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This paper presents how the most recent improvements made on covariance matrix estimation and model order selection can be applied to the portfolio optimisation problem. The particular case of the Maximum Variety Portfolio is treated but…
Online marketplaces increasingly do more than simply match buyers and sellers: they route orders across competing sellers and, in many categories, offer ancillary fulfillment services that make seller inventory a source of platform revenue.…
Motivated by the dynamic assortment offerings and item pricings occurring in e-commerce, we study a general problem of allocating finite inventories to heterogeneous customers arriving sequentially. We analyze this problem under the…
The paper considers the optimal control problem of inventory of a discrete product in regeneration scheme with a Poisson flow of customer requirements. In the system deferred demand is allowed, the volume of which is limited by a given…
As a popular form of knowledge and experience, patterns and their identification have been critical tasks in most data mining applications. However, as far as we are aware, no study has systematically examined the dynamics of pattern values…
Sornette et al. claimed that the optimal supply does not agree with the average demand, by analyzing a bakery model where a daily demand fluctuates with a uniform distribution. In this note, we extend the model to general probability…
Complementary product recommendation is a powerful strategy to improve customer experience and retail sales. However, recommending the right product is not a simple task because of the noisy and sparse nature of user-item interactions. In…
Most recent research in network revenue management incorporates choice behavior that models the customers' buying logic. These models are consequently more complex to solve, but they return a more robust policy that usually generates better…
Motivated by modern data forms such as images and multi-view data, the multi-attribute graphical model aims to explore the conditional independence structure among vectors. Under the Gaussian assumption, the conditional independence between…
The Gaussian product inequality is an important conjecture concerning the moments of Gaussian random vectors. While all attempts to prove the Gaussian product inequality in full generality have been unsuccessful to date, numerous partial…
Assortment optimization has received active explorations in the past few decades due to its practical importance. Despite the extensive literature dealing with optimization algorithms and latent score estimation, uncertainty quantification…
Generalized canonical correlation analysis (GCCA) aims at finding latent low-dimensional common structure from multiple views (feature vectors in different domains) of the same entities. Unlike principal component analysis (PCA) that…
Anomaly detection is a field of intense research. Identifying low probability events in data/images is a challenging problem given the high-dimensionality of the data, especially when no (or little) information about the anomaly is…
We consider markets consisting of a set of indivisible items, and buyers that have {\em sharp} multi-unit demand. This means that each buyer $i$ wants a specific number $d_i$ of items; a bundle of size less than $d_i$ has no value, while a…
Supply chain management is an integrated approach for planning and controlling materials, information, and finances as they move in a process which begins from suppliers and ends with customers in forward approach. As distribution network…
We consider optimal mechanism design for the case with one buyer and two items. The buyer's valuations towards the two items are independent and additive. In this setting, optimal mechanism is unknown for general valuation distributions. We…
We consider the problem of pricing basket options in a multivariate Black Scholes or Variance Gamma model. From a numerical point of view, pricing such options corresponds to moderate and high dimensional numerical integration problems with…
In the course of evolution, proteins show a remarkable conservation of their three-dimensional structure and their biological function, leading to strong evolutionary constraints on the sequence variability between homologous proteins. Our…
Lately, personalized marketing has become important for retail/e-retail firms due to significant rise in online shopping and market competition. Increase in online shopping and high market competition has led to an increase in promotional…
Many real-world datasets contain missing entries and mixed data types including categorical and ordered (e.g. continuous and ordinal) variables. Imputing the missing entries is necessary, since many data analysis pipelines require complete…