Related papers: Bounded arbitrage and nearly rational behavior
In a view for a simple model where natural selection at the individual level is confronted to selection effects at the group level, we consider some individual-based models of some large population subdivided into a large number of groups.…
We investigate approximately optimal mechanisms in settings where bidders' utility functions are non-linear; specifically, convex, with respect to payments (such settings arise, for instance, in procurement auctions for energy). We provide…
Many scenarios where agents with restrictions compete for resources can be cast as maximum matching problems on bipartite graphs. Our focus is on resource allocation problems where agents may have restrictions that make them incompatible…
Drawing on set theory, this paper contributes to a deeper understanding of the structural condition of mathematical finance under Knightian uncertainty. We adopt a projective framework in which all components of the model -- prices, priors…
We revisit the foundations of fairness and its interplay with utility and efficiency in settings where the training data contain richer labels, such as individual types, rankings, or risk estimates, rather than just binary outcomes. In this…
Reasoning about uncertainty is vital in many real-life autonomous systems. However, current state-of-the-art planning algorithms cannot either reason about uncertainty explicitly, or do so with a high computational burden. Here, we focus on…
Egalitarian considerations play a central role in many areas of social choice theory. Applications of egalitarian principles range from ensuring everyone gets an equal share of a cake when deciding how to divide it, to guaranteeing balance…
We consider non-concave and non-smooth random utility functions with do- main of definition equal to the non-negative half-line. We use a dynamic pro- gramming framework together with measurable selection arguments to establish both the…
Generalized statistical arbitrage concepts are introduced corresponding to trading strategies which yield positive gains on average in a class of scenarios rather than almost surely. The relevant scenarios or market states are specified via…
Extending our own and others' earlier approaches to reasoning about termination of probabilistic programs, we propose and prove a new rule for termination with probability one, also known as "almost-certain termination". The rule uses both…
We give an algorithm for solving stochastic parity games with almost-sure winning conditions on lossy channel systems, for the case where the players are restricted to finite-memory strategies. First, we describe a general framework, where…
We derive asymptotically optimal statistical decision rules for discrete choice problems when payoffs depend on a partially-identified parameter $\theta$ and the decision maker can use a point-identified parameter $\mu$ to deduce…
Bounded rationality investigates utility-optimizing decision-makers with limited information-processing power. In particular, information theoretic bounded rationality models formalize resource constraints abstractly in terms of relative…
Bandits with Knapsacks (BwK), the generalization of the Bandits problem under global budget constraints, has received a lot of attention in recent years. Previous work has focused on one of the two extremes: Stochastic BwK where the rewards…
Chance constrained program where one seeks to minimize an objective over decisions which satisfy randomly disturbed constraints with a given probability is computationally intractable. This paper proposes an approximate approach to address…
We construct an objective function that consists of a quadratic approximation term and a penalty term. Thanks to the quadratic approximation, we can deal with various kinds of loss functions into a unified way, and by taking advantage of…
This paper is devoted to theoretical aspects on optimality of sparse approximation. We undertake a quantitative study of new types of greedy-like bases that have recently arisen in the context of nonlinear $m$-term approximation in Banach…
We present a generalization of the maximal inequalities that upper bound the expectation of the maximum of $n$ jointly distributed random variables. We control the expectation of a randomly selected random variable from $n$ jointly…
In a consideration set model, an individual maximizes utility among the considered alternatives. I relate a consideration set additive random utility model to classic discrete choice and the extended additive random utility model, in which…
We introduce and discuss a general criterion for the derivative pricing in the general situation of incomplete markets, we refer to it as the No Almost Sure Arbitrage Principle. This approach is based on the theory of optimal strategy in…