3期

最新文章

• Nonzero-Sum Optimal Stopping Game with Continuous vs. Periodic Exercise Opportunities AI翻译
  作者：Perez, Jose Luis; Rodosthenous, Neofytos; Yamazaki, Kazutoshi
  作者单位：CIMAT - Centro de Investigacion en Matematicas; University of London; University College London; University of Queensland
  摘要：We introduce a new nonzero-sum game of optimal stopping with asymmetric exercise opportunities. Given a stochastic process modeling the value of an asset, one player observes and can act on the process continuously, whereas the other player can act on it only periodically at independent Poisson arrival times. The first one to stop receives a reward, different for each player, whereas the other one gets nothing. We study how each player balances the maximization of gains against the maximizatio...
• Comparison Between Mean-Variance and Monotone Mean-Variance Preferences Under Jump Diffusion and Stochastic Factor Model AI翻译
  作者：Li, Yuchen; Liang, Zongxia; Pang, Shunzhi
  作者单位：Tsinghua University; Tsinghua University
  摘要：This paper compares the optimal investment problems based on monotone mean-variance (MMV) and mean-variance (MV) preferences in a Levy market with an untradable stochastic factor. It is an open question proposed by Trybu & lstrok;a and Zawisza. Using the dynamic programming and Lagrange multiplier methods, we get the HamiltonJacobi-Bellman-Isaacs (HJBI) and Hamilton-Jacobi-Bellman (HJB) equations corresponding to the two investment problems. The equations are transformed into a new-type parabo...
• A Retrospective Approximation Approach for Smooth Stochastic Optimization AI翻译
  作者：Newton, David; Bollapragada, Raghu; Pasupathy, Raghu; Yip, Nung Kwan
  作者单位：Purdue University System; Purdue University; University of Texas System; University of Texas Austin; Indian Institute of Technology System (IIT System); Indian Institute of Technology (IIT) - Madras; Purdue University System; Purdue University
  摘要：Stochastic Gradient (SG) is the de facto iterative technique to solve stochastic optimization (SO) problems with a smooth (nonconvex) objective f and a stochastic first-order oracle. SG's attractiveness is due in part to its simplicity of executing a single step along the negative subsampled gradient direction to update the incumbent iterate. In this paper, we question SG's choice of executing a single step as opposed to multiple steps between subsample updates. Our investigation leads natural...
• On the Set of Balanced Games AI翻译
  作者：Garcia-Segador, Pedro; Grabisch, Michel; Miranda, Pedro
  作者单位：Paris School of Economics; Complutense University of Madrid
  摘要：We study the geometric structure of the set of cooperative transferable utility games having a nonempty core, characterized by Bondareva and Shapley as balanced games. We show that this set is a nonpointed polyhedral cone, and we find the set of its extremal rays and facets. This study is also done for the set of balanced games whose value for the grand coalition is fixed, which yields an affine nonpointed polyhedral cone. Finally, the case of nonnegative balanced games with fixed value for th...
• On the Convex Formulations of Robust Markov Decision Processes AI翻译
  作者：Grand-Clement, Julien; Petrik, Marek
  作者单位：University System Of New Hampshire; University of New Hampshire
  摘要：Robust Markov decision processes (MDPs) are used for applications of dynamic optimization in uncertain environments and have been studied extensively. Many of the main properties and algorithms of MDPs, such as value iteration and policy iteration, extend directly to RMDPs. Surprisingly, there is no known analog of the MDP convex optimization formulation for solving RMDPs. This work describes the first convex optimization formulation of RMDPs under the classical sa-rectangularity and s-rectang...
• On a Network Centrality Maximization Game AI翻译
  作者：Catalano, Costanza; Castaldo, Maria; Como, Giacomo; Fagnani, Fabio
  作者单位：European Central Bank; Bank of Italy; Communaute Universite Grenoble Alpes; Institut National Polytechnique de Grenoble; Universite Grenoble Alpes (UGA); Centre National de la Recherche Scientifique (CNRS); Inria; Polytechnic University of Turin; Lund University
  摘要：We study a network formation game where n players, identified with the nodes of a directed graph to be formed, choose where to wire their outgoing links in order to maximize their PageRank centrality. Specifically, the action of every player i consists in the wiring of a predetermined number di of directed out-links, and her utility is her own PageRank centrality in the network resulting from the actions of all players. We show that this is a potential game and that the best response correspon...
• Uncertainty Propagation and Dynamic Robust Risk Measures AI翻译
  作者：Moresco, Marlon R.; Mailhot, Melina; Pesenti, Silvana M.
  作者单位：Universidade Federal do Rio Grande do Sul; Concordia University - Canada; University of Toronto
  摘要：We introduce a framework for quantifying propagation of uncertainty arising in a dynamic setting. Specifically, we define dynamic uncertainty sets designed explicitly for discrete stochastic processes over a finite time horizon. These dynamic uncertainty sets capture the uncertainty surrounding stochastic processes and models, accounting for factors such as distributional ambiguity. Examples of uncertainty sets include those induced by the Wasserstein distance and f-divergences. We further def...
• Sparse Integer Programming Is Fixed-Parameter Tractable AI翻译
  作者：Eisenbrand, Friedrich; Hunkenschroeder, Christoph; Klein, Kim-Manuel; Koutecky, Martin; Levin, Asaf; Onn, Shmuel
  作者单位：Technical University of Berlin; University of Lubeck; Charles University Prague; Technion Israel Institute of Technology
  摘要：We study the general integer programming problem where the number of variables n is a variable part of the input. We consider two natural parameters of the constraint matrix A: its numeric measure a and its sparsity measure d. We present an algorithm for solving integer programming in time g(a,d)poly(n,L), where g is some computable function of the parameters a and d, and L is the binary encoding length of the input. In particular, integer programming is fixed-parameter tractable parameterized...
• The Minimax Property in Infinite Two-Person Win-Lose Games AI翻译
  作者：Holzman, Ron
  作者单位：Technion Israel Institute of Technology
  摘要：We explore a version of the minimax theorem for two-person win-lose games with infinitely many pure strategies. In the countable case, we give a combinatorial condition on the game which implies the minimax property. In the general case, we prove that a game satisfies the minimax property along with all its subgames if and only if none of its subgames is isomorphic to the larger number game. This generalizes a recent theorem of Hanneke, Livni, and Moran. We also propose several applications of...
• Correlated Equilibria in Large Anonymous Bayesian Games AI翻译
  作者：Koessler, Frederic; Scarsini, Marco; Tomala, Tristan
  作者单位：Luiss Guido Carli University
  摘要：We consider multipopulation Bayesian games with a large number of players. Each player aims at minimizing a cost function that depends on this player's own action, the distribution of players' actions in all populations, and an unknown state parameter. We study the nonatomic limit versions of these games and introduce the concept of Bayes correlated Wardrop equilibrium, which extends the concept of Bayes correlated equilibrium to nonatomic games. We prove that Bayes correlated Wardrop equilibr...