Related papers: The most exciting game
We give a statistical interpretation of entropic optimal transport by showing that performing maximum-likelihood estimation for Gaussian deconvolution corresponds to calculating a projection with respect to the entropic optimal transport…
A tight upper bound is given on the distribution of the maximum of a supermartingale. Specifically, it is shown that if $Y$ is a semimartingale with initial value zero and quadratic variation process $[Y,Y]$ such that $Y + [Y,Y]$ is a…
We study the problem of synthesizing a policy that maximizes the entropy of a Markov decision process (MDP) subject to a temporal logic constraint. Such a policy minimizes the predictability of the paths it generates, or dually, maximizes…
In "Recognizing the Maximum of a Sequence", Gilbert and Mosteller analyze a full information game where n measurements from an uniform distribution are drawn and a player (knowing n) must decide at each draw whether or not to choose that…
We develop a theory of optimal transport for stationary random measures with a focus on stationary point processes and construct a family of distances on the set of stationary random measures. These induce a natural notion of interpolation…
For zero-sum two-player continuous-time games with integral payoff and incomplete information on one side, one shows that the optimal strategy of the informed player can be computed through an auxiliary optimization problem over some…
We study the problem of maximizing R{\'e}nyi entropy of order $2$ (equivalently, minimizing the index of coincidence) over the set of joint distributions with prescribed marginals. A closed-form optimizer is known under a feasibility…
In this paper, we consider the Maximum-Profit Routing Problem (MPRP), introduced in \cite{Armaselu-PETRA}. In MPRP, the goal is to route the given fleet of vehicles to pickup goods from specified sites in such a way as to maximize the…
We use martingale and stochastic analysis techniques to study a continuous-time optimal stopping problem, in which the decision maker uses a dynamic convex risk measure to evaluate future rewards. We also find a saddle point for an…
Multi-round competitions often double or triple the points awarded in the final round, calling it a bonus, to maximize spectators' excitement. In a two-player competition with $n$ rounds, we aim to derive the optimal bonus size to maximize…
This note considers a variation of the full-information secretary problem where the random variables to be observed are independent and identically distributed. Consider $X_1,\dots,X_n$ to be an independent sequence of random variables, let…
Tournaments are competitions between a number of teams, the outcome of which determines the relative strength or rank of each team. In many cases, the strength of a team in the tournament is given by a score. Perhaps, the most striking…
This paper shows how to evolve numerically the maximum entropy probability distributions for a given set of constraints, which is a variational calculus problem. An evolutionary algorithm can obtain approximations to some well-known…
This paper presents a widely applicable approach to solving (multi-marginal, martingale) optimal transport and related problems via neural networks. The core idea is to penalize the optimization problem in its dual formulation and reduce it…
We study the small-regularisation limit of the entropic optimal transport problem on the line with distance cost. While convergence of entropic minimizers is well understood in the discrete setting and in the case where the cost is…
We develop a martingale approach for studying continuous-time stochastic differential games of control and stopping, in a non-Markovian framework and with the control affecting only the drift term of the state-process. Under appropriate…
We establish numerical methods for solving the martingale optimal transport problem (MOT) - a version of the classical optimal transport with an additional martingale constraint on transport's dynamics. We prove that the MOT value can be…
This note aims to demonstrate that performing maximum-likelihood estimation for a mixture model is equivalent to minimizing over the parameters an optimal transport problem with entropic regularization. The objective is pedagogical: we seek…
Given a standard Brownian motion $B^{\mu}=(B_t^{\mu})_{0\le t\le T}$ with drift $\mu \in \mathbb{R}$ and letting $S_t^{\mu}=\max_{0\le s\le t}B_s^{\mu}$ for $0\le t\le T$, we consider the optimal prediction problem: \[V=\inf_{0\le \tau \le…
We consider an optimal stopping problem where a constraint is placed on the distribution of the stopping time. Reformulating the problem in terms of so-called measure-valued martingales allows us to transform the marginal constraint into an…