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This article introduces a novel distributionally robust model predictive control (DRMPC) algorithm for a specific class of controlled dynamical systems where the disturbance multiplies the state and control variables. These classes of…
We consider the problem of the optimization of bidding strategies in prior-dependent revenue-maximizing auctions, when the seller fixes the reserve prices based on the bid distributions. Our study is done in the setting where one bidder is…
We consider multi-agent coalitional games with uncertainty in the coalitional values. We provide a novel methodology to study the stability of the grand coalition in the case where each coalition constructs ambiguity sets for the (possibly)…
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…
While $\mathcal{H}_\infty$ methods can introduce robustness against worst-case perturbations, their nominal performance under conventional stochastic disturbances is often drastically reduced. Though this fundamental tradeoff between…
We present a novel framework for distributionally robust optimization (DRO), called cost-aware DRO (CADRO). The key idea of CADRO is to exploit the cost structure in the design of the ambiguity set to reduce conservatism. Particularly, the…
Problem definition: We study a data-driven pricing problem in which a seller sets a price for a single item based on demand observed at a limited number of historical prices. Our goal is to quantify the value of such information and to…
Recommender systems play an essential role in online services by providing personalized item lists to support users' decision-making processes. While collaborative filtering methods can achieve high accuracy, it is crucial to consider not…
We study the offline data-driven sequential decision making problem in the framework of Markov decision process (MDP). In order to enhance the generalizability and adaptivity of the learned policy, we propose to evaluate each policy by a…
In this paper, we study the optimal dividend problem under the continuous time diffusion model with the bounded dividend rate from the Reinforcement Learning (RL) perspective. Unlike the standard literature, our main focus will be on…
Topology design is a critical task for the reliability, economic operation, and resilience of distribution systems. This paper proposes a distributionally robust optimization (DRO) model for designing the topology of a new distribution…
Maximizing utility with a budget constraint is the primary goal for advertisers in real-time bidding (RTB) systems. The policy maximizing the utility is referred to as the optimal bidding strategy. Earlier works on optimal bidding strategy…
Dynamic pricing is commonly used to regulate congestion in shared service systems. This paper is motivated by the fact that in the presence of users with varying price sensitivity (responsiveness), conventional monotonic pricing can lead to…
Dworczak et al. (2021) study when certain market structures are optimal in the presence of heterogeneous preferences. A key assumption is that the social planner knows the joint distribution of the value of the good and marginal value of…
We study a general online combinatorial auction problem in algorithmic mechanism design. A provider allocates multiple types of capacity-limited resources to customers that arrive in a sequential and arbitrary manner. Each customer has a…
We study a problem of an online retailer who observes the unit sales of a product, and dynamically changes the retail price, in order to maximize the expected revenue. Assuming the demand of the product is price sensitive, we are interested…
Statistical learning under distribution shift is challenging when neither prior knowledge nor fully accessible data from the target distribution is available. Distributionally robust learning (DRL) aims to control the worst-case statistical…
We study the optimal pricing strategies of a monopolist selling a divisible good (service) to consumers that are embedded in a social network. A key feature of our model is that consumers experience a (positive) local network effect. In…
In black-box function optimization, we need to consider not only controllable design variables but also uncontrollable stochastic environment variables. In such cases, it is necessary to solve the optimization problem by taking into account…
We study the dynamic pricing and replenishment problems under inconsistent decision frequencies. Different from the traditional demand assumption, the discreteness of demand and the parameter within the Poisson distribution as a function of…