Related papers: On Optimal Portfolios of Dynamic Resource Allocati…
We introduce a framework that represents a dynamic program as a family of operators acting on a partially ordered set. We provide an optimality theory based only on order-theoretic assumptions and show how applications across almost all…
This paper investigates risk measures derived from the expected maximum deficit in a continuous-time framework and develops optimal reserve allocation strategies across multiple lines of business. We formalize the expected maximum deficit…
The assignment of tasks to multiple resources becomes an interesting game theoretic problem, when both the task owner and the resources are strategic. In the classical, nonstrategic setting, where the states of the tasks and resources are…
Asset allocation is an investment strategy that aims to balance risk and reward by constantly redistributing the portfolio's assets according to certain goals, risk tolerance, and investment horizon. Unfortunately, there is no simple…
We consider reallocation problems in settings where the initial endowment of each agent consists of a subset of the resources. The private information of the players is their value for every possible subset of the resources. The goal is to…
Statistical estimation in many contemporary settings involves the acquisition, analysis, and aggregation of datasets from multiple sources, which can have significant differences in character and in value. Due to these variations, the…
We are witnessing an increasing use of data-driven predictive models to inform decisions. As decisions have implications for individuals and society, there is increasing pressure on decision makers to be transparent about their decision…
Allocating scarce resources among agents to maximize global utility is, in general, computationally challenging. We focus on problems where resources enable agents to execute actions in stochastic environments, modeled as Markov decision…
This article discusses the application of stochastic intervention to find the optimal treatment distribution yielding a high value of expected potential outcome under the setting where the number of treatments is allowed to vary with $n$.…
Cloud computing enables the dynamic provisioning of server resources. To exploit this opportunity, a policy is needed for dynamically allocating (and deallocating) servers in response to the current load conditions. In this paper we…
Dynamic decisions are pivotal to economic policy making. We show how existing evidence from randomized control trials can be utilized to guide personalized decisions in challenging dynamic environments with budget and capacity constraints.…
We study a problem of optimal allocation in a discrete-time multi-period pure-exchange economy, where agents have preferences over stochastic endowment processes that are represented by strongly time-consistent dynamic risk measures. We…
The multi-energy management framework of industrial parks advocates energy conversion and scheduling, which takes full advantage of the compensation and temporal availability of multiple energy. However, how to exploit elastic loads and…
The resource allocation problem consists of the optimal distribution of a budget between agents in a group. We consider such a problem in the context of open systems, where agents can be replaced at some time instances. These replacements…
Resource allocation problems are a family of problems in which resources must be selected to satisfy given demands. This paper focuses on the two-stage stochastic generalization of resource allocation problems where future demands are…
We apply numerical dynamic programming techniques to solve discrete-time multi-asset dynamic portfolio optimization problems with proportional transaction costs and shorting/borrowing constraints. Examples include problems with multiple…
The dynamic portfolio optimization problem in finance frequently requires learning policies that adhere to various constraints, driven by investor preferences and risk. We motivate this problem of finding an allocation policy within a…
This paper considers a problem where multiple users make repeated decisions based on their own observed events. The events and decisions at each time step determine the values of a utility function and a collection of penalty functions. The…
This paper studies long term investing by an investor that maximizes either expected utility from terminal wealth or from consumption. We introduce the concepts of a generalized stochastic discount factor (SDF) and of the minimum price to…
In this work, we propose distributed and networked energy management scenarios to optimize the production and reservation of energy among a set of distributed energy nodes. In other words, the idea is to optimally allocate the generated and…