2 citations · 5 across the 5 of their papers we have counts for
7 papers
Equitable Auction Design with Provable Regret Guarantees
Ruiqin Wang, Cagil Kocyigit, Napat Rujeerapaiboon
We study a mechanism design problem where a seller aims to allocate a good to multiple bidders, each with a private value. The seller supports or favors a specific group, referred…
Robust Conic Satisficing
Arjun Ramachandra, Napat Rujeerapaiboon, Melvyn Sim
In practical optimization problems, we typically model uncertainty as a random variable though its true probability distribution is unobservable to the decision maker. Historical d…
A Planner-Trader Decomposition for Multi-Market Hydro Scheduling
Kilian Schindler, Napat Rujeerapaiboon, Daniel Kuhn +1
Peak/off-peak spreads on European electricity forward and spot markets are eroding due to the ongoing nuclear phaseout in Germany and the steady growth in photovoltaic capacity. Th…
Size Matters: Cardinality-Constrained Clustering and Outlier Detection via Conic Optimization
Napat Rujeerapaiboon, Kilian Schindler, Daniel Kuhn +1
Plain vanilla K-means clustering has proven to be successful in practice, yet it suffers from outlier sensitivity and may produce highly unbalanced clusters. To mitigate both short…
Scenario Reduction Revisited: Fundamental Limits and Guarantees
Napat Rujeerapaiboon, Kilian Schindler, Daniel Kuhn +1
The goal of scenario reduction is to approximate a given discrete distribution with another discrete distribution that has fewer atoms. We distinguish continuous scenario reduction…
Multi-Period Portfolio Optimization: Translation of Autocorrelation Risk to Excess Variance
Byung-Geun Choi, Napat Rujeerapaiboon, Ruiwei Jiang
Growth-optimal portfolios are guaranteed to accumulate higher wealth than any other investment strategy in the long run. However, they tend to be risky in the short term. For seria…
Chebyshev Inequalities for Products of Random Variables
Napat Rujeerapaiboon, Daniel Kuhn, Wolfram Wiesemann
We derive sharp probability bounds on the tails of a product of symmetric non-negative random variables using only information about their first two moments. If the covariance matr…