Related papers: Optimal supply against fluctuating demand
We discuss superstatistics theory of labour productivity. Productivity distribution across workers, firms and industrial sectors are studied empirically and found to obey power-distributions, in sharp contrast to the equilibrium theories of…
We consider the problem of designing an expected-revenue maximizing mechanism for allocating multiple non-perishable goods of $k$ varieties to flexible consumers over $T$ time steps. In our model, a random number of goods of each variety…
In a seminal paper in 1973, Black and Scholes argued how expected distributions of stock prices can be used to price options. Their model assumed a directed random motion for the returns and consequently a lognormal distribution of asset…
Supply chain optimization schemes have more often than not underplayed the role of inherent stochastic fluctuations in the associated variables. The present article focuses on the associated reengagement and correlated renormalization of…
The estimation of asset return distributions is crucial for determining optimal trading strategies. In this paper we describe the constrained mixture model, based on a mixture of Gamma and Gaussian distributions, to provide an accurate…
A single target is hidden at a location chosen from a predetermined probability distribution. Then, a searcher must find a second probability distribution from which random search points are sampled such that the target is found in the…
The method of maximum entropy (ME) is extended to address the following problem: Once one accepts that the ME distribution is to be preferred over all others, the question is to what extent are distributions with lower entropy supposed to…
We revisit the replica method for analyzing inference and learning in parametric models, considering situations where the data-generating distribution is unknown or analytically intractable. Instead of assuming idealized distributions to…
This paper establishes the optimal sub-Gaussian variance proxy for truncated Gaussian and truncated exponential random variables. The proofs rely on first characterizing the optimal variance proxy as the unique solution to a set of two…
A simple heuristic model, including the multiple exchanges between economic agents, is used to explain the mechanism of emerging and maintenance of social inequality in the market economy. The model allows calculating a density function of…
The principle of absence of arbitrage opportunities allows obtaining the distribution of stock price fluctuations by maximizing its information entropy. This leads to a physical description of the underlying dynamics as a random walk…
Most decision theories, including expected utility theory, rank dependent utility theory and cumulative prospect theory, assume that investors are only interested in the distribution of returns and not in the states of the economy in which…
The aim of this work is to establish the personal income distribution from the elementary constituents of a free market; products of a representative good and agents forming the economic network. The economy is treated as a self-organized…
Process flexibility is widely adopted as an effective strategy for responding to uncertain demand. Many algorithms for constructing sparse flexibility designs with good theoretical guarantees have been developed for balanced and symmetrical…
This paper investigates optimal portfolio strategies in a financial market where the drift of the stock returns is driven by an unobserved Gaussian mean reverting process. Information on this process is obtained from observing stock returns…
We study multi-item profit maximization when there is an underlying distribution over buyers' values. In practice, a full description of the distribution is typically unavailable, so we study the setting where the mechanism designer only…
It is well understood that Bayesian decision theory and average case analysis are essentially identical. However, if one is interested in performing uncertainty quantification for a numerical task, it can be argued that standard approaches…
In a combinatorial exchange setting, players place sell (resp. buy) bids on combinations of traded goods. Besides the question of finding an optimal selection of winning bids, the question of how to share the obtained profit is of high…
We give a necessary and sufficient condition for symmetric infinitely divisible distribution to have Gaussian component. The result can be applied to approximation the distribution of finite sums of random variables. Particularly, it shows…
The ranking and selection problem is a popular framework in the simulation literature for studying optimal information collection. We study a version of this problem in which the simulation output for each design is normally distributed…