Related papers: From Time-inconsistency to Time-consistency for Op…
For time inconsistent optimal control problems, a quite popular approach is the equilibrium approach, taken by the sophisticated agents. In this short note we construct a deterministic continuous time example where the unique equilibrium is…
In this paper we investigate possible approaches to study general time-inconsistent optimization problems without assuming the existence of optimal strategy. This leads immediately to the need to refine the concept of time-consistency as…
Standard Markovian optimal stopping problems are consistent in the sense that the first entrance time into the stopping set is optimal for each initial state of the process. Clearly, the usual concept of optimality cannot in a…
This paper is concerned with a time-inconsistent stochastic optimal control problem in an infinite time horizon with a non-degenerate diffusion in the state equation. A major assumption is that people become rational after a large time.…
Most clinical prediction studies are developed from retrospective cohorts and reported as if all patient information were observed at once. In practice, clinicians face a more consequential question: \emph{when is there already enough…
This paper re-examines the use of response time to infer problem complexity. It revisits a canonical Wald model of optimal stopping, taking signal-to-noise ratio as a measure of problem complexity. While choice quality is monotone in…
Model predictive control solves a constrained optimization problem online in order to compute an implicit closed-loop control policy. Recursive feasibility -- guaranteeing that the optimal control problem will have a solution at every time…
In this paper, we formulate a general time-inconsistent stochastic linear--quadratic (LQ) control problem. The time-inconsistency arises from the presence of a quadratic term of the expected state as well as a state-dependent term in the…
This paper reveals a trap for artificial general intelligence (AGI) theorists who use economists' standard method of discounting. This trap is implicitly and falsely assuming that a rational AGI would have time-consistent preferences. An…
How do decisions change with the economic environment and with time? This paper studies general nonstationary stopping problems and provides the methodological tools to answer these questions. First, we identify conditions that ensure a…
According to conventional wisdom, ambiguity accelerates optimal timing by decreasing the value of waiting in comparison with the unambiguous benchmark case. We study this mechanism in a multidimensional setting and show that in a…
Optimal stopping problems give rise to random distributions describing how many applicants the decision-maker will sample or interview before choosing one, a quantity sometimes referred to as the search time or process duration. This…
We present a novel method for solving a class of time-inconsistent optimal stopping problems by reducing them to a family of standard stochastic optimal control problems. In particular, we convert an optimal stopping problem with a…
For a sequence of dynamic optimization problems, we aim at discussing a notion of consistency over time. This notion can be informally introduced as follows. At the very first time step $t_0$, the decision maker formulates an optimization…
In this paper we study simulation based optimization algorithms for solving discrete time optimal stopping problems. This type of algorithms became popular among practioneers working in the area of quantitative finance. Using large…
This paper is devoted to solving a time-inconsistent risk-sensitive control problem with parameter $\e$ and its limit case ($\e\rightarrow0^+$) for countable-stated Markov decision processes (MDPs for short). Since the cost functional is…
This paper studies robust time-inconsistent (TIC) linear-quadratic stochastic control problems, formulated by stochastic differential games. By a spike variation approach, we derive sufficient conditions for achieving the Nash equilibrium,…
This paper proposes two kinds of time-inconsistent preferences (i.e. time flow inconsistency and critical time point inconsistency) to further advance the research on the exit decision of venture capital. Time-inconsistent preference,…
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…
For a discrete time Markov chain and in line with Strotz' consistent planning we develop a framework for problems of optimal stopping that are time-inconsistent due to the consideration of a non-linear function of an expected reward. We…