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We describe a general technique for determining upper bounds on maximal values (or lower bounds on minimal costs) in stochastic dynamic programs. In this approach, we relax the nonanticipativity constraints that require decisions to depend only on the information available at the time a decision is made and impose a " penalty " that punishes violations of(More)
In this paper we survey the primary research, both theoretical and applied, in the field of Robust Optimization (RO). Our focus will be on the computational attractiveness of RO approaches, as well as the modeling power and broad applicability of the methodology. In addition to surveying the most prominent theoretical results of RO over the past decade, we(More)
We consider the problem of dynamic portfolio optimization in a discrete-time, finite-horizon setting. Our general model considers risk aversion, portfolio constraints (e.g., no short positions), return predictability, and transaction costs. This problem is naturally formulated as a stochastic dynamic program. Unfortunately, with non-zero transaction costs,(More)
MicroRNAs (miRNAs) are regulatory RNAs found in multicellular eukaryotes, including humans, where they are implicated in cancer. The let-7 miRNA times seam cell terminal differentiation in C. elegans. Here we show that the let-7 family negatively regulates let-60/RAS. Loss of let-60/RAS suppresses let-7, and the let-60/RAS 3'UTR contains multiple let-7(More)
Cancer stem cells (CSCs), or tumor-initiating cells, are involved in tumor progression and metastasis. MicroRNAs (miRNAs) regulate both normal stem cells and CSCs, and dysregulation of miRNAs has been implicated in tumorigenesis. CSCs in many tumors--including cancers of the breast, pancreas, head and neck, colon, small intestine, liver, stomach, bladder(More)
In this paper, we propose a methodology for constructing uncertainty sets within the framework of robust optimization for linear optimization problems with uncertain parameters. Our approach relies on decision-maker risk preferences. Specifically, we utilize the theory of coherent risk measures initiated by Artzner et al. [3], and show that such risk(More)
This paper was motivated by the problem of developing an optimal strategy for exploring a large oil and gas field in the North Sea. Where should we drill first? Where do we drill next? The problem resembles a classical multiarmed bandit problem, but probabilistic dependence plays a key role: outcomes at drilled sites reveal information about neighboring(More)
The segmental organization of the vertebrate embryo is first apparent when somites form in a rostrocaudal progression from the paraxial mesoderm adjacent to the neural tube. Newly formed somites appear as paired epithelial spheres that become patterned to form vertebrae, ribs, skeletal muscle and dermis. Paraxis is a basic helix-loop-helix transcription(More)
In this paper, we propose a framework for robust optimization that relaxes the standard notion of robustness by allowing the decision-maker to vary the protection level in a smooth way across the uncertainty set. We apply our approach to the problem of maximizing the expected value of a payoff function when the underlying distribution is ambiguous and(More)
We analyze the problem of an investor who needs to unwind a portfolio in the face of recurring and uncertain liquidity needs, with a model that accounts for both permanent and temporary price impact of trading. We first show that a risk-neutral investor who myopically deleverages his position to meet an immediate need for cash always prefers to sell more(More)