Related papers: The Value of Information in Resource-Constrained P…
Dynamic resource allocation problems are ubiquitous, arising in inventory management, order fulfillment, online advertising, and other applications. We initially focus on one of the simplest models of online resource allocation: the…
In this paper, we consider a distributionally robust resource planning model inspired by a real-world service industry problem. In this problem, there is a mixture of known demand and uncertain future demand. Prior to having full knowledge…
Renewable resources are starting to constitute a growing portion of the total generation mix of the power system. A key difference between renewables and traditional generators is that many renewable resources are managed by individuals,…
We investigate optimal order execution problems in discrete time with instantaneous price impact and stochastic resilience. First, in the setting of linear transient price impact we derive a closed-form recursion for the optimal strategy,…
We consider the use of pricing as a regulatory mechanism when an unknown number of autonomous agents compete for access to a shared resource (possibly limited in volume or capacity). In standard dynamic pricing control systems, an…
While data-driven decision-making is transforming modern operations, most large-scale data is of an observational nature, such as transactional records. These data pose unique challenges in a variety of operational problems posed as…
In Demand Response programs, price incentives might not be sufficient to modify residential consumers load profile. Here, we consider that each consumer has a preferred profile and a discomfort cost when deviating from it. Consumers can…
In speculative markets, risk-free profit opportunities are eliminated by traders exploiting them. Markets are therefore often described as "informationally efficient", rapidly removing predictable price changes, and leaving only residual…
To determine the welfare implications of price changes in demand data, we introduce a revealed preference relation over prices. We show that the absence of cycles in this relation characterizes a consumer who trades off the utility of…
We explore the striking mathematical connections that exist between market scoring rules, cost function based prediction markets, and no-regret learning. We show that any cost function based prediction market can be interpreted as an…
Reasoning about uncertainty is vital in many real-life autonomous systems. However, current state-of-the-art planning algorithms cannot either reason about uncertainty explicitly, or do so with a high computational burden. Here, we focus on…
Subjective expected utility theory assumes that decision-makers possess unlimited computational resources to reason about their choices; however, virtually all decisions in everyday life are made under resource constraints - i.e.…
This paper addresses Online Convex Optimization (OCO) problems where the constraints have additive perturbations that (i) vary over time and (ii) are not known at the time to make a decision. Perturbations may not be i.i.d. generated and…
The design of integrated mobility-on-demand services requires jointly considering the interactions between traveler choice behavior and operators' operation policies to design a financially sustainable pricing scheme. However, most existing…
A central goal in algorithmic game theory is to analyze the performance of decentralized multiagent systems, like communication and information networks. In the absence of a central planner who can enforce how these systems are utilized,…
Machine learning (ML) systems are increasingly deployed in high-stakes domains where reliability is paramount. This thesis investigates how uncertainty estimation can enhance the safety and trustworthiness of ML, focusing on selective…
This paper formulates a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are…
In the online (time-series) search problem, a player is presented with a sequence of prices which are revealed in an online manner. In the standard definition of the problem, for each revealed price, the player must decide irrevocably…
A firm that sells a non perishable product considers intertemporal price discrimination in the objective of maximizing its long-run average revenue. We consider a general model of patient customers with changing valuations. Arriving…
We study problems with stochastic uncertainty information on intervals for which the precise value can be queried by paying a cost. The goal is to devise an adaptive decision tree to find a correct solution to the problem in consideration…