore the…
In this paper, we present long-awaited algorithmic advances toward the efficient construction of near-optimal replenishment policies for a true inventory management classic, the economic warehouse lot scheduling problem. While this paradigm…
The problem of portfolio optimization when stochastic factors drive returns and volatilities has been studied in previous works by the authors. In particular, they proposed asymptotic approximations for value functions and optimal…
The reciprocal function, 1/x, is important for many real-time algorithms. It is used in a large variety of algorithms from areas ranging from iterative estimation to machine learning. Many of these algorithms are iterative in nature and…
We initiate the study of computing (near-)optimal contracts in succinctly representable principal-agent settings. Here optimality means maximizing the principal's expected payoff over all incentive-compatible contracts---known in economics…
This paper considers the optimal portfolio selection problem in a dynamic multi-period stochastic framework with regime switching. The risk preferences are of exponential (CARA) type with an absolute coefficient of risk aversion which…
In this paper, we derive a temporal arbitrage policy for storage via reinforcement learning. Real-time price arbitrage is an important source of revenue for storage units, but designing good strategies have proven to be difficult because of…
In this paper, we study the performance of affine policies for two-stage adjustable robust optimization problem with fixed recourse and uncertain right hand side belonging to a budgeted uncertainty set. This is an important class of…
In general insurance companies, a correct estimation of liabilities plays a key role due to its impact on management and investing decisions. Since the Financial Crisis of 2007-2008 and the strengthening of regulation, the focus is not only…
Classical complexity theory measures the cost of computing a function, but many computational tasks require committing to one valid output among several. We introduce determination depth -- the minimum number of sequential layers of…
The aim of this paper is to investigate the impact of rebalancing frequency and transaction costs on the log-optimal portfolio, which is a portfolio that maximizes the expected logarithmic growth rate of an investor's wealth. We prove that…
Recoverable robust optimization is a multi-stage approach, where it is possible to adjust a first-stage solution after the uncertain cost scenario is revealed. We analyze this approach for a class of selection problems. The aim is to choose…
Allocating scarce resources among agents to maximize global utility is, in general, computationally challenging. We focus on problems where resources enable agents to execute actions in stochastic environments, modeled as Markov decision…
Serial-parallel redundancy is a reliable way to ensure service and systems will be available in cloud computing. That method involves making copies of the same system or program, with only one remaining active. When an error occurs, the…
In this paper we consider single machine scheduling problems with additional non-renewable resource constraints. Examples for non-renewable resources include raw materials, energy, or money. Usually they have an initial stock and…