Related papers: A Taste for Variety
We describe a two-stage mechanism that fully implements the set of efficient outcomes in two-agent environments with quasi-linear utilities. The mechanism asks one agent to set prices for each outcome, and the other agent to make a choice,…
Maximizing long-term rewards is the primary goal in sequential decision-making problems. The majority of existing methods assume that side information is freely available, enabling the learning agent to observe all features' states before…
We consider a monopolistic seller in a market that may be segmented. The surplus of each consumer in a segment depends on the price that the seller optimally charges, which depends on the set of consumers in the segment. We study which…
The window mean-payoff objective strengthens the classical mean-payoff objective by computing the mean-payoff over a finite window that slides along an infinite path. Two variants have been considered: in one variant, the maximum window…
Optimal stopping is the problem of determining when to stop a stochastic system in order to maximize reward, which is of practical importance in domains such as finance, operations management and healthcare. Existing methods for…
We study an optimal stopping problem with an unbounded, time-dependent and discontinuous reward function. This problem is motivated by the pricing of a variable annuity contract with guaranteed minimum maturity benefit, under the assumption…
We show that combinations of optimal (stationary) policies in unichain Markov decision processes are optimal. That is, let M be a unichain Markov decision process with state space S, action space A and policies \pi_j^*: S -> A (1\leq j\leq…
We study the impact of learning on the optimal policy and the time-to-decision in an infinite-horizon Bayesian sequential decision model with two irreversible alternatives, exit and expansion. In our model, a firm undertakes a small-scale…
A perfectly rational decision-maker chooses the best action with the highest utility gain from a set of possible actions. The optimality principles that describe such decision processes do not take into account the computational costs of…
This article considers the average optimality for a continuous-time Markov decision process with Borel state and action spaces and an arbitrarily unbounded nonnegative cost rate. The existence of a deterministic stationary optimal policy is…
We consider infinite-horizon $\gamma$-discounted Markov Decision Processes, for which it is known that there exists a stationary optimal policy. We consider the algorithm Value Iteration and the sequence of policies $\pi_1,...,\pi_k$ it…
We study payoff manipulation in repeated multi-objective Stackelberg games, where a leader may strategically influence a follower's deterministic best response, e.g., by offering a share of their own payoff. We assume that the follower's…
Zero-determinant strategies are a class of memory-one strategies in repeated games which unilaterally enforce linear relationships between payoffs. It has long been unclear for what stage games zero-determinant strategies exist. We provide…
We study learning dynamics induced by strategic agents who repeatedly play a game with an unknown payoff-relevant parameter. In this dynamics, a belief estimate of the parameter is repeatedly updated given players' strategies and realized…
An agent choosing between various actions tends to take the one with the lowest cost. But this choice is arguably too rigid (not adaptive) to be useful in complex situations, e.g., where exploration-exploitation trade-off is relevant in…
An unknown positive number of items arrive at independent uniformly distributed times in the interval [0,1] to a selector, whose task is to pick online the last one. We show that under the assumption of an adversary determining the number…
Motivated by applications in online marketplaces such as ride-hailing platforms and payment channel networks, we study a single-server queue with state-dependent arrival control. The service operator dynamically chooses the arrival rate as…
We consider two-player normal form games where each player has the same finite strategy set. The payoffs of each player are assumed to be i.i.d. random variables with a continuous distribution. We show that, with high probability, the…
There is a growing body of work on sorting and selection in models other than the unit-cost comparison model. This work is the first treatment of a natural stochastic variant of the problem where the cost of comparing two elements is a…
This paper presents a new condition for the existence of optimal stationary policies in average-cost continuous-time Markov decision processes with unbounded cost and transition rates, arising from controlled queueing systems. This…