Related papers: Anglers' fishing problem
In this paper, we study the optimal multiple stopping problem under the filtration consistent nonlinear expectations. The reward is given by a set of random variables satisfying some appropriate assumptions rather than an RCLL process. We…
This paper considers online optimization for a system that performs a sequence of back-to-back tasks. Each task can be processed in one of multiple processing modes that affect the duration of the task, the reward earned, and an additional…
We develop the linear programming approach to mean-field games in a general setting. This relaxed control approach allows to prove existence results under weak assumptions, and lends itself well to numerical implementation. We consider…
Linear Fisher market is one of the most fundamental economic models. The market is traditionally examined on the basis of individual's price-taking behavior. However, this assumption breaks in markets such as online advertising and…
Consider a two-player game repeated N times. Player 1 can choose between two styles (for interpretability, offensive and defensive), whereas Player 2 uses a single fixed style. Let X N\,:= \#wins -\#losses for Player 1 after N games, and…
The problem of designing a profit-maximizing, Bayesian incentive compatible and individually rational mechanism with flexible consumers and costly heterogeneous supply is considered. In our setup, each consumer is associated with a…
A renewal system divides the slotted timeline into back to back time periods called renewal frames. At the beginning of each frame, it chooses a policy from a set of options for that frame. The policy determines the duration of the frame,…
A decision maker is choosing between an active action (e.g., purchase a house, invest certain stock) and a passive action. The payoff of the active action depends on the buyer's private type and also an unknown state of nature. An…
Satisficing is a relaxation of maximizing and allows for less risky decision making in the face of uncertainty. We propose two sets of satisficing objectives for the multi-armed bandit problem, where the objective is to achieve reward-based…
In many two-sided markets, the parties to be matched have incomplete information about their characteristics. We consider the settings where the parties engaged are extremely patient and are interested in long-term partnerships. Hence, once…
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…
A model among many may only be best under certain states of the world. Switching from a model to another can also be costly. Finding a procedure to dynamically choose a model in these circumstances requires to solve a complex estimation…
We model search in settings where decision makers know what can be found but not where to find it. A searcher faces a set of choices arranged by an observable attribute. Each period, she either selects a choice and pays a cost to learn…
Decomposition methods have been proposed to approximate solutions to large sequential decision making problems. In contexts where an agent interacts with multiple entities, utility decomposition can be used to separate the global objective…
The controller of an input-affine system is determined through minimizing a time-varying objective function, where stabilization is ensured via a Lyapunov function decay condition as constraint. This constraint is incorporated into the…
This paper considers a time-varying optimization problem associated with a network of systems, with each of the systems shared by (and affecting) a number of individuals. The objective is to minimize cost functions associated with the…
We introduce a dynamic mechanism design problem in which the designer wants to offer for sale an item to an agent, and another item to the same agent at some point in the future. The agent's joint distribution of valuations for the two…
A monopolist seller of multiple goods screens a buyer whose type is initially unknown to both but drawn from a commonly known distribution. The buyer privately learns about his type via a signal. We derive the seller's optimal mechanism in…
We use martingale and stochastic analysis techniques to study a continuous-time optimal stopping problem, in which the decision maker uses a dynamic convex risk measure to evaluate future rewards. We also find a saddle point for an…
Overfishing can lead to the reduction or elimination of fish populations and the degradation or even destruction of their habitats. This can be prevented by introducing Marine Protected Areas (MPA's), regions in the ocean or along…