Related papers: Time (in)consistency of multistage distributionall…
For a sequence of dynamic optimization problems, we aim at discussing a notion of consistency over time. This notion can be informally introduced as follows. At the very first time step $t_0$, the decision maker formulates an optimization…
For optimal stopping problems with time-inconsistent preference, we measure the inherent level of time-inconsistency by taking the time needed to turn the naive strategies into the sophisticated ones. In particular, when in a repeated…
According to recent results, convergence in a prespecified or prescribed finite time can be achieved under extreme model uncertainty if control is applied continuously over time. This paper shows that this extreme amount of uncertainty…
Demand forecasting plays an important role in many inventory control problems. To mitigate the potential harms of model misspecification, various forms of distributionally robust optimization have been applied. Although many of these…
We consider sequences-indexed by time (discrete stages)-of families of multistage stochastic optimization problems. At each time, the optimization problems in a family are parameterized by some quantities (initial states, constraint…
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…
Time inconsistency is prevalent in dynamic choice problems: a plan of actions to be taken in the future that is optimal for an agent today may not be optimal for the same agent in the future. If the agent is aware of this intra-personal…
This paper considers time-inconsistent problems when control and stopping strategies are required to be made simultaneously (called stopping control problems by us). We first formulate the timeinconsistent stopping control problems under…
Time-consistency is an essential requirement in risk sensitive optimal control problems to make rational decisions. An optimization problem is time consistent if its solution policy does not depend on the time sequence of solving the…
This paper considers a time-inconsistent stopping problem in which the inconsistency arises from non-constant time preference rates. We show that the smooth pasting principle, the main approach that has been used to construct explicit…
Inventory management problems with periodic and controllable resets occur in the context of managing water storage in the developing world and retailing limited-time availability products. In this paper, we consider a set of sequential…
In this paper, which is a continuation of the previously published discrete time paper we develop a theory for continuous time stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a…
Service platforms must determine rules for matching heterogeneous demand (customers) and supply (workers) that arrive randomly over time and may be lost if forced to wait too long for a match. Our objective is to maximize the cumulative…
This paper brings together divergent approaches to time inconsistency from macroeconomic policy and behavioural economics. Behavioural discount functions from behavioural microeconomics are embedded into a game-theoretic analysis of…
This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective functional balances the expected utility and variance on log…
This paper studies the problem of output agreement in networks of nonlinear dynamical systems under time-varying disturbances. Necessary and sufficient conditions for output agreement are derived for the class of incrementally passive…
The paper [12] examines a concept of equilibrium policies instead of optimal controls in stochastic optimization to analyze a mean-variance portfolio selection problem. We follow the same approach in order to investigate the Merton…
Bellman formulated a vague principle for optimization over time, which characterizes optimal policies by stating that a decision maker should not regret previous decisions retrospectively. This paper addresses time consistency in stochastic…
In this paper, we formulate a general time-inconsistent stochastic linear--quadratic (LQ) control problem. The time-inconsistency arises from the presence of a quadratic term of the expected state as well as a state-dependent term in the…
We study non-stationary single-item, periodic-review inventory control problems in which the demand distribution is unknown and may change over time. We analyze how demand non-stationarity affects learning performance across inventory…