As empirically observed in restaurants, call centers, and intensive care units, service times needed by customers are often related to the delay they experience in queue. Two forms of dependence me…
We study a nonparametric contextual bandit problem in which the expected reward functions belong to a Hölder class with smoothness parameter β. We show how this interpolates between two extremes …
We propose a framework for modeling and solving low-rank optimization problems to certifiable optimality. We introduce symmetric projection matrices that satisfy Y2=Y, the matrix analog of binary v…
In a chance constrained program (CCP), decision makers seek the best decision whose probability of violating the uncertainty constraints is within the prespecified risk level. As a CCP is often non…
Widely used closed product-form networks have emerged recently as a primary model of stochastic growth of subcellular structures, for example, cellular filaments. The baseline bio-molecular model i…
We study reinforcement learning (RL) in a setting with a network of agents whose states and actions interact in a local manner where the objective is to find localized policies such that the (disco…
Forecasters predicting the chances of a future event may disagree because of differing evidence or noise. To harness the collective evidence of the crowd, we propose a Bayesian aggregator that is r…
Price-based revenue management is an important problem in operations management with many practical applications. The problem considers a seller who sells one or multiple products over T consecutiv…
We propose a random search method for solving a class of simulation optimization problems with Lipschitz continuity properties. The algorithm samples candidate solutions from a parameterized probab…
The utility-based shortfall risk (SR) measure effectively captures a decision maker’s risk attitude on tail losses by an increasing convex loss function. In this paper, we consider a situation wh…