相关论文: Optimal design of lottery with cumulative prospect…

We consider the problem of portfolio optimization with a correlation constraint. The framework is the multiperiod stochastic financial market setting with one tradable stock, stochastic income and a non-tradable index. The correlation…

This paper initiates a study into the century-old issue of market predictability from the perspective of computational complexity. We develop a simple agent-based model for a stock market where the agents are traders equipped with simple…

Distributionally robust control is a well-studied framework for optimal decision making under uncertainty, with the objective of minimizing an expected cost function over control actions, assuming the most adverse probability distribution…

Aiming to overcome some of the limitations of worst-case analysis, the recently proposed framework of "algorithms with predictions" allows algorithms to be augmented with a (possibly erroneous) machine-learned prediction that they can use…

In frequently repeated matching scenarios, individuals may require diversification in their choices. Therefore, when faced with a set of potential outcomes, each individual may have an ideal lottery over outcomes that represents their…

Probabilistic load forecasts provide comprehensive information about future load uncertainties. In recent years, many methodologies and techniques have been proposed for probabilistic load forecasting. Forecast combination, a widely…

There has been much recent work on the revenue-raising properties of truthful mechanisms for selling goods to selfish bidders. Typically the revenue of a mechanism is compared against a benchmark (such as, the maximum revenue obtainable by…

We consider the problem of an auctioneer who faces the task of selling a good (drawn from a known distribution) to a set of buyers, when the auctioneer does not have the capacity to describe to the buyers the exact identity of the good that…

Modeling the purposeful behavior of imperfect agents from a small number of observations is a challenging task. When restricted to the single-agent decision-theoretic setting, inverse optimal control techniques assume that observed behavior…

Consumers often face products sold as lotteries rather than fixed outcomes. A prominent case is the loot box in video games, where players pay for randomized rewards. We investigate how presentation formats shape consumer beliefs and…

We are often faced with the non-trivial task of designing incentive mechanisms in the era of Web3. As history has shown, many Web3 services failed mostly due to the lack of a rigorous incentive mechanism design based on token economics.…

We study revenue optimization in a repeated auction between a single seller and a single buyer. Traditionally, the design of repeated auctions requires strong modeling assumptions about the bidder behavior, such as it being myopic, infinite…

The travelling thief problem (TTP) is a well-known multi-component optimisation problem that captures the interdependence between two components: the tour across cities and the packing of items. The packing while travelling problem (PWT) is…

Assortment optimization concerns the problem of selling items with fixed prices to a buyer who will purchase at most one. Typically, retailers select a subset of items, corresponding to an "assortment" of brands to carry, and make each…

Modeling the purposeful behavior of imperfect agents from a small number of observations is a challenging task. When restricted to the single-agent decision-theoretic setting, inverse optimal control techniques assume that observed behavior…

There is a sudden surge to model human behavior due to its vast and diverse applications which includes modeling public policies, economic behavior and consumer behavior. Most of the human behavior itself can be modeled into a choice…

At a first glance lottery is a form of gambling, a game in which the chances of winning is extremely small. But upon a deeper look, considering that the Jackpot prize of lotteries is a result of the active participation of millions of…

Despite its unusual payout structure, the Canadian 6/49 Lotto is one of the few government sponsored lotteries that has the potential for a favorable strategy we call "buying the pot." By buying the pot we mean that a syndicate buys each…

This paper formulates and studies a general continuous-time behavioral portfolio selection model under Kahneman and Tversky's (cumulative) prospect theory, featuring S-shaped utility (value) functions and probability distortions. Unlike the…

We revisit the problem of designing the profit-maximizing single-item auction, solved by Myerson in his seminal paper for the case in which bidder valuations are independently distributed. We focus on general joint distributions, seeking…