Related papers: On Optimal Portfolios of Dynamic Resource Allocati…
Algorithmic efficiency is essential to reducing energy and time usage for computational problems. Optimizing efficiency is important for tasks involving multiple resources, for example in stochastic calculations where the size of the random…
Optimizing network throughput in real-world dynamic systems is critical, especially for diverse and delay-sensitive multimedia data types such as VoIP and video streaming. Traditional routing protocols, which rely on static metrics and…
Sensor network virtualization enables the possibility of sharing common physical resources to multiple stakeholder applications. This paper focuses on addressing the dynamic adaptation of already assigned virtual sensor network resources to…
In this article, we focus on a periodic resource allocation problem applied to a dynamical system which comes from a biological system. More precisely, we consider a system with $N$ resources and $N$ activities, each activity use the…
We propose a novel approach to modeling advertising dynamics for a firm operating over distributed market domain based on controlled partial differential equations of diffusion type. Using our model, we consider a general type of…
We consider a distribution logistics scenario where a shipping operator, managing a limited amount of resources, receives a stream of collection requests, issued by a set of customers along a booking time-horizon, that are referred to a…
Project managers are continuously under pressure to shorten product development durations. One practical approach for reducing the project duration is lessening dependencies between different development components and teams. However, most…
In this paper, the distributed resource allocation optimization problem is investigated. The allocation decisions are made to minimize the sum of all the agents' local objective functions while satisfying both the global network resource…
In this paper, we consider the optimal portfolio liquidation problem under the dynamic mean-variance criterion and derive time-consistent solutions in three important models. We give adapted optimal strategies under a reconsidered…
This paper studies the properties of the optimal portfolio-consumption strategies in a {finite horizon} robust utility maximization framework with different borrowing and lending rates. In particular, we allow for constraints on both…
Policy-makers are often faced with the task of distributing a limited supply of resources. To support decision-making in these settings, statisticians are confronted with two challenges: estimands are defined by allocation strategies that…
We consider the problem of optimally allocating a given total storage budget in a distributed storage system. A source has a data object which it can code and store over a set of storage nodes; it is allowed to store any amount of coded…
We study a sequential resource allocation problem involving a fixed number of recurring jobs. At each time-step the manager should distribute available resources among the jobs in order to maximise the expected number of completed jobs.…
In this paper, we consider a new problem of portfolio optimization using stochastic information. In a setting where there is some uncertainty, we ask how to best select $k$ potential solutions, with the goal of optimizing the value of the…
We propose a data-driven portfolio selection model that integrates side information, conditional estimation and robustness using the framework of distributionally robust optimization. Conditioning on the observed side information, the…
Financial portfolio optimization is a widely studied problem in mathematics, statistics, financial and computational literature. It adheres to determining an optimal combination of weights associated with financial assets held in a…
We define and develop an approach for risk budgeting allocation - a risk diversification portfolio strategy - where risk is measured using a dynamic time-consistent risk measure. For this, we introduce a notion of dynamic risk contributions…
We study the design of optimal allocation mechanisms in an environment where agents and goods arrive stochastically. Agents have private types that determine the principal payoff. Either agents or goods can be held in a queue at a flow cost…
In many two-sided markets, the parties to be matched have incomplete information about their characteristics. We consider the settings where the parties engaged are extremely patient and are interested in long-term partnerships. Hence, once…
Diversification is the typical investment strategy of risk-averse agents. However, non-diversified positions that allocate all resources to a single asset, state of the world or revenue stream are common too. We show that whenever finitely…