相关论文: The Kelly Criterion And Utility Function Optimisat…

We study the finite mutually exclusive outcome version of risk-constrained Kelly optimization with explicit state prices. The market has outcome probabilities $p_i>0$, state prices $q_i>0$, terminal wealths $W_i=c+x_i/q_i$, and a…

Benchmarks in the utility function have various interpretations, including performance guarantees and risk constraints in fund contracts and reference levels in cumulative prospect theory. In most literature, benchmarks are a deterministic…

A new model of collusions in an organization is proposed. Each actor $a_{i=1,\cdots,N}$ disposes one unique good $g_{j=1,\cdots,N}$. Each actor $a_i$ has also a list of other goods which he/she needs, in order from desired most to those…

We present a polynomial-time algorithm that always finds an (approximate) Nash equilibrium for repeated two-player stochastic games. The algorithm exploits the folk theorem to derive a strategy profile that forms an equilibrium by…

Purpose: We propose a model to present a possible mechanism for obtaining sizeable behavioural structures by simulating an agent based on the evolutionary public good game with available social learning. Methods: The model considered a…

Suppose Alice has a coin with heads probability $q$ and Bob has one with heads probability $p>q$. Now each of them will toss their coin $n$ times, and Alice will win iff she gets more heads than Bob does. Evidently the game favors Bob, but…

In modern portfolio theory, the balancing of expected returns on investments against uncertainties in those returns is aided by the use of utility functions. The Kelly criterion offers another approach, rooted in information theory, that…

The key idea of Bayesian optimization is replacing an expensive target function with a cheap surrogate model. By selection of an acquisition function for Bayesian optimization, we trade off between exploration and exploitation. The…

The Colonel Blotto game, introduced by Borel in the 1920s, is often used for modeling various real-life settings, such as elections, lobbying, etc. The game is based on the allocation of limited resources by players to a set of fields. Each…

In this paper, we study a class of zero-sum two-player stochastic differential games with the controlled stochastic differential equations and the payoff/cost functionals of recursive type. As opposed to the pioneering work by Fleming and…

We introduce a "high probability" framework for repeated games with incomplete information. In our non-equilibrium setting, players aim to guarantee a certain payoff with high probability, rather than in expected value. We provide a high…

With the vast amount of data collected on football and the growth of computing abilities, many games involving decision choices can be optimized. The underlying rule is the maximization of an expected utility of outcomes and the law of…

The world of empirical machine learning (ML) strongly relies on benchmarks in order to determine the relative effectiveness of different algorithms and methods. This paper proposes the notion of "a benchmark lottery" that describes the…

Briscola is a traditional Italian trick-taking card game whose simplest form is played by two players. Popular folklore credits victory almost entirely to the player who is dealt more cards of the trump suit (the so-called \emph{briscola}),…

This paper is part of an ongoing investigation of "pragmatic information", defined in Weinberger (2002) as "the amount of information actually used in making a decision". Because a study of information rates led to the Noiseless and Noisy…

We study optimal equilibria in multi-player games. An equilibrium is optimal for a player, if her payoff is maximal. A tempting approach to solving this problem is to seek optimal Nash equilibria, the standard form of equilibria where no…

Voters making a binary decision purchase votes from a centralized clearing house, paying the square of the number of votes purchased. The net payoff to an agent with utility $u$ who purchases $v$ votes is $\Psi (S_{n+1})u-v^{2}$, where…

In the Binary Networked Public Goods game, every player needs to decide if she participates in a public project whose utility is shared equally by the community. We study the problem of deciding if there exists a pure strategy Nash…

Recent results of Ye and Hansen, Miltersen and Zwick show that policy iteration for one or two player (perfect information) zero-sum stochastic games, restricted to instances with a fixed discount rate, is strongly polynomial. We show that…

In this work we offer an $O(|V|^2 |E|\, W)$ pseudo-polynomial time deterministic algorithm for solving the Value Problem and Optimal Strategy Synthesis in Mean Payoff Games. This improves by a factor $\log(|V|\, W)$ the best previously…