Related papers: Identifying the Discount Factor in Dynamic Discret…
This paper studies a central planner's decision making on behalf of a group of members with diverse discount rates. In the context of optimal stopping, we work with an aggregation preference to incorporate all discount rates via an attitude…
A central push in operations models over the last decade has been the incorporation of models of customer choice. Real world implementations of many of these models face the formidable stumbling block of simply identifying the `right' model…
Estimation and inference in dynamic discrete choice models often relies on approximation to lower the computational burden of dynamic programming. Unfortunately, the use of approximation can impart substantial bias in estimation and results…
We analyze the stability of general nonlinear discrete-time stochastic systems controlled by optimal inputs that minimize an infinite-horizon discounted cost. Under a novel stochastic formulation of cost-controllability and detectability…
We study a discrete-time consumption-based capital asset pricing model under expectations-based reference-dependent preferences. More precisely, we consider an endowment economy populated by a representative agent who derives utility from…
Economic Model Predictive Control has recently gained popularity due to its ability to directly optimize a given performance criterion, while enforcing constraint satisfaction for nonlinear systems. Recent research has developed both…
The menu-dependent nature of regret-minimization creates subtleties when it is applied to dynamic decision problems. Firstly, it is not clear whether \emph{forgone opportunities} should be included in the \emph{menu}, with respect to which…
Reinforcement learning (RL) agents have traditionally been tasked with maximizing the value function of a Markov decision process (MDP), either in continuous settings, with fixed discount factor $\gamma < 1$, or in episodic settings, with…
There is a consensus that human and non-human subjects experience temporal distortions in many stages of their perceptual and decision-making systems. Similarly, intertemporal choice research has shown that decision-makers undervalue future…
To determine the welfare implications of price changes in demand data, we introduce a revealed preference relation over prices. We show that the absence of cycles in this relation characterizes a consumer who trades off the utility of…
In this paper, we investigate dynamic feature selection within multivariate time-series scenario, a common occurrence in clinical prediction monitoring where each feature corresponds to a bio-test result. Many existing feature selection…
Intertemporal decision making involves choices among options whose effects occur at different moments. These choices are influenced not only by the effect of rewards value perception at different moments, but also by the time perception…
We derive expressions for the first three moments of the decision time (DT) distribution produced via first threshold crossings by sample paths of a drift-diffusion equation. The "pure" and "extended" diffusion processes are widely used to…
Evaluating the financial performance of manufacturing firms requires consideration of both the time value of money and the relative importance of multiple decision criteria. Conventional approaches relying solely on deterministic…
In this paper, we consider a self-triggered formulation of model predictive control. In this variant, the controller decides at the current sampling instant itself when the next sample should be taken and the optimization problem be solved…
We show that identification in a general class of dynamic panel logit models with fixed effects is related to the truncated moment problem from the mathematics literature. We use this connection to show that the identified set for…
In dynamic discrete choice (DDC) analysis, it is common to use mixture models to control for unobserved heterogeneity. However, consistent estimation typically requires both restrictions on the support of unobserved heterogeneity and a…
We propose an estimation procedure for discrete choice models of differentiated products with possibly high-dimensional product attributes. In our model, high-dimensional attributes can be determinants of both mean and variance of the…
We study a dynamic random utility model that allows for consumption dependence. We axiomatically analyze this model and find insights that allow us to distinguish between behavior that arises due to consumption dependence and behavior that…
We show that many models of choice can be alternatively represented as special cases of choice with limited attention (Masatlioglu, Nakajima, and Ozbay, 2012), singling out the properties of the unobserved attention filters that explain the…