Related papers: The value of foresight
There is a growing body of work on sorting and selection in models other than the unit-cost comparison model. This work is the first treatment of a natural stochastic variant of the problem where the cost of comparing two elements is a…
We study prediction of future outcomes with supervised models that use privileged information during learning. The privileged information comprises samples of time series observed between the baseline time of prediction and the future…
Assume that a grocery item is sold 1'234 times on a given day. What should an ideal forecast have predicted for such a well-selling item, on average? More generally, when considering a given outcome value, should the empirical average of…
We evaluate the average waiting time between observing the price of financial markets and the next price change, especially in an on-line foreign exchange trading service for individual customers via the internet. Basic technical idea of…
We consider the problem of finding a consistent upper price bound for exotic options whose payoff depends on the stock price at two different predetermined time points (e.g. Asian option), given a finite number of observed call prices for…
We investigate the behavior of experts who seek to make predictions with maximum impact on an audience. At a known future time, a certain continuous random variable will be realized. A public prediction gradually converges to the outcome,…
We study the problem of evaluating a discrete function by adaptively querying the values of its variables until the values read uniquely determine the value of the function. Reading the value of a variable is done at the expense of some…
One problem of wide interest involves estimating expected crossing-times. Several tools have been developed to solve this problem beginning with the works of Wald and the theory of sequential analysis. An extension of his approach is…
For an infinite-horizon continuous-time optimal stopping problem under non-exponential discounting, we look for an optimal equilibrium, which generates larger values than any other equilibrium does on the entire state space. When the…
We consider an irreversible investment problem under incomplete information, where the investor decides whether and when to make investments in a project. Upon investment, the investor acquires previously hidden information from the…
We investigate brokerage between traders from an online learning perspective. At any round $t$, two traders arrive with their private valuations, and the broker proposes a trading price. Unlike other bilateral trade problems already studied…
Recent work has shown that temporally extended actions (options) can be learned fully end-to-end as opposed to being specified in advance. While the problem of "how" to learn options is increasingly well understood, the question of "what"…
We investigate an optimal stopping problem for the expected value of a discounted payoff on a regime-switching geometric Brownian motion under two constraints on the possible stopping times: only at exogenous random times and only during a…
We propose a sampling scheme suitable for reducing a data set prior to selecting a hypothesis with minimum empirical risk. The sampling only considers a subset of the ultimate (unknown) hypothesis set, but can nonetheless guarantee that the…
Humans and animals have the ability to reason and make predictions about different courses of action at many time scales. In reinforcement learning, option models (Sutton, Precup \& Singh, 1999; Precup, 2000) provide the framework for this…
An efficient approach to the calculation of the $\epsilon$-entropy is proposed. The method is based on the idea of looking at the information content of a string of data, by analyzing the signal only at the instants when the fluctuations…
Building on insights of Jovanovic (1982) and subsequent authors, we develop a comprehensive theory of optimal timing of decisions based around continuation value functions and operators that act on them. Optimality results are provided…
Consider a trade market with one seller and multiple buyers. The seller aims to sell an indivisible item and maximize their revenue. This paper focuses on a simple and popular mechanism--the fixed-price mechanism. Unlike the standard…
The average properties of the well-known Subset Sum Problem can be studied by the means of its randomised version, where we are given a target value $z$, random variables $X_1, \ldots, X_n$, and an error parameter $\varepsilon > 0$, and we…
Learning is a process which can update decision rules, based on past experience, such that future performance improves. Traditionally, machine learning is often evaluated under the assumption that the future will be identical to the past in…