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This study proposes a mathematical model to optimally locate a set of detectors in such a way that the expected number of casualties in a given threat area can be minimized. Detectors may not be perfectly reliable, which is often a function…
We consider the infinite-horizon average-reward restless bandit problem. We propose a novel \emph{two-set policy} that maintains two dynamic subsets of arms: one subset of arms has a nearly optimal state distribution and takes actions…
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 problem of designing contextual bandit algorithms in the ``cross-learning'' setting of Balseiro et al., where the learner observes the loss for the action they play in all possible contexts, not just the context of the…
We consider the problem to identify the most likely flow in phase space, of (inertial) particles under stochastic forcing, that is in agreement with spatial (marginal) distributions that are specified at a set of points in time. The…
We present a fully probabilistic approach for solving binary optimization problems with black-box objective functions and with budget constraints. In the probabilistic approach, the optimization variable is viewed as a random variable and…
This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…
Bruss's odds theorem \cite{Bruss1} addresses the problem of determining the optimal stopping time for sequences of independent indicator functions. In this note, we derive upper and lower bounds for the success probability under the optimal…
Maximising the detection of intrusions is a fundamental and often critical aim of perimeter surveillance. Commonly, this requires a decision-maker to optimally allocate multiple searchers to segments of the perimeter. We consider a scenario…
We study the sequential resource allocation problem where a decision maker repeatedly allocates budgets between resources. Motivating examples include allocating limited computing time or wireless spectrum bands to multiple users (i.e.,…
We present a quantum algorithm that has rigorous runtime guarantees for several families of binary optimization problems, including Quadratic Unconstrained Binary Optimization (QUBO), Ising spin glasses ($p$-spin model), and $k$-local…
We model the joint distribution of choice probabilities and decision times in binary choice tasks as the solution to a problem of optimal sequential sampling, where the agent is uncertain of the utility of each action and pays a constant…
The best arm identification problem (BEST-1-ARM) is the most basic pure exploration problem in stochastic multi-armed bandits. The problem has a long history and attracted significant attention for the last decade. However, we do not yet…
Bertrand et al. introduced a model of parameterised systems, where each agent is represented by a finite state system, and studied the following control problem: for any number of agents, does there exist a controller able to bring all…
The paper introduces particle swarm optimization as a viable strategy to find numerical solution of Diophantine equation, for which there exists no general method of finding solutions. The proposed methodology uses a population of integer…
We address the problem of optimal evasion in a planar endgame engagement, where a target with bounded lateral acceleration seeks to avoid interception by a missile guided by a linear feedback law. Contrary to existing approaches, that…
Given a survival distribution on the positive half-axis and a Brownian motion, a solution of the inverse first-passage problem consists of a boundary so that the first passage time over the boundary has the given distribution. We show that…
Recent work has considered natural variations of the multi-armed bandit problem, where the reward distribution of each arm is a special function of the time passed since its last pulling. In this direction, a simple (yet widely applicable)…
We obtain a probabilistic proof of the local Lipschitz continuity for the optimal stopping boundary of a class of problems with state space $[0,T]\times\mathbb{R}^d$, $d\ge 1$. To the best of our knowledge this is the only existing proof…
The airplane refueling problem is a nonlinear combinatorial optimization problem, and its equivalent problem the $n$-vehicle exploration problem is proved to be NP-complete (arXiv:2304.03965v1, The $n$-vehicle exploration problem is…