Related papers: Error estimates for binomial approximations of gam…
This paper studies the problem of robot performance evaluation, focusing on how to obtain accurate and efficient estimates of real-world behavior under severe constraints on physical experimentation. Such estimates are essential for…
In this paper we introduce polytopal stochastic games, an extension of two-player, zero-sum, turn-based stochastic games, in which we may have uncertainty over the transition probabilities. In these games the uncertainty over the…
Recent progress in the development of efficient computational algorithms to price financial derivatives is summarized. A first algorithm is based on a path integral approach to option pricing, while a second algorithm makes use of a neural…
This paper mainly discusses the American option's hedging strategies via binomialmodel and the basic idea of pricing and hedging American option. Although the essential scheme of hedging is almost the same as European option, small…
In classical game theory, optimal strategies are determined for games with complete information; this requires knowledge of the opponent's goals. We analyze games when a player is mistaken about their opponents goals. For definitiveness, we…
Estimating discrete games of complete information is often computationally difficult due to partial identification and the absence of closed-form moment characterizations. This paper proposes computationally tractable approaches to…
We study the nascent setting of online computation with imperfect advice, in which the online algorithm is enhanced by some prediction encoded in the form of a possibly erroneous binary string. The algorithm is oblivious to the advice…
Ordinary Differential Equations are generally too complex to be solved analytically. Approximations thereof can be obtained by general purpose numerical methods. However, even though accurate schemes have been developed, they remain…
Fast pricing of American-style options has been a difficult problem since it was first introduced to financial markets in 1970s, especially when the underlying stocks' prices follow some jump-diffusion processes. In this paper, we propose a…
An important question in evolutionary computation is how good solutions evolutionary algorithms can produce. This paper aims to provide an analytic analysis of solution quality in terms of the relative approximation error, which is defined…
In this paper, we propose improvements in how estimation bias, e.g., the tendency towards under-estimating the effort, is measured. The proposed approach emphasizes the need to know what the estimates are meant to represent, i.e., the type…
A dominant approach to solving large imperfect-information games is Counterfactural Regret Minimization (CFR). In CFR, many regret minimization problems are combined to solve the game. For very large games, abstraction is typically needed…
We formalize the problem of selecting the optimal set of options for planning as that of computing the smallest set of options so that planning converges in less than a given maximum of value-iteration passes. We first show that the problem…
We study two-player general sum repeated finite games where the rewards of each player are generated from an unknown distribution. Our aim is to find the egalitarian bargaining solution (EBS) for the repeated game, which can lead to much…
We study the computational complexity of computing or approximating a quasi-proper equilibrium for a given finite extensive form game of perfect recall. We show that the task of computing a symbolic quasi-proper equilibrium is…
Notes on the Spinpossible puzzle game. We give a mathematical description of the game, prove some elementary bounds on the length of optimal solutions, and consider variations of the game which place restrictions on the set of permitted…
As the widely applied method for measuring matching assortativeness in a transferable utility matching game, a matching maximum score estimation is proposed by \cite{fox2010qe}. This article reveals that combining unmatched agents,…
We consider the pricing of derivatives written on the discretely sampled realized variance of an underlying security. In the literature, the realized variance is usually approximated by its continuous-time limit, the quadratic variation of…
In this paper, we derive an explicit formula for constructing the confidence interval of binomial parameter with guaranteed coverage probability. The formula overcomes the limitation of normal approximation which is asymptotic in nature and…
The evaluation of the probability of union of a large number of independent events requires several combinations involving the factorial and the use of high performance computers with several hours of processing. Bounds and simplifications…