Related papers: Executive stock option exercise with full and part…
In POMDPs, information about the hidden state, delivered through observations, is both valuable to the agent, allowing it to base its actions on better informed internal states, and a "curse", exploding the size and diversity of the…
We study the problem of optimally managing an inventory with unknown demand trend. Our formulation leads to a stochastic control problem under partial observation, in which a Brownian motion with non-observable drift can be singularly…
We present a novel model for capturing the behavior of an agent exhibiting sunk-cost bias in a stochastic environment. Agents exhibiting sunk-cost bias take into account the effort they have already spent on an endeavor when they evaluate…
In the classical quickest detection problem, one must detect as quickly as possible when a Brownian motion without drift "changes" into a Brownian motion with positive drift. The change occurs at an unknown "disorder" time with exponential…
In this paper, we consider a class of stochastic impulse control problem when there is a fixed delay $\Delta$ between the decision and execution times. The dynamics of the controlled system between two impulses is an arbitrary adapted…
In this work we develop a new algorithm for rating of teams (or players) in one-on-one games by exploiting the observed difference of the game-points (such as goals), also known as a margin of victory (MOV). Our objective is to obtain the…
When learning common skills like driving, beginners usually have domain experts standing by to ensure the safety of the learning process. We formulate such learning scheme under the Expert-in-the-loop Reinforcement Learning where a guardian…
Federated learning (FL) has received significant attention in recent years for its advantages in efficient training of machine learning models across distributed clients without disclosing user-sensitive data. Specifically, in federated…
American options in a multi-asset market model with proportional transaction costs are studied in the case when the holder of an option is able to exercise it gradually at a so-called mixed (randomised) stopping time. The introduction of…
It is reported that financial news, especially financial events expressed in news, provide information to investors' long/short decisions and influence the movements of stock markets. Motivated by this, we leverage financial event streams…
Opportunistic Spatial Orthogonalization (OSO) is a cognitive radio scheme that allows the existence of secondary users and hence increases the system throughput, even if the primary user occupies all the frequency bands all the time.…
Distributed opportunistic scheduling (DOS) is studied for wireless ad-hoc networks in which many links contend for the channel using random access before data transmissions. Simply put, DOS involves a process of joint channel probing and…
We study a signaling game between an employer and a potential employee, where the employee has private information regarding their production capacity. At the initial stage, the employee communicates a salary claim, after which the true…
Information relaxation and duality in Markov decision processes have been studied recently by several researchers with the goal to derive dual bounds on the value function. In this paper we extend this dual formulation to controlled Markov…
This paper presents an active search trajectory synthesis technique for autonomous mobile robots with nonlinear measurements and dynamics. The presented approach uses the ergodicity of a planned trajectory with respect to an expected…
We consider a collection of statistically identical two-state continuous time Markov chains (channels). A controller continuously selects a channel with the view of maximizing infinite horizon average reward. A switching cost is paid upon…
This paper deals with control of partially observable discrete-time stochastic systems. It introduces and studies Markov Decision Processes with Incomplete Information and with semi-uniform Feller transition probabilities. The important…
Models of economic decision makers often include idealized assumptions, such as rationality, perfect foresight, and access to all relevant pieces of information. These assumptions often assure the models' internal validity, but, at the same…
A methodology is developed to identify, as units of study, each decrease in the value of a stock from a given maximum price level. A critical level in the amount of price declines is found to separate a segment operating under a random walk…
The hidden-action model captures a fundamental problem of principal-agent theory and provides an optimal sharing rule when only the outcome but not the effort can be observed. However, the hidden-action model builds on various explicit and…