相关论文: Optimal supply against fluctuating demand
This paper is concerned with the problem of finding the optimal of extraction policies of an oil field in light of various financial and economical restrictions and constraints. Taking into account the fact that the oil price in worldwide…
The transient fluctuation of the prosperity of firms in a network economy is investigated with an abstract stochastic model. The model describes the profit which firms make when they sell materials to a firm which produces a product and the…
We consider the efficient outcome of a canonical economic market model involving buyers and sellers with independent and identically distributed random valuations and costs, respectively. When the number of buyers and sellers is large, we…
In this paper, we introduce a Bayesian revenue-maximizing mechanism design model where the items have fixed, exogenously-given prices. Buyers are unit-demand and have an ordinal ranking over purchasing either one of these items at its given…
We investigate activities that have different periods of duration. We define the profit intensity as a measure of this economic category. The profit intensity in a repeated trading has a unique property of attaining its maximum at a fixed…
Finite heat reservoir capacity and temperature fluctuations lead to modification of the well known canonical exponential weight factor. Requiring that the corrections least depend on the one-particle energy, we derive a deformed entropy,…
In this paper, we formulate an optimal ordering policy as a stochastic control problem where each firm decides the amount of input goods to order from their upstream suppliers based on the current inventory level of its output good. For…
Decision-making in manufacturing often involves optimizing key process parameters using data collected from simulation experiments. Gaussian processes are widely used to surrogate the underlying system and guide optimization. Uncertainty…
General equilibrium, the cornerstone of modern economics and finance, rests on assumptions many markets do not meet. Spectrum auctions, electricity markets, and cap-and-trade programs for resource rights often feature non-convexities in…
We study a seller who sells a single good to multiple bidders with uncertainty over the joint distribution of bidders' valuations, as well as bidders' higher-order beliefs about their opponents. The seller only knows the (possibly…
Gaussian mixture distributions are commonly employed to represent general probability distributions. Despite the importance of using Gaussian mixtures for uncertainty estimation, the entropy of a Gaussian mixture cannot be calculated…
In this paper, we consider the classic stochastic (dynamic) knapsack problem, a fundamental mathematical model in revenue management, with general time-varying random demand. Our main goal is to study the optimal policies, which can be…
Here an original idea is suggested to prove the existence of optimal control for some types of non- linear problems. The obtained results can be considered as individual existence theorems (in some sense).
We consider optimal consumption and portfolio choice in the presence of Knightian uncertainty in continuous-time. We embed the problem into the new framework of stochastic calculus for such settings, dealing in particular with the issue of…
By optimal fluctuation method, we study short-time distribution $P(\mathcal{A}=A)$ of the functionals, $\mathcal{A}=\int_{0}^{t_f} x^n(t) dt$, along constrained trajectories of random acceleration process for a given time duration $t_f$,…
The focus of this paper is to quantify measures of aggregate fluctuations for a class of consensus-seeking multiagent networks subject to exogenous noise with alpha-stable distributions. This type of noise is generated by a class of random…
In this paper, we introduce a parametrized family of prices derived from the Maximum Entropy Principle. The price is obtained from the distribution that minimizes bias, given the bid and ask volume imbalance at the top of the order book.…
We derive the optimal estimates of the free energies of an arbitrary number of thermodynamic states from nonequilibrium work measurements; the work data are collected from forward and reverse switching processes and obey a fluctuation…
Finding a good compromise between the exploitation of known resources and the exploration of unknown, but potentially more profitable choices, is a general problem, which arises in many different scientific disciplines. We propose a…
For high volume data streams and large data warehouses, sampling is used for efficient approximate answers to aggregate queries over selected subsets. Mathematically, we are dealing with a set of weighted items and want to support queries…