Related papers: An efficient method for solving a correlated multi…
In this paper, we study the offline sequential feature-based pricing and inventory control problem where the current demand depends on the past demand levels and any demand exceeding the available inventory is lost. Our goal is to leverage…
We consider a continuous-review inventory system in which the setup cost of each order is a general function of the order quantity and the demand process is modeled as a Brownian motion with a positive drift. Assuming the holding and…
We develop a factor analysis for mixed continuous and binary observed variables. To this end, we utilized a recently developed multivariate probability distribution for mixed-type random variables, the Gaussian-Grassmann distribution. In…
Re-ranking is a process of rearranging ranking list to more effectively meet user demands by accounting for the interrelationships between items. Existing methods predominantly enhance the precision of search results, often at the expense…
Bilevel optimization, a hierarchical mathematical framework where one optimization problem is nested within another, has emerged as a powerful tool for modeling complex decision-making processes in various fields such as economics,…
We consider a monopolist seller with $n$ heterogeneous items, facing a single buyer. The buyer has a value for each item drawn independently according to (non-identical) distributions, and her value for a set of items is additive. The…
Efficient sampling from a high-dimensional Gaussian distribution is an old but high-stake issue. Vanilla Cholesky samplers imply a computational cost and memory requirements which can rapidly become prohibitive in high dimension. To tackle…
We develop a new efficient methodology for Bayesian global sensitivity analysis for large-scale multivariate data. The focus is on computationally demanding models with correlated variables. A multivariate Gaussian process is used as a…
In this work, we propose an efficient two-stage algorithm solving a joint problem of correlation detection and partial alignment recovery between two Gaussian databases. Correlation detection is a hypothesis testing problem; under the null…
This paper continues the examination of inventory control in which the inventory is modelled by a diffusion process and a long-term average cost criterion is used to make decisions. The class of such models under consideration have general…
The multidimensional Uncertain Volatility Model leads to robust option pricing problems under joint volatility and correlation uncertainty. Their numerical resolution quickly becomes challenging because the associated stochastic control…
Optimization of expensive computer models with the help of Gaussian process emulators in now commonplace. However, when several (competing) objectives are considered, choosing an appropriate sampling strategy remains an open question. We…
We consider a fundamental generalization of the classical newsvendor problem where the seller needs to decide on the inventory of a product jointly for multiple locations on a metric as well as a fulfillment policy to satisfy the uncertain…
We derive sufficient conditions for the convex and monotonic g-stochastic ordering of diffusion processes under nonlinear g-expectations and g-evaluations. Our approach relies on comparison results for forward-backward stochastic…
In this paper we introduce a new approach to model-free path-dependent option pricing. We first introduce a general duality result for linear optimisation problems over signed measures introduced in [3] and show how the the problem of…
We propose a scalable Bayesian preference learning method for jointly predicting the preferences of individuals as well as the consensus of a crowd from pairwise labels. Peoples' opinions often differ greatly, making it difficult to predict…
We propose a novel hierarchical model for multitask bipartite ranking. The proposed approach combines a matrix-variate Gaussian process with a generative model for task-wise bipartite ranking. In addition, we employ a novel trace…
We consider an optimal stopping problem with n correlated offers where the goal is to design a (randomized) stopping strategy that maximizes the expected value of the offer in the sequence at which we stop. Instead of assuming to know the…
We study the problem of distributed mean estimation and optimization under communication constraints. We propose a correlated quantization protocol whose leading term in the error guarantee depends on the mean deviation of data points…
This paper investigates a stochastic inventory management problem in which a cash-constrained small retailer periodically purchases a product from suppliers and sells it to a market while facing non-stationary demands. In each period, the…