Related papers: Asymptotic Linearity of Consumption Functions and …
We study the questions of determining the asymptotics of the probabilistic characteristics of additive arithmetic functions in the paper, regardless of whether they have a limit distribution or not. Several assertions are proved about the…
This paper develops and implements a nonparametric test of Random Utility Models. The motivating application is to test the null hypothesis that a sample of cross-sectional demand distributions was generated by a population of rational…
Parametric high-dimensional regression analysis requires the usage of regularization terms to get interpretable models. The respective estimators can be regarded as regularized M-functionals which are naturally highly nonlinear. We study…
Solutions to network optimization problems have greatly benefited from developments in nonlinear analysis, and, in particular, from developments in convex optimization. A key concept that has made convex and nonconvex analysis an important…
This paper studies the class of logarithmically completely monotonic (LCM) functions. These functions play an important role in characterising externally positive linear systems which find applications in important control problems such as…
The aim of this paper is investigating the existence and multiplicity of weak solutions to non--local equations involving the {\em magnetic fractional Laplacian}, when the nonlinearity is subcritical and asymptotically linear at infinity.…
Model Predictive Control (MPC) is well understood in the deterministic setting, yet rigorous stability and performance guarantees for stochastic MPC remain limited to the consideration of terminal constraints and penalties. In contrast,…
We study the consumption behaviour of an asymmetric network of heterogeneous agents in the framework of discrete choice models with stochastic decision rules. We assume that the interactions among agents are uniquely specified by their…
This paper demonstrates how reinforcement learning can explain two puzzling empirical patterns in household consumption behavior during economic downturns. I develop a model where agents use Q-learning with neural network approximation to…
We reconsider the problem of optimal trading in the presence of linear and quadratic costs, for arbitrary linear costs but in the limit where quadratic costs are small. Using matched asymptotic expansion techniques, we find that the trading…
In optimization routines used for on-line Model Predictive Control (MPC), linear systems of equations are usually solved in each iteration. This is true both for Active Set (AS) methods as well as for Interior Point (IP) methods, and for…
We present a model predictive control (MPC) formulation to directly optimize economic criteria for linear constrained systems subject to disturbances and uncertain model parameters. The proposed formulation combines a certainty equivalent…
We study unconstrained and constrained linear quadratic problems and investigate the suboptimality of the model predictive control (MPC) method applied to such problems. Considering MPC as an approximate scheme for solving the related fixed…
The convergence of simultaneous and marginal predictive classifiers under partition exchangeability in supervised classification is obtained. The result shows the asymptotic convergence of these classifiers under infinite amount of training…
We consider nonlinear model predictive control (MPC) with multiple competing cost functions. In each step of the scheme, a multiobjective optimal control problem with a nonlinear system and terminal conditions is solved. We propose an…
We investigate optimal consumption problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall for logarithmic utility functions. We find the solutions in terms of a dynamic strategy in explicit…
We define the asymptotic behavior "almost everywhere" of additive and multiplicative arithmetic functions in the paper. Classes of additive and multiplicative arithmetic functions are singled out for which the asymptotics coincides "almost…
This paper adapts ideas from social identity theory to set out a new framework for modelling conspicuous consumption. Agents derive utility from their consumption of a status good and from belonging to an identity group with high status…
We study consumption dependence in the context of random utility and repeated choice. We show that, in the presence of consumption dependence, the random utility model is a misspecified model of repeated rational choice. This…
An asymptotically optimal sampling-based planner employs sampling to solve robot motion planning problems and returns paths with a cost that converges to the optimal solution cost, as the number of samples approaches infinity. This…