相关论文: On Asymptotics of Optimal Stopping Times

Optimal stopping is the problem of deciding when to stop a stochastic system to obtain the greatest reward, arising in numerous application areas such as finance, healthcare and marketing. State-of-the-art methods for high-dimensional…

We study randomly stopped sums via their asymptotic scales. First, finiteness of moments is considered. To generalise this study, asymptotic scales applicable to the class of all heavy-tailed random variables are used. The stopping is…

We analyze an optimal stopping problem with a constraint on the expected cost. When the reward function and cost function are Lipschitz continuous in state variable, we show that the value of such an optimal stopping problem is a continuous…

The problem of finite-dimensional asymptotics of infinite-dimensional dynamic systems is studied. A non-linear kinetic system with conservation of supports for distributions has generically finite-dimensional asymptotics. Such systems are…

The note studies the problem of selecting a good enough subset out of a finite number of alternatives under a fixed simulation budget. Our work aims to maximize the posterior probability of correctly selecting a good subset. We formulate…

Here and in a follow-on paper, we consider a simple control problem in which the underlying dynamics depend on a parameter $a$ that is unknown and must be learned. In this paper, we assume that $a$ is bounded, i.e., that $|a| \le…

We consider the \mnk{classical} problem of a controller activating (or sampling) sequentially from a finite number of $N \geq 2$ populations, specified by unknown distributions. Over some time horizon, at each time $n = 1, 2, \ldots$, the…

In this paper we deal with stochastic optimization problems where the data distributions change in response to the decision variables. Traditionally, the study of optimization problems with decision-dependent distributions has assumed…

We exhibit optimal control strategies for a simple toy problem in which the underlying dynamics depend on a parameter that is initially unknown and must be learned. We consider a cost function posed over a finite time interval, in contrast…

Inspired by recent work of P.-L. Lions on conditional optimal control, we introduce a problem of optimal stopping under bounded rationality: the objective is the expected payoff at the time of stopping, conditioned on another event. For…

Stochastic programs where the uncertainty distribution must be inferred from noisy data samples are considered. The stochastic programs are approximated with distributionally-robust optimizations that minimize the worst-case expected cost…

This paper provides necessary conditions of optimality for optimal control problems with time delays in both state and control variables. Different versions of the necessary conditions cover fixed end-time problems and, under additional…

This paper presents a general asymptotic theory of sequential Bayesian estimation giving results for the strongest, almost sure convergence. We show that under certain smoothness conditions on the probability model, the greedy information…

We deal with a singularly perturbed optimal control problem with slow and fast variable depending on a parameter {\epsilon}. We study the asymptotic, as {\epsilon} goes to 0, of the corresponding value functions, and show convergence, in…

We consider sequential selection of an alternating subsequence from a sequence of independent, identically distributed, continuous random variables, and we determine the exact asymptotic behavior of an optimal sequentially selected…

We study the optimal stopping time problem $v(S)={\rm ess}\sup_{\theta \geq S} E[\phi(\theta)|\mathcal {F}_S]$, for any stopping time $S$, where the reward is given by a family $(\phi(\theta),\theta\in\mathcal{T}_0)$ \emph{of non negative…

This paper is concerned with estimating the intersection point of two densities, given a sample of both of the densities. This problem arises in classification theory. The main results provide lower bounds for the probability of the…

We study the problem of predicting the results of computations that are too expensive to run, via the observation of the results of smaller computations. We model this as an online learning problem with delayed feedback, where the length of…

This paper studies an optimal control problem for continuous-time stochastic systems subject to reachability objectives specified in a subclass of metric interval temporal logic specifications, a temporal logic with real-time constraints.…

We study the optimal stopping problem of maximizing the variance of an unkilled linear diffusion. Especially, we demonstrate how the problem can be solved as a convex two-player zero-sum game, and reveal quite surprising application of game…