相关论文: Some results on the Gittins index for a normal rew…

Let $X=(X_t)_{t\geq 0}$ be a known process and $T$ an unknown random time independent of $X$. Our goal is to derive the distribution of $T$ based on an iid sample of $X_T$. Belomestny and Schoenmakers (2015) propose a solution based the…

Estimation of solution norms and stability for time-dependent nonlinear systems is ubiquitous in numerous applied and control problems. Yet, practically valuable results are rare in this area. This paper develops a novel approach, which…

We study a problem of finding an optimal stopping strategy to liquidate an asset with unknown drift. Taking a Bayesian approach, we model the initial beliefs of an individual about the drift parameter by allowing an arbitrary probability…

This paper investigates the optimization problem of an infinite stage discrete time Markov decision process (MDP) with a long-run average metric considering both mean and variance of rewards together. Such performance metric is important…

We develop a unified nonparametric framework for sharp partial identification and inference on inequality indices when the data contain coarsened observations of the variable of interest. We characterize the extremal allocations for all…

We consider the problem of revenue-optimal dynamic mechanism design in settings where agents' types evolve over time as a function of their (both public and private) experience with items that are auctioned repeatedly over an infinite…

One of the major problems for maximum likelihood estimation in the well-established directional models is that the normalising constants can be difficult to evaluate. A new general method of "score matching estimation" is presented here on…

Consider Ginibre's ensemble of $N \times N$ non-Hermitian random matrices in which all entries are independent complex Gaussians of mean zero and variance $\frac{1}{N}$. As $N \uparrow \infty$ the normalized counting measure of the…

Simulation from the truncated multivariate normal distribution in high dimensions is a recurrent problem in statistical computing, and is typically only feasible using approximate MCMC sampling. In this article we propose a minimax tilting…

We consider the best-choice problem for independent (not necessarily iid) observations $X_1, \cdots, X_n$ with the aim of selecting the sample minimum. We show that in this full generality the monotone case of optimal stopping holds and the…

The fixed point index of topological fixed point theory is a well studied integer-valued algebraic invariant of a mapping which can be characterized by a small set of axioms. The coincidence index is an extension of the concept to…

We study the $\textit{single-index bandit}$ problem, where rewards depend on an unknown one-dimensional projection of high-dimensional contexts through an unknown reward function. This model extends linear and generalized linear bandits to…

In the article, we find the asymptotic distribution of the derivative of the taut string accompanying a Wiener process in a strip of fixed width on long time intervals. This enables to find explicit expressions for minimal energy (averaged…

We consider the problem of preemptively scheduling jobs to minimize mean response time of an M/G/1 queue. When we know each job's size, the shortest remaining processing time (SRPT) policy is optimal. Unfortunately, in many settings we do…

In this paper, we study the stochastic probing problem under a general monotone norm objective. Given a ground set $U = [n]$, each element $i \in U$ has an independent nonnegative random variable $X_i$ with known distribution. Probing an…

This paper is devoted to the analysis of a finite horizon discrete-time stochastic optimal control problem, in presence of constraints. We study the regularity of the value function which comes from the dynamic programming algorithm. We…

An index of uniformity is developed as an alternative to the maximum-entropy principle for selecting continuous, differentiable probability distributions $\mathcal{P}$ subject to constraints $C$. The uniformity index developed in this paper…

The Gauss-Bonnet Theorem is studied for edge metrics as a renormalized index theorem. These metrics include the Poincar\'e-Einstein metrics of the AdS/CFT correspondence. Renormalization is used to make sense of the curvature integral and…

We study an infinite horizon optimal stopping problem which arises naturally in the optimal timing of a firm/project sale or in the valuation of natural resources: the functional to be maximised is a sum of a discounted running reward and a…

We consider a mean-field control problem in which admissible controls are required to be adapted to the common noise filtration. The main objective is to show how the mean-field control problem can be approximates by time consistent…