Related papers: Optimal Consumption for Recursive Preferences with…
Optimal designs for generalized linear models require a prior knowledge of the regression parameters. At certain values of the parameters we propose particular assumptions which allow to derive a locally optimal design for a model without…
For $\tau$ a stopping rule adapted to a sequence of $n$ iid observations, we define the loss to be $\ex [ q(R_\tau)]$, where $R_j$ is the rank of the $j$th observation, and $q$ is a nondecreasing function of the rank. This setting covers…
We present an algorithm for learning parametric constraints from locally-optimal demonstrations, where the cost function being optimized is uncertain to the learner. Our method uses the Karush-Kuhn-Tucker (KKT) optimality conditions of the…
This paper studies a loss-averse version of the multiplicative habit formation preference and the corresponding optimal investment and consumption strategies over an infinite horizon. The agent's consumption preference is depicted by a…
This paper studies an optimal consumption problem for a loss-averse agent with reference to past consumption maximum. To account for loss aversion on relative consumption, an S-shaped utility is adopted that measures the difference between…
Efficient probabilistic inference by variable elimination in graphical models requires an optimal elimination order. However, finding an optimal order is a challenging combinatorial optimisation problem for models with a large number of…
Various best-choice problems related to the planar homogeneous Poisson process in finite or semi-infinite rectangle are studied. The analysis is largely based on properties of the one-dimensional box-area process associated with the…
In this paper, we study the optimal transport problem induced by separable cost functions. In this framework, transportation can be expressed as the composition of two lower-dimensional movements. Through this reformulation, we prove that…
In this paper, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of backward stochastic differential equations. With the help of…
We are concerned with optimal linear estimation of means on subsequent occasions under sample rotation where evolution of samples in time is designed through a cascade pattern. It has been known since the seminal paper of Patterson (1950)…
For optimal stopping problems with time-inconsistent preference, we measure the inherent level of time-inconsistency by taking the time needed to turn the naive strategies into the sophisticated ones. In particular, when in a repeated…
We consider a risk-sensitive optimization of consumption-utility on infinite time horizon where the one-period investment gain depends on an underlying economic state whose evolution over time is assumed to be described by a discrete-time,…
The problems of determining the optimal power allocation, within maximum power bounds, to (i) maximize the minimum Shannon capacity, and (ii) minimize the weighted latency are considered. In the first case, the global optima can be achieved…
We study an optimal investment and consumption problem over a finite-time horizon, in which an individual invests in a risk-free asset and a risky asset, and evaluate utility using a general utility function that exhibits loss aversion with…
We extend Berge's Maximum Theorem to allow for incomplete preferences. We first provide a simple version of the Maximum Theorem for convex feasible sets and a fixed preference. Then, we show that if, in addition to the traditional…
We offer mathematical tractability and new insights for a framework of exponential utility with non-negative consumption, a constraint often omitted in the literature giving rise to economically unviable solutions. Specifically, using the…
The paper investigates the consumption-investment problem for an investor with Epstein-Zin utility in an incomplete market. Closed, not necessarily convex, constraints are imposed on strategies. The optimal consumption and investment…
We consider a problem of optimal investment with intermediate consumption and random endowment in an incomplete semimartingale model of a financial market. We establish the key assertions of the utility maximization theory assuming that…
We study the revenue-maximizing mechanism when a buyer's value evolves endogenously because of learning-by-consuming. A seller sells one unit of a divisible good, while the buyer relies on his private, rough valuation to choose his…
Human beings are creatures of habit. In their daily life, people tend to repeatedly consume similar types of food items over several days and occasionally switch to consuming different types of items when the consumptions become overly…