Related papers: On Optimal Allocation of a Continuous Resource Usi…
The multi-armed bandit problem (MBP) is the problem of finding, as accurately and quickly as possible, the most profitable option from a set of options that gives stochastic rewards by referring to past experiences. Inspired by fluctuated…
We consider an autonomous navigation problem, whereby a traveler aims at traversing an environment in which an adversary tries to set an ambush. A two players zero sum game is introduced. Players' strategies are computed as random path…
The paper studies a dynamic blocking problem, motivated by a model of optimal fire confinement. While the fire can expand with unit speed in all directions, barriers are constructed in real time. An optimal strategy is sought, minimizing…
In several applications of the stochastic multi-armed bandit problem, the traditional objective of maximizing the expected total reward can be inappropriate. In this paper, motivated by certain operational concerns in online platforms, we…
We study the problem of stopping a Brownian motion at a given distribution $\nu$ while optimizing a reward function that depends on the (possibly randomized) stopping time and the Brownian motion. Our first result establishes that the set…
This paper studies the problem of defending (1D and 2D) boundaries against a large number of continuous attacks with a heterogeneous group of defenders. The defender team has perfect information of the attack events within some time (finite…
For the stochastic multi-armed bandit (MAB) problem from a constrained model that generalizes the classical one, we show that an asymptotic optimality is achievable by a simple strategy extended from the $\epsilon_t$-greedy strategy. We…
This paper proposes an analytical framework for modelling resource contention in multi-robot systems, where the travel times and task durations are uncertain. It uses several approximation methods to quickly and accurately calculate the…
The Colonel Blotto game is a renowned resource allocation problem with a long-standing literature in game theory (almost 100 years). However, its scope of application is still restricted by the lack of studies on the incomplete-information…
Since its inception in the mid-60s, the inventory staggering problem has been explored and exploited in a wide range of application domains, such as production planning, stock control systems, warehousing, and aerospace/defense logistics.…
We consider a novel stochastic multi-armed bandit setting, where playing an arm makes it unavailable for a fixed number of time slots thereafter. This models situations where reusing an arm too often is undesirable (e.g. making the same…
Optimal stopping problems give rise to random distributions describing how many applicants the decision-maker will sample or interview before choosing one, a quantity sometimes referred to as the search time or process duration. This…
This paper presents an optimal control problem to analyze the efficacy of counter-terrorism tactics. We present an algorithm that efficiently combines the Minimum Principle of Pontryagin, the shooting method and the cyclic descent of…
We consider the well known Coordinated Attack Problem, where two generals have to decide on a common attack, when their messengers can be captured by the enemy. Informally, this problem represents the difficulties to agree in the presence…
The finite colliding bullets problem is the following simple problem: consider a gun, whose barrel remains in a fixed direction; let $(V_i)_{1\le i\le n}$ be an i.i.d.\ family of random variables with uniform distribution on $[0,1]$; shoot…
We study an optimal control problem in which both the objective function and the dynamic constraint contain an uncertain parameter. Since the distribution of this uncertain parameter is not exactly known, the objective function is taken as…
In this article, we discuss the optimal allocation problem in an experiment when a regression model is used for statistical analysis. Monotonic convergence for a general class of multiplicative algorithms for $D$-optimality has been…
We consider the contextual bandit problem on general action and context spaces, where the learner's rewards depend on their selected actions and an observable context. This generalizes the standard multi-armed bandit to the case where side…
In this paper, we investigate an optimal design problem motivated by some issues arising in population dynamics. In a nutshell, we aim at determining the optimal shape of a region occupied by resources for maximizing the survival ability of…
We study exploration in stochastic multi-armed bandits when we have access to a divisible resource that can be allocated in varying amounts to arm pulls. We focus in particular on the allocation of distributed computing resources, where we…