Related papers: On Optimal Allocation of a Continuous Resource Usi…
We study the repeated optimal stopping problem, in which the same optimal stopping instance with an unknown distribution is solved repeatedly over $T$ rounds. We aim to simultaneously achieve strong per-round performance guarantees relative…
We study the combinatorial pure exploration problem Best-Set in stochastic multi-armed bandits. In a Best-Set instance, we are given $n$ arms with unknown reward distributions, as well as a family $\mathcal{F}$ of feasible subsets over the…
We consider the best-choice problem for independent (not necessarily iid) observations $X_1, \cdots, X_n$ with the aim of selecting the sample minimum. We show that in this full generality the monotone case of optimal stopping holds and the…
We first describe a general class of optimization problems that describe many natural, economic, and statistical phenomena. After noting the existence of a conserved quantity in a transformed coordinate system, we outline several instances…
In this paper we consider resource allocation problem stated as a convex minimization problem with linear constraints. To solve this problem, we use gradient and accelerated gradient descent applied to the dual problem and prove the…
We consider the problem of planning the aggregate energy consumption for a set of thermostatically controlled loads for demand response, accounting price forecast trajectory and thermal comfort constraints. We address this as a…
The Stackelberg game model, where a leader commits to a strategy and the follower best responds, has found widespread application, particularly to security problems. In the security setting, the goal is for the leader to compute an optimal…
Airplane refueling problem is a nonlinear unconstrained optimization problem with $n!$ feasible solutions. Given a fleet of $n$ airplanes with mid-air refueling technique, the question is to find the best refueling policy to make the last…
In the stochastic knapsack problem, we are given a knapsack of size B, and a set of jobs whose sizes and rewards are drawn from a known probability distribution. However, we know the actual size and reward only when the job completes. How…
This letter proposes a novel continuous-time dynamic programming framework to determine when it is optimal for a pursuer to use MC amidst uncertainty in the evader's escape attempt time. We motivate this framework through the model problem…
The restless bandit problem is one of the most well-studied generalizations of the celebrated stochastic multi-armed bandit problem in decision theory. In its ultimate generality, the restless bandit problem is known to be PSPACE-Hard to…
We study a trajectory analysis problem we call the Trajectory Capture Problem (TCP), in which, for a given input set ${\cal T}$ of trajectories in the plane, and an integer $k\geq 2$, we seek to compute a set of $k$ points (``portals'') to…
We consider a discrete-time bipartite matching model with random arrivals of units of supply and demand that can wait in queues located at the nodes in the network. A control policy determines which are matched at each time. The focus is on…
We model learning in a continuous-time Brownian setting where there is prior ambiguity. The associated model of preference values robustness and is time-consistent. It is applied to study optimal learning when the choice between actions can…
In the classical optimal stopping problem, a player is given a sequence of random variables $X_1\ldots X_n$ with known distributions. After observing the realization of $X_i$, the player can either accept the observed reward from $X_i$ and…
We consider the maximization problem of monotone submodular functions under an uncertain knapsack constraint. Specifically, the problem is discussed in the situation that the knapsack capacity is not given explicitly and can be accessed…
Many discrete-time optimal stopping problems are known to have more tractable limit forms based on a planar Poisson process. Using this tool we find a solution to the optimal stopping problem for i.i.d. sequence of $n$ discrete uniform…
We revisit a version of the classic occupancy scheme, where balls are thrown until almost all boxes receive a given number of balls. Special cases are widely known as coupon-collectors and dixie cup problems. We show that as the number of…
We consider a stochastic multi-armed bandit setting where reward must be actively queried for it to be observed. We provide tight lower and upper problem-dependent guarantees on both the regret and the number of queries. Interestingly, we…
We consider the problem of allocating a distribution of items to $n$ recipients where each recipient has to be allocated a fixed, prespecified fraction of all items, while ensuring that each recipient does not experience too much envy. We…