Related papers: When and what to learn in a changing world

Excessively changing policies in many real world scenarios is difficult, unethical, or expensive. After all, doctor guidelines, tax codes, and price lists can only be reprinted so often. We may thus want to only change a policy when it is…

In the theory of dynamic programming, an optimal policy is a policy whose lifetime value dominates that of all other policies from every possible initial condition in the state space. This raises a natural question: when does optimality…

Decisions in public health are almost always made in the context of uncertainty. Policy makers are responsible for making important decisions, faced with the daunting task of choosing from amongst many possible options. This task is called…

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…

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…

Continual learning is the problem of learning and retaining knowledge through time over multiple tasks and environments. Research has primarily focused on the incremental classification setting, where new tasks/classes are added at discrete…

We propose an information-theoretic framework for analyzing control systems based on the close relationship of controllers to communication channels. A communication channel takes an input state and transforms it into an output state. A…

Non-stationary environments are challenging for reinforcement learning algorithms. If the state transition and/or reward functions change based on latent factors, the agent is effectively tasked with optimizing a behavior that maximizes…

Generating optimal plans in highly dynamic environments is challenging. Plans are predicated on an assumed initial state, but this state can change unexpectedly during plan generation, potentially invalidating the planning effort. In this…

We consider an intermediary's problem of dynamically matching demand and supply of heterogeneous types in a periodic-review fashion. More specifically, there are two disjoint sets of demand and supply types, and a reward associated with…

We study the problem of deciding whether, and when an organization should replace a trained incumbent model with a challenger relying on newly available features. We develop a unified economic and statistical framework that links…

In this paper, we study a stochastic optimal control problem with stochastic volatility. We prove the sufficient and necessary maximum principle for the proposed problem. Then we apply the results to solve an investment, consumption and…

We investigate opinion dynamics in multi-agent networks when a bias toward one of two possible opinions exists; for example, reflecting a status quo vs a superior alternative. Starting with all agents sharing an initial opinion representing…

In this paper, we consider the problem of optimization of a portfolio consisting of securities. An investor with an initial capital, is interested in constructing a portfolio of securities. If the prices of securities change, the investor…

The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general utility functions are considered. Weak dynamic programming…

Applying any strategy requires some knowledge about the past state of the system. Unfortunately in the case of economy collecting information is a difficult, expensive and time consuming process. Therefore the information about the system…

In this paper, we explore a scenario where a sender provides an information policy and a receiver, upon observing a realization of this policy, decides whether to take a particular action, such as making a purchase. The sender's objective…

In many real world problems, optimization decisions have to be made with limited information. The decision maker may have no a priori or posteriori data about the often nonconvex objective function except from on a limited number of points…

In this paper, we present a novel model to characterize individual tendencies in repeated decision-making scenarios, with the goal of designing model-based control strategies that promote virtuous choices amidst social and external…

Starting from the Avellaneda-Stoikov framework, we consider a market maker who wants to optimally set bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders she receives depend not only on…