Related papers: Reference-Based Almost Stochastic Dominance Rules …
The expectation is an example of a descriptive statistic that is monotone with respect to stochastic dominance, and additive for sums of independent random variables. We provide a complete characterization of such statistics, and explore a…
Constrained reinforcement learning is to maximize the expected reward subject to constraints on utilities/costs. However, the training environment may not be the same as the test one, due to, e.g., modeling error, adversarial attack,…
Probabilistic control design is founded on the principle that a rational agent attempts to match modelled with an arbitrary desired closed-loop system trajectory density. The framework was originally proposed as a tractable alternative to…
We develop a tractable model of realization utility that studies the role of reference-dependent S-shaped preferences in a dynamic investment setting with reinvestment. Our model generates both voluntarily realized gains and losses. It…
We consider a class of well-known dynamic resource allocation models in loss network systems with advanced reservation. The most important performance measure in any loss network system is to compute its blocking probability, i.e., the…
In this paper, we discuss an application of the SDDP type algorithm to nested risk-averse formulations of Stochastic Optimal Control (SOC) problems. We propose a construction of a statistical upper bound for the optimal value of risk-averse…
This paper studies Pareto-optimal reinsurance design in a monopolistic market with multiple primary insurers and a single reinsurer, all with heterogeneous risk preferences. The risk preferences are characterized by a family of risk…
Many sequential decision-making problems that are currently automated, such as those in manufacturing or recommender systems, operate in an environment where there is either little uncertainty, or zero risk of catastrophe. As companies and…
The (R, s, S) is a stochastic inventory control policy widely used by practitioners. In an inventory system managed according to this policy, the inventory is reviewed at instant R; if the observed inventory position is lower than the…
We introduce a statistical physics inspired supervised machine learning algorithm for classification and regression problems. The method is based on the invariances or stability of predicted results when known data is represented as…
We propose an computational framework for real-time risk assessment and prioritizing for random outcomes without prior information on probability distributions. The basic model is built based on satisficing measure (SM) which yields a…
A widely used heuristic for solving stochastic optimization problems is to use a deterministic rolling horizon procedure, which has been modified to handle uncertainty (e.g. buffer stocks, schedule slack). This approach has been criticized…
We consider a financial intermediary managing assets and liabilities exposed to several risk sources and seeking an optimal portfolio strategy to minimise the initial capital invested and the total risk associated with investment losses and…
Social decision schemes (SDSs) map the preferences of a group of voters over some set of $m$ alternatives to a probability distribution over the alternatives. A seminal characterization of strategyproof SDSs by Gibbard implies that there…
This paper develops theoretical criteria and econometric methods to rank policy interventions in terms of welfare when individuals are loss-averse. Our new criterion for "loss aversion-sensitive dominance" defines a weak partial ordering of…
Optimal control of stochastic nonlinear dynamical systems is a major challenge in the domain of robot learning. Given the intractability of the global control problem, state-of-the-art algorithms focus on approximate sequential optimization…
In reinforcement learning (RL), offline learning decoupled learning from data collection and is useful in dealing with exploration-exploitation tradeoff and enables data reuse in many applications. In this work, we study two offline…
In this work, we consider how preference models in interactive recommendation systems determine the availability of content and users' opportunities for discovery. We propose an evaluation procedure based on stochastic reachability to…
We consider a problem of finding an SSD (second-order stochastic dominance)-minimal quantile function subject to the mixture of FSD (first-order stochastic dominance) and SSD constraints. The SSD-minimal solution is explicitly worked out…
Optimal control under uncertainty is a prevailing challenge for many reasons. One of the critical difficulties lies in producing tractable solutions for the underlying stochastic optimization problem. We show how advanced approximate…