Related papers: On Optimal Portfolios of Dynamic Resource Allocati…
Efficient allocation of finite resources is a crucial problem in a wide variety of on-demand smart city applications. Service requests often appear randomly over time and space with varying intensity. Resource provisioning decisions need to…
Stochastic algorithms are among the best for solving computationally hard search and reasoning problems. The runtime of such procedures is characterized by a random variable. Different algorithms give rise to different probability…
We consider the problem of designing an expected-revenue maximizing mechanism for allocating multiple non-perishable goods of $k$ varieties to flexible consumers over $T$ time steps. In our model, a random number of goods of each variety…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
A portfolio of different stocks and a risk-less security whose composition is dynamically maintained stable by trading shares at any time step leads to a growth of the capital with a nonrandom rate. This is the key for the theory of…
This paper considers the problem of designing a dynamical system to solve constrained optimization problems in a distributed way and in an anytime fashion (i.e., such that the feasible set is forward invariant). For problems with separable…
Generating optimal plans in highly dynamic environments is challenging. Plans are predicated on an assumed initial state, but this state can change unexpectedly during plan generation, potentially invalidating the planning effort. In this…
Classical portfolio optimization methods typically determine an optimal capital allocation through the implicit, yet critical, assumption of statistical time-invariance. Such models are inadequate for real-world markets as they employ…
We introduce a general model of resource allocation with customer choice. In this model, there are multiple resources that are available over a finite horizon. The resources are non-replenishable and perishable. Each unit of a resource can…
The allocation of resources plays an important role in the completion of system objectives and tasks, especially in the presence of strategic adversaries. Optimal allocation strategies are becoming increasingly more complex, given that…
Resource allocation is an essential aspect of successful Product Development (PD). In this paper, we formulate the dynamic resource allocation of the PD process as a convex optimization problem. Specially, we build and solve two variants of…
We consider an investor, whose portfolio consists of a single risky asset and a risk free asset, who wants to maximize his expected utility of the portfolio subject to the Value at Risk assuming a heavy tail distribution of the stock prices…
Distributed resource allocation is a central task in network systems such as smart grids, water distribution networks, and urban transportation systems. When solving such problems in practice it is often important to have nonasymptotic…
Portfolio management is an essential component of investment strategy that aims to maximize returns while minimizing risk. This paper explores several portfolio management strategies, including asset allocation, diversification, active…
We consider the problem of optimal budget allocation for crowdsourcing problems, allocating users to tasks to maximize our final confidence in the crowdsourced answers. Such an optimized worker assignment method allows us to boost the…
In this paper we formulate the fixed budget resource allocation game to understand the performance of a distributed market-based resource allocation system. Multiple users decide how to distribute their budget (bids) among multiple machines…
We consider an investor facing a classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies that reduce a dynamic shortfall risk…
In the theory of dynamic programming, an optimal policy is a policy whose lifetime value dominates that of all other policies from every possible initial condition in the state space. This raises a natural question: when does optimality…
We consider portfolio optimization in futures markets. We model the entire futures price curve at once as a solution of a stochastic partial differential equation. The agents objective is to maximize her utility from the final wealth when…
Consider a species whose population density solves the steady diffusive logistic equation in a heterogeneous environment modeled with the help of a spatially non constant coefficient standing for a resources distribution in a given box. We…