Related papers: Optimal Consumption for Recursive Preferences with…
We study the problem of reinforcement learning in infinite-horizon discounted linear Markov decision processes (MDPs), and propose the first computationally efficient algorithm achieving rate-optimal regret guarantees in this setting. Our…
We introduce a model of infinite horizon linear dynamic optimization and obtain results concerning existence of solution and satisfaction of the competitive condition and transversality condition being unconditionally sufficient for…
In this article we consider a special case of an optimal consumption/optimal portfolio problem first studied by Constantinides and Magill and by Davis and Norman, in which an agent with constant relative risk aversion seeks to maximise…
We study a prototypical non-polynomial decision-making model for which agents in a population potentially alternate between two consumption strategies, one related to the exploitation of an unlimited but considerably expensive resource and…
We consider the problem of identifying the most profitable product design from a finite set of candidates under unknown consumer preference. A standard approach to this problem follows a two-step strategy: First, estimate the preference of…
Reinforcement learning can greatly benefit from the use of options as a way of encoding recurring behaviours and to foster exploration. An important open problem is how can an agent autonomously learn useful options when solving particular…
Non-convex optimal control problems occurring in, e.g., water or power systems, typically involve a large number of variables related through nonlinear equality constraints. The ideal goal is to find a globally optimal solution, and…
Poisson restart assumes that a stochastic process is interrupted and starts again at random time moments. A number of studies have demonstrated that this strategy may minimize the expected completion time in some classes of random search…
We study a robust maximization problem from terminal wealth and consumption under a convex constraints on the portfolio. We state the existence and the uniqueness of the consumption-investment strategy by studying the associated quadratic…
We consider an online model for recommendation systems, with each user being recommended an item at each time-step and providing 'like' or 'dislike' feedback. A latent variable model specifies the user preferences: both users and items are…
There have been some major advances in the theory of optimal designs for interference models. However, the majority of them focus on one-dimensional layout of the block and the study for two-dimensional interference model is quite limited…
An important issue in additive manufacturing is the reliability and reproducibility of parts. One major problem in achieving this are uncontrolled local variations in the obtained material properties which arise in the complex manufacturing…
Making optimal decisions under uncertainty is a shared problem among distinct fields. While optimal control is commonly studied in the framework of dynamic programming, it is approached with differing perspectives of the Bellman optimality…
We consider an original problem that arises from the issue of security analysis of a power system and that we name optimal discovery with probabilistic expert advice. We address it with an algorithm based on the optimistic paradigm and on…
We present the theoretical analysis and proofs of a recently developed algorithm that allows for optimal planning over long and infinite horizons for achieving multiple independent tasks that are partially observable and evolve over time.
We study the problem of optimal subset selection from a set of correlated random variables. In particular, we consider the associated combinatorial optimization problem of maximizing the determinant of a symmetric positive definite matrix…
This paper investigates an optimal consumption-investment problem featuring recursive utility via Tsallis relative entropy. We establish a fundamental connection between this optimization problem and a quadratic backward stochastic…
This paper studies a composite problem involving the decision making of the optimal entry time and dynamic consumption afterwards. In stage-1, the investor has access to full market information subjecting to some information costs and needs…
The aim of this work consists in the study of the optimal investment strategy for a behavioural investor, whose preference towards risk is described by both a probability distortion and an S-shaped utility function. Within a continuous-time…
The paper investigates the consumption-investment problem for an investor with Epstein-Zin utility in an incomplete market. A non-Markovian environment with unbounded parameters is considered, which is more realistic in practical financial…