Related papers: Stochastic Dynamic Utilities and Inter-Temporal Pr…
We analyze a problem of revealed preference given state-dependent stochastic choice data in which the payoff to a decision maker (DM) only depends on their beliefs about posterior means. Often, the DM must also learn about or pay attention…
The dynamics of temporal networks lie in the continuous interactions between nodes, which exhibit the dynamic node preferences with time elapsing. The challenges of mining temporal networks are thus two-fold: the dynamic structure of…
The classical Merton investment problem predicts deterministic, state-dependent portfolio rules; however, laboratory and field evidence suggests that individuals often prefer randomized decisions leading to stochastic and noisy choices.…
In this paper, we consider the revealed preferences problem from a learning perspective. Every day, a price vector and a budget is drawn from an unknown distribution, and a rational agent buys his most preferred bundle according to some…
Bell (1988) introduced the one-switch property for preferences over sequences of dated outcomes. This property concerns the effect of adding a common delay to two such sequences: it says that the preference ranking of the delayed sequences…
The supply of electrical energy is being increasingly sourced from renewable generation resources. The variability and uncertainty of renewable generation, compared to a dispatch-able plant, is a significant dissimilarity of concern to the…
We consider a risk-sensitive optimization of consumption-utility on infinite time horizon where the one-period investment gain depends on an underlying economic state whose evolution over time is assumed to be described by a discrete-time,…
Proceeding from the concept of rational expectations, a new dynamic model of supply and demand in a single market with one supplier, one buyer, and one kind of commodity is developed. Unlike the cob-web dynamic theories with adaptive…
We provide four novel results for nonhomothetic Constant Elasticity of Substitution preferences (Hanoch, 1975). First, we derive a closed-form representation of the expenditure function of nonhomothetic CES under relatively flexible…
This paper presents a general class of dynamic stochastic optimization problems we refer to as Stochastic Depletion Problems. A number of challenging dynamic optimization problems of practical interest are stochastic depletion problems.…
In most contemporary approaches to decision making, a decision problem is described by a sets of states and set of outcomes, and a rich set of acts, which are functions from states to outcomes over which the decision maker (DM) has…
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…
Probabilistic independence can dramatically simplify the task of eliciting, representing, and computing with probabilities in large domains. A key technique in achieving these benefits is the idea of graphical modeling. We survey existing…
These expository notes address certain stationary and ergodic properties of the equations of fluid dynamics subject to a spatially degenerate (i.e. frequency localized), white in time gaussian forcing. In order to provide an accessible…
Social dynamics is concerned primarily with interactions among individuals and the resulting group behaviors, modeling the temporal evolution of social systems via the interactions of individuals within these systems. In particular, the…
Classical Decision Theory provides a normative framework for representing and reasoning about complex preferences. Straightforward application of this theory to automate decision making is difficult due to high elicitation cost. In response…
We study dynamic mechanism design in a pure-exchange economy with privately observed idiosyncratic income. In the standard infinitely lived hidden-income benchmark of Green (1987) and Thomas-Worrall (1990), constrained-efficient allocations…
We consider a stochastic, dynamic job scheduling problem, formulated as a queueing control problem, in which a single server processes jobs of different types that arrive according to independent Poisson processes. The problem is defined on…
This paper derives primitive, easily verifiable sufficient conditions for existence and uniqueness of (stochastic) recursive utilities for several important classes of preferences. In order to accommodate models commonly used in practice,…
Human preferences are not always represented via complete linear orders: It is natural to employ partially-ordered preferences for expressing incomparable outcomes. In this work, we consider decision-making and probabilistic planning in…