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In this paper we formulate a contract design problem where a primary license holder wishes to profit from its excess spectrum capacity by selling it to potential secondary users/buyers. It needs to determine how to optimally price the…
We consider the sequential decision-making problem of making proactive request assignment and rejection decisions for a profit-maximizing operator of an autonomous mobility on demand system. We formalize this problem as a Markov decision…
In discrete choice modeling (DCM), model misspecifications may lead to limited predictability and biased parameter estimates. In this paper, we propose a new approach for estimating choice models in which we divide the systematic part of…
We consider the terminal wealth utility maximization problem from the point of view of a portfolio manager who is paid by an incentive scheme, which is given as a convex function $g$ of the terminal wealth. The manager's own utility…
Electricity market operators worldwide use mixed-integer linear programming to solve the allocation problem in wholesale electricity markets. Prices are typically determined based on the duals of relaxed versions of this optimization…
In this brief, we consider the constrained optimization problem underpinning model predictive control (MPC). We show that this problem can be decomposed into an unconstrained optimization problem with the same cost function as the original…
In this paper, we consider a multi-stage dynamic assortment optimization problem with multi-nomial choice modeling (MNL) under resource knapsack constraints. Given the current resource inventory levels, the retailer makes an assortment…
Many information systems use tags and keywords to describe and annotate content. These allow for efficient organization and categorization of items, as well as facilitate relevant search queries. As such, the selected set of tags for an…
We consider the problem of identifying the most profitable product design from a finite set of candidates under unknown consumer preference. A standard approach to this problem follows a two-step strategy: First, estimate the preference of…
We consider a vehicle routing problem which seeks to minimize cost subject to service level constraints on several groups of deliveries. This problem captures some essential challenges faced by a logistics provider which operates…
We consider dynamic pricing with many products under an evolving but low-dimensional demand model. Assuming the temporal variation in cross-elasticities exhibits low-rank structure based on fixed (latent) features of the products, we show…
Correctly estimating how demand respond to prices is fundamental for airlines willing to optimize their pricing policy. Under some conditions, these policies, while aiming at maximizing short term revenue, can present too little price…
Implicit variables of an optimization problem are used to model variationally challenging feasibility conditions in a tractable way while not entering the objective function. Hence, it is a standard approach to treat implicit variables as…
The rapid advancement in large language models (LLMs) has brought forth a diverse range of models with varying capabilities that excel in different tasks and domains. However, selecting the optimal LLM for user queries often involves a…
A competing market model with a polyvariant profit function that assumes "zeitnot" stock behavior of clients is formulated within the banking portfolio medium and then analyzed from the perspective of devising optimal strategies. An…
Constrained decision-making is essential for designing safe policies in real-world control systems, yet simulated environments often fail to capture real-world adversities. We consider the problem of learning a policy that will maximize the…
In this paper, we investigate the capacitated assortment optimization problem with pricing under the paired combinatorial logit model, whose goal is to identify the revenue-maximizing subset of products as well as their selling prices…
This paper studies an $\alpha$-robust utility maximization problem where an investor faces an intractable claim -- an exogenous contingent claim with known marginal distribution but unspecified dependence structure with financial market…
We study the policy testing problem in discounted Markov decision processes (MDPs) in the fixed-confidence setting under a generative model with static sampling. The goal is to decide whether the value of a given policy exceeds a specified…
We consider a principal who wishes to screen an agent with \emph{discrete} types by offering a menu of \emph{discrete} quantities and \emph{discrete} transfers. We assume that the principal's valuation is discrete strictly concave and use a…