相关论文: Asymptotic optimality of the generalized $c\mu$ ru…

Let $\rho$ be a general law--invariant convex risk measure, for instance the average value at risk, and let $X$ be a financial loss, that is, a real random variable. In practice, either the true distribution $\mu$ of $X$ is unknown, or the…

A single server retrial queueing system with two-classes of orbiting customers, and general class dependent service times is considered. If an arriving customer finds the server unavailable, it enters a virtual queue, called the orbit,…

This work studies equilibrium problems under uncertainty where firms maximize their profits in a robust way when selling their output. Robust optimization plays an increasingly important role when best guaranteed objective values are to be…

Logistics network is expected that opened facilities work continuously for a long time horizon without any failure, but in real world problems, facilities may face disruptions. This paper studies a reliable joint inventory location problem…

We consider a novel queuing problem where the decision-maker must choose to accept or reject randomly arriving tasks into a no buffer queue which are processed by $N$ identical servers. Each task has a price, which is a positive real…

We investigate online scheduling with commitment for parallel identical machines. Our objective is to maximize the total processing time of accepted jobs. As soon as a job has been submitted, the commitment constraint forces us to decide…

This article investigates unsupervised classification techniques for categorical multivariate data. The study employs multivariate multinomial mixture modeling, which is a type of model particularly applicable to multilocus genotypic data.…

Most inverse optimization models impute unspecified parameters of an objective function to make an observed solution optimal for a given optimization problem with a fixed feasible set. We propose two approaches to impute unspecified…

Accounting for model uncertainty in risk management and option pricing leads to infinite dimensional optimization problems which are both analytically and numerically intractable. In this article we study when this hurdle can be overcome…

We consider the problem of minimizing queue-length costs in a system with heterogenous parallel servers, operating in a many-server heavy-traffic regime with nondegenerate slowdown. This regime is distinct from the well-studied heavy…

A multi-class single-server system with general service time distributions is studied in a moderate deviation heavy traffic regime. In the scaling limit, an optimal control problem associated with the model is shown to be governed by a…

The sequential multiple testing problem is considered under two generalized error metrics. Under the first one, the probability of at least $k$ mistakes, of any kind, is controlled. Under the second, the probabilities of at least $k_1$…

Collaborative machine learning (CML) provides a promising paradigm for democratizing advanced technologies by enabling cost-sharing among participants. However, the potential for rent-seeking behaviors among parties can undermine such…

We study contextual chance-constrained programming under decision-dependent uncertainty. In this setting, a decision not only needs to satisfy constraints but also alters the distribution of uncertain outcomes. This dependency makes the…

In the global economy, credit companies play a central role in economic development, through their activity as money lenders. This important task comes with some drawbacks, mainly the risk of the debtors not being able to repay the provided…

We define Conditional quasi concave Performance Measures (CPMs), on random variables bounded from below, to accommodate for additional information. Our notion encompasses a wide variety of cases, from conditional expected utility and…

This tutorial describes recently developed general optimality conditions for Markov Decision Processes that have significant applications to inventory control. In particular, these conditions imply the validity of optimality equations and…

In complex systems, it is quite common to resort to approximations when optimizing system performance. These approximations typically involve selecting a particular system parameter and then studying the performance of the system as this…

We introduce a model of infinite horizon linear dynamic optimization and obtain results concerning existence of solution and satisfaction of the competitive condition and transversality condition being unconditionally sufficient for…

The paper \cite{helm:17} studies an inventory management problem under a long-term average cost criterion using weak convergence methods applied to average expected occupation and average expected ordering measures. Under the natural…