相关论文: Continuity and Monotonicity of Preferences and Pro…

This paper investigates a novel behavioral feature of recursive preferences: aversion to risks that persist over time, or simply \textit{correlation aversion}. Greater persistence provides information about future consumption but reduces…

The concepts of variability and uncertainty, both epistemic and alleatory, came from experience and coexist with different connotations. Therefore this article attempts to express their relation by analytic means firstly setting sights on…

We consider the two-sided stable matching setting in which there may be uncertainty about the agents' preferences due to limited information or communication. We consider three models of uncertainty: (1) lottery model --- in which for each…

This work theoretically studies a ubiquitous reinforcement learning policy for controlling the canonical model of continuous-time stochastic linear-quadratic systems. We show that randomized certainty equivalent policy addresses the…

We say a model is continuous in utilities (resp., preferences) if small perturbations of utility functions (resp., preferences) generate small changes in the model's outputs. While similar, these two questions are different. They are only…

For decision making under uncertainty, min-max regret has been established as a popular methodology to find robust solutions. In this approach, we compare the performance of our solution against the best possible performance had we known…

Completeness and transitivity are standard rationality conditions in economics. However, under ambiguity, decision makers sometimes violate these requirements because of the difficulty of forming accurate predictions about ambiguous events.…

The menu-dependent nature of regret-minimization creates subtleties when it is applied to dynamic decision problems. Firstly, it is not clear whether \emph{forgone opportunities} should be included in the \emph{menu}, with respect to which…

We represent preferences that exhibit absolute or relative attitudes towards ambiguity without assuming convexity of preferences. Our analysis is motivated by the recent experimental evidence by Baillon and Placido (2019) indicating that…

Logarithmic score and information divergence appear in information theory, statistics, statistical mechanics, and portfolio theory. We demonstrate that all these topics involve some kind of optimization that leads directly to regret…

This paper presents a plausible reasoning system to illustrate some broad issues in knowledge representation: dualities between different reasoning forms, the difficulty of unifying complementary reasoning styles, and the approximate nature…

Propensity score matching is commonly used to draw causal inference from observational survival data. However, its asymptotic properties have yet to be established, and variance estimation is still open to debate. We derive the statistical…

We study the evolution of preferences in multi-population settings that allow matches across distinct populations. Each individual has subjective preferences over potential outcomes, and chooses a best response based on his preferences and…

Frailty and resilience models provide a way to introduce random effects in hazard and reversed hazard rate modeling by random variables, called frailty and resilience random variables, respectively, to account for unobserved or unexplained…

The notion of program sensitivity (aka Lipschitz continuity) specifies that changes in the program input result in proportional changes to the program output. For probabilistic programs the notion is naturally extended to expected…

We systematically study pairwise counter-monotonicity, an extremal notion of negative dependence. A stochastic representation and an invariance property are established for this dependence structure. We show that pairwise…

We study stable matchings that are robust to preference changes in the two-sided stable matching setting of Gale and Shapley [GS62]. Given two instances $A$ and $B$ on the same set of agents, a matching is said to be robust if it is stable…

We propose a simple randomized rule for the optimization of prices in revenue management with contextual information. It is known that the certainty equivalent pricing rule, albeit popular, is sub-optimal. We show that, by allowing a small…

In this note, we will survey the existing convergence results for random variables under sublinear expectations, and prove some new results. Concretely, under the assumption that the sublinear expectation has the monotone continuity…

Mutually exclusive decisions have been studied for decades. Many well-known decision theories have been defined to help people either to make rational decisions or to interpret people's behaviors, such as expected utility theory, regret…