相关论文: Optimal Planning in Habit Formation Models with Mu…

Growth models with internal habit formation have been studied in various settings under the assumption of deterministic dynamics. The purpose of this paper is to explore a stochastic version of the model in Carroll et al. [1997, 2000], one…

This paper provides a dual formulation of the optimal consumption problem with internal multiplicative habit formation. In this problem, the agent derives utility from the ratio of consumption to the internal habit component. Due to this…

This paper studies the continuous time utility maximization problem on consumption with addictive habit formation in incomplete semimartingale markets. Introducing the set of auxiliary state processes and the modified dual space, we embed…

The "standard" Merton formulation of optimal investment and consumption involves optimizing the integrated lifetime utility of consumption, suitably discounted, together with the discounted future bequest. In this formulation the utility of…

We consider the problem of optimizing lifetime consumption under a habit formation model, both with and without an exogenous pension. Unlike much of the existing literature, we apply a power utility to the ratio of consumption to habit,…

We study the problem of modeling purchase of multiple products and utilizing it to display optimized recommendations for online retailers and e-commerce platforms. We present a parsimonious multi-purchase family of choice models called the…

Stochastic production planning problems were studied in several works; the model with one production good was discussed in [3]. The extension to several economic goods is not a trivial issue as one can see from the recent works [4], [5] and…

In this paper we consider the problem of optimizing lifetime consumption under a habit formation model. Our work differs from previous results, because we incorporate mortality and pension income. Lifetime utility of consumption makes the…

A basic requirement for a mathematical model is often that its solution (output) shouldn't change much if the model's parameters (input) are perturbed. This is important because the exact values of parameters may not be known and one would…

This paper studies a loss-averse version of the multiplicative habit formation preference and the corresponding optimal investment and consumption strategies over an infinite horizon. The agent's consumption preference is depicted by a…

We provide a detailed characterization of the optimal consumption stream for the additive habit-forming utility maximization problem, in a framework of general discrete-time incomplete markets and random endowments. This characterization…

We consider the problem of optimal consumption of multiple goods in incomplete semimartingale markets. We formulate the dual problem and identify conditions that allow for existence and uniqueness of the solution and give a characterization…

We study consumption behaviour in systems with heterogeneous interacting agents. Two different models are introduced, respectively with long and short range interactions among agents. At any time step an agent decides whether or not to…

In this paper we use a dynamic programming approach to analytically solve an endogenous growth model with internal habits where the key parameters describing their formation, namely the intensity, persistence and lag structure (or memory),…

Using technology to persuade people to behave in a certain way is an ever-increasing field of study. The ability to persuade individuals is quite clear in e-commerce, where individuals are persuaded to make purchasing decisions. However, it…

Discovering new physical products and processes often demands enormous experimentation and expensive simulation. To design a new product with certain target characteristics, an extensive search is performed in the design space by trying out…

We investigate optimality conditions for optimization problems constrained by a class of variational inequalities of the second kind. Based on a nonsmooth primal-dual reformulation of the governing inequality, the differentiability of the…

Determining the most appropriate features for machine learning predictive models is challenging regarding performance and feature acquisition costs. In particular, global feature choice is limited given that some features will only benefit…

Reinforcement learning agents tend to develop habits that are effective only under specific policies. Following an initial exploration phase where agents try out different actions, they eventually converge onto a particular policy. As this…

We develop a qualitative model of decision making with two aims: to describe how people make simple decisions and to enable computer programs to do the same. Current approaches based on Planning or Decisions Theory either ignore uncertainty…