35 citations · 393 across the 62 of their papers we have counts for
9 papers · 1 filter
Fairer LP-based Online Allocation via Analytic Center
Guanting Chen, Xiaocheng Li, Yinyu Ye
In this paper, we consider an online resource allocation problem where a decision maker accepts or rejects incoming customer requests irrevocably in order to maximize expected rewa…
An Adaptive State Aggregation Algorithm for Markov Decision Processes
Guanting Chen, Johann Demetrio Gaebler, Matt Peng +2
Value iteration is a well-known method of solving Markov Decision Processes (MDPs) that is simple to implement and boasts strong theoretical convergence guarantees. However, the co…
Distributed stochastic optimization with large delays
Zhengyuan Zhou, Panayotis Mertikopoulos, Nicholas Bambos +2
One of the most widely used methods for solving large-scale stochastic optimization problems is distributed asynchronous stochastic gradient descent (DASGD), a family of algorithms…
Solving Linear Programs with Fast Online Learning Algorithms
Wenzhi Gao, Dongdong Ge, Chunlin Sun +1
This paper presents fast first-order methods for solving linear programs (LPs) approximately. We adapt online linear programming algorithms to offline LPs and obtain algorithms tha…
Fisher Markets with Linear Constraints: Equilibrium Properties and Efficient Distributed Algorithms
Devansh Jalota, Marco Pavone, Qi Qi +1
The Fisher market is one of the most fundamental models for resource allocation problems in economic theory, wherein agents spend a budget of currency to buy goods that maximize th…
Robustifying Conditional Portfolio Decisions via Optimal Transport
Viet Anh Nguyen, Fan Zhang, Shanshan Wang +3
We propose a data-driven portfolio selection model that integrates side information, conditional estimation and robustness using the framework of distributionally robust optimizati…
From an Interior Point to a Corner Point: Smart Crossover
Dongdong Ge, Chengwenjian Wang, Zikai Xiong +1
Identifying optimal basic feasible solutions to linear programming problems is a critical task for mixed integer programming and other applications. The crossover method, which aim…
The Symmetry between Arms and Knapsacks: A Primal-Dual Approach for Bandits with Knapsacks
Xiaocheng Li, Chunlin Sun, Yinyu Ye
In this paper, we study the bandits with knapsacks (BwK) problem and develop a primal-dual based algorithm that achieves a problem-dependent logarithmic regret bound. The BwK probl…
An Improved Analysis of LP-based Control for Revenue Management
Guanting Chen, Xiaocheng Li, Yinyu Ye
In this paper, we study a class of revenue management problems where the decision maker aims to maximize the total revenue subject to budget constraints on multiple type of resourc…