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We study the approximate dynamic programming approach to revenue management in the context of attended home delivery. We draw on results from dynamic programming theory for Markov decision problems, convex optimisation and discrete convex…
In this paper, we extend Kreps' conjecture that optimal expected utility in the classic Black-Scholes-Merton (BSM) economy is the limit of optimal expected utility for a sequence of discrete-time economies in initially enlarged filtrations…
We study the convergence of random function iterations for finding an invariant measure of the corresponding Markov operator. We call the problem of finding such an invariant measure the stochastic fixed point problem. This generalizes…
A succesful method to describe the asymptotic behavior of a discrete time stochastic process governed by some recursive formula is to relate it to the limit sets of a well chosen mean differential equation. Under an attainability condition,…
Finding optimal policies which maximize long term rewards of Markov Decision Processes requires the use of dynamic programming and backward induction to solve the Bellman optimality equation. However, many real-world problems require…
Burke's theorem can be seen as a fixed-point result for an exponential single-server queue; when the arrival process is Poisson, the departure process has the same distribution as the arrival process. We consider extensions of this result…
This paper solves the consumption-investment problem under Epstein-Zin preferences on a random horizon. In an incomplete market, we take the random horizon to be a stopping time adapted to the market filtration, generated by all observable,…
In this paper, we propose two discontinuous dynamical systems in continuous time with guaranteed prescribed finite-time local convergence to strict local minima of a given cost function. Our approach consists of exploiting a Lyapunov-based…
While numerous extensions of Banach's fixed point theorem typically offer only sufficient conditions for the existence and uniqueness of a fixed point and the convergence of iterative sequences, this study introduces a generalization…
This paper focuses on stochastic saddle point problems with decision-dependent distributions. These are problems whose objective is the expected value of a stochastic payoff function and whose data distribution drifts in response to…
In this paper, which is a continuation of the previously published discrete time paper we develop a theory for continuous time stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a…
This dissertation makes three main contributions. First, We identify a new connection between policy gradient and dynamic programming in MMDPs and propose the Coordinate Ascent Dynamic Programming (CADP) algorithm to compute a Markov policy…
A method for calculating multi-portfolio time consistent multivariate risk measures in discrete time is presented. Market models for $d$ assets with transaction costs or illiquidity and possible trading constraints are considered on a…
We show for several computational problems how classical greedy algorithms for special cases can be derived in a simple way from dynamic programs for the general case: interval scheduling (restricted to unit weights), knapsack (restricted…
The paper is concerned with two-person games with saddle point. We investigate the limits of value functions for long-time-average payoff, discounted average payoff, and the payoff that follows a probability density. Most of our assumptions…
We study sequential decision-making when the agent's internal model class is misspecified. Within the infinite-horizon Berk-Nash framework, stable behavior arises as a fixed point: the agent acts optimally relative to a subjective model,…
Leader-follower general-sum stochastic games (LF-GSSGs) model sequential decision-making under asymmetric commitment, where a leader commits to a policy and a follower best responds, yielding a strong Stackelberg equilibrium (SSE) with…
The design of fixed point algorithms is at the heart of monotone operator theory, convex analysis, and of many modern optimization problems arising in machine learning and control. This tutorial reviews recent advances in understanding the…
Consensus-based optimization (CBO) is a multi-agent metaheuristic derivative-free optimization algorithm that has proven to be capable of globally minimizing nonconvex nonsmooth functions across a diverse range of applications while being…
The adaptation to situations of sequential choice under uncertainty of decision criteria which deviate from (subjective) expected utility raises the problem of ensuring the selection of a nondominated strategy. In particular, when following…