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Practitioners often use data from a randomized controlled trial to learn a treatment assignment policy that can be deployed on a target population. A recurring concern in doing so is that, even if the randomized trial was well-executed…

We propose a novel Bayesian method to solve the maximization of a time-dependent expensive-to-evaluate stochastic oracle. We are interested in the decision that maximizes the oracle at a finite time horizon, given a limited budget of noisy…

We discuss Bayesian model uncertainty analysis and forecasting in sequential dynamic modeling of multivariate time series. The perspective is that of a decision-maker with a specific forecasting objective that guides thinking about relevant…

We introduce a novel theoretical framework for Return On Investment (ROI) maximization in repeated decision-making. Our setting is motivated by the use case of companies that regularly receive proposals for technological innovations and…

Motivated by applications where impatience is pervasive and evaluation times are uncertain, we study a selection model where options may expire at an unknown point in time and evaluation times are stochastic. Initially, the decision-maker…

For many economic questions, the empirical results are not interesting unless they are strong. For these questions, theorizing before the results are known is not always optimal. Instead, the optimal sequencing of theory and empirics trades…

We consider an irreversible investment problem under incomplete information, where the investor decides whether and when to make investments in a project. Upon investment, the investor acquires previously hidden information from the…

We consider a model of Bayesian observational learning in which a sequence of agents receives a private signal about an underlying binary state of the world. Each agent makes a decision based on its own signal and its observations of…

Bayesian optimization is a coherent, ubiquitous approach to decision-making under uncertainty, with applications including multi-arm bandits, active learning, and black-box optimization. Bayesian optimization selects decisions (i.e.…

Policy learning algorithms are widely used in areas such as personalized medicine and advertising to develop individualized treatment regimes. However, most methods force a decision even when predictions are uncertain, which is risky in…

Production systems deteriorate stochastically due to usage and may eventually break down, resulting in high maintenance costs at scheduled maintenance moments. This deterioration behavior is affected by the system's production rate. While…

We study sequential social learning with endogenous information acquisition when agents have a taste for nonconformity. Each agent observes predecessors' actions, chooses whether to acquire a private signal (and its precision), and then…

Bayesian models often involve a small set of hyperparameters determined by maximizing the marginal likelihood. Bayesian optimization is a popular iterative method where a Gaussian process posterior of the underlying function is sequentially…

We analyze the problem of learning a single user's preferences in an active learning setting, sequentially and adaptively querying the user over a finite time horizon. Learning is conducted via choice-based queries, where the user selects…

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…

We propose the use of Bayesian networks, which provide both a mean value and an uncertainty estimate as output, to enhance the safety of learned control policies under circumstances in which a test-time input differs significantly from the…

We study belief revision when information is represented by a set of probability distributions, or general information. General information extends the standard event notion while including qualitative information (A is more likely than B),…

We consider the problem of optimal dynamic information acquisition from many correlated information sources. Each period, the decision-maker jointly takes an action and allocates a fixed number of observations across the available sources.…

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…

We study the Markowitz portfolio selection problem with unknown drift vector in the multidimensional framework. The prior belief on the uncertain expected rate of return is modeled by an arbitrary probability law, and a Bayesian approach…