相关论文: A technical note on finite best-worst random utili…

We consider selecting the top-$m$ alternatives from a finite number of alternatives via Monte Carlo simulation. Under a Bayesian framework, we formulate the sampling decision as a stochastic dynamic programming problem, and develop a…

In this paper, we compute the tightest possible bounds on the probability that the optimal value of a combinatorial optimization problem in maximization form with a random objective exceeds a given number, assuming only knowledge of the…

We experimentally study the fundamental problem of computing the volume of a convex polytope given as an intersection of linear inequalities. We implement and evaluate practical randomized algorithms for accurately approximating the…

In life-testing experiments, it is often of interest to predict unobserved future failure times based on observed early failure times. A point best linear unbiased predictor (BLUP) has been developed in this context by Kaminsky and Nelson…

We study social choice rules under the utilitarian distortion framework, with an additional metric assumption on the agents' costs over the alternatives. In this approach, these costs are given by an underlying metric on the set of all…

A widely used method to create a continuous representation of a discrete data-set is regression analysis. When the regression model is not based on a mathematical description of the physics underlying the data, heuristic techniques play a…

We study the properties of the set of marginal distributions of infinite translation-invariant systems in the 2D square lattice. In cases where the local variables can only take a small number $d$ of possible values, we completely solve the…

This paper introduces an efficient algorithm for computing the best approximation of a given matrix onto the intersection of linear equalities, inequalities and the doubly nonnegative cone (the cone of all positive semidefinite matrices…

We examine the problem of optimal portfolio allocation within the framework of utility theory. We apply exponential utility to derive the optimal diversification strategy and logarithmic utility to determine the optimal leverage. We enhance…

We study the problem of maximising terminal utility for an agent facing model uncertainty, in a frictionless discrete-time market with one safe asset and finitely many risky assets. We show that an optimal investment strategy exists if the…

In this paper, we use multivariate splines to investigate the volume of polytopes. We first present an explicit formula for the multivariate truncated power, which can be considered as a dual version of the famous Brion's formula for the…

There is a growing body of work on sorting and selection in models other than the unit-cost comparison model. This work is the first treatment of a natural stochastic variant of the problem where the cost of comparing two elements is a…

This paper considers the maximization of the expected maximum value of a portfolio of random variables subject to a budget constraint. We refer to this as the optimal college application problem. When each variable's cost, or each college's…

We develop a rounding method based on random walks in polytopes, which leads to improved approximation algorithms and integrality gaps for several assignment problems that arise in resource allocation and scheduling. In particular, it…

In this paper, we define the upper (resp. lower) covariance under multiple probabilities via a corresponding max-min-max (resp. min-max-min) optimization problem and the related properties of covariances are obtained. In particular, we…

We study the problem of optimal subset selection from a set of correlated random variables. In particular, we consider the associated combinatorial optimization problem of maximizing the determinant of a symmetric positive definite matrix…

In robust combinatorial optimization with discrete uncertainty, two general approximation algorithms are frequently used, which are both based on constructing a single scenario representing the whole uncertainty set. In the midpoint method,…

We consider the problem of seeking an optimal set of model points associated to a fixed portfolio of life insurance policies. Such an optimal set is characterized by minimizing a certain risk functional, which gauges the average discrepancy…

Selecting from or ranking a set of candidates variables in terms of their capacity for predicting an outcome of interest is an important task in many scientific fields. A variety of methods for variable selection and ranking have been…

Different types of two- and three-dimensional representations of a finite metric space are studied that focus on the accurate representation of the linear order among the distances rather than their actual values. Lower and upper bounds for…