Control Policies Approaching Hierarchical Greedy Ideal Performance in Heavy Traffic for Resource Sharing Networks
We consider resource sharing networks of the form introduced in work of Massoulié and Roberts as models for Internet flows. The goal is to study the open problem, formulated in Harrison et al. (2014) [Harrison JM, Mandayam C, Shah D, Yang Y (2014) ...
A Block Successive Upper-Bound Minimization Method of Multipliers for Linearly Constrained Convex Optimization
Consider the problem of minimizing the sum of a smooth convex function and a separable nonsmooth convex function subject to linear coupling constraints. Problems of this form arise in many contemporary applications, including signal processing, wireless ...
Power-of-d-Choices with Memory: Fluid Limit and Optimality
In multiserver distributed queueing systems, the access of stochastically arriving jobs to resources is often regulated by a dispatcher, also known as a load balancer. A fundamental problem consists in designing a load-balancing algorithm that minimizes ...
Limit Equilibrium Payoffs in Stochastic Games
We study the limit of equilibrium payoffs, as the discount factor goes to one, in non-zero-sum stochastic games. We first show that the set of stationary equilibrium payoffs always converges. We then provide two-player examples in which the whole set of ...
Envy-Free Division of Land
Classic cake-cutting algorithms enable people with different preferences to divide among them a heterogeneous resource (“cake”) such that the resulting division is fair according to each agent’s individual preferences. However, these algorithms either ...
General Error Estimates for the Longstaff–Schwartz Least-Squares Monte Carlo Algorithm
We establish error estimates for the Longstaff–Schwartz algorithm, employing just a single set of independent Monte Carlo sample paths that is reused for all exercise time steps. We obtain, within the context of financial derivative payoff functions ...
Constant Approximation Algorithm for Nonuniform Capacitated Multi-Item Lot Sizing via Strong Covering Inequalities
We study the nonuniform capacitated multi-item lot-sizing problem. In this problem, there is a set of demands over a planning horizon of T discrete time periods, and all demands must be satisfied on time. We can place an order at the beginning of each ...
Variance Regularization in Sequential Bayesian Optimization
Sequential Bayesian optimization constitutes an important and broad class of problems where model parameters are not known a priori but need to be learned over time using Bayesian updating. It is known that the solution to these problems can in principle ...
Characterization, Robustness, and Aggregation of Signed Choquet Integrals
This article contains various results on a class of nonmonotone, law-invariant risk functionals called the signed Choquet integrals. A functional characterization via comonotonic additivity is established along with some theoretical properties, including ...
The Limit of Stationary Distributions of Many-Server Queues in the Halfin–Whitt Regime
We consider the so-called GI/GI/N queue, in which a stream of jobs with independent and identically distributed service times arrive as a renewal process to a common queue that is served by N identical parallel servers in a first-come, first-served manner. ...
Monotonicity and Weighted Prenucleoli: A Characterization Without Consistency
A solution on a set of transferable utility (TU) games satisfies strong aggregate monotonicity (SAM) if every player can improve when the grand coalition becomes richer. It satisfies equal surplus division (ESD) if the solution allows the players to ...
Steady-State Analysis of the Join-the-Shortest-Queue Model in the Halfin–Whitt Regime
This paper studies the steady-state properties of the join-the-shortest-queue model in the Halfin–Whitt regime. We focus on the process tracking the number of idle servers and the number of servers with nonempty buffers. Recently, Eschenfeldt and Gamarnik ...
A Stochastic Analysis of Queues with Customer Choice and Delayed Information
Many service systems provide queue length information to customers, thereby allowing customers to choose among many options of service. However, queue length information is often delayed, and it is often not provided in real time. Recent work by Dong et ...
A Dynamic Network Model of Interbank Lending—Systemic Risk and Liquidity Provisioning
We develop a dynamic model of interbank borrowing and lending activities in which banks are organized into clusters, and adjust their monetary reserve levels to meet prescribed capital requirements. Each bank has its own initial monetary reserve level and ...
Exchangeable Processes: de Finetti’s Theorem Revisited
A sequence of random variables is exchangeable if the joint distribution of any finite subsequence is invariant to permutations. De Finetti’s representation theorem states that every exchangeable infinite sequence is a convex combination of independent ...
Strong Metric (Sub)regularity of Karush–Kuhn–Tucker Mappings for Piecewise Linear-Quadratic Convex-Composite Optimization and the Quadratic Convergence of Newton’s Method
This work concerns the local convergence theory of Newton and quasi-Newton methods for convex-composite optimization: where one minimizes an objective that can be written as the composition of a convex function with one that is continuiously ...
