2012

最新文章

• Average Cost Markov Decision Processes with Weakly Continuous Transition Probabilities AI翻译
  作者：Feinberg, Eugene A.; Kasyanov, Pavlo O.; Zadoianchuk, Nina V.
  作者单位：State University of New York (SUNY) System; Stony Brook University; Ministry of Education & Science of Ukraine; Igor Sikorsky Kyiv Polytechnic Institute; National Academy of Sciences Ukraine; Institute for Applied System Analysis of the National Technical University of Ukraine Igor Sikorsky Kyiv Polytechnic Institute
  摘要：This paper presents sufficient conditions for the existence of stationary optimal policies for average cost Markov decision processes with Borel state and action sets and weakly continuous transition probabilities. The one-step cost functions may be unbounded, and the action sets may be noncompact. The main contributions of this paper are: (i) general sufficient conditions for the existence of stationary discount optimal and average cost optimal policies and descriptions of properties of value...
• Comparing Markov Chains: Aggregation and Precedence Relations Applied to Sets of States, with Applications to Assemble-to-Order Systems AI翻译
  作者：Busic, Ana; Vliegen, Ingrid; Scheller-Wolf, Alan
  作者单位：Inria; Universite PSL; Ecole Normale Superieure (ENS); University of Twente; Carnegie Mellon University
  摘要：Solving Markov chains is, in general, difficult if the state space of the chain is very large (or infinite) and lacking a simple repeating structure. One alternative to solving such chains is to construct models that are simple to analyze and provide bounds for a reward function of interest. We present a new bounding method for Markov chains inspired by Markov reward theory: Our method constructs bounds by redirecting selected sets of transitions, facilitating an intuitive interpretation of th...
• A Distributional Interpretation of Robust Optimization AI翻译
  作者：Xu, Huan; Caramanis, Constantine; Mannor, Shie
  作者单位：National University of Singapore; University of Texas System; University of Texas Austin; Technion Israel Institute of Technology
  摘要：Motivated by data-driven decision making and sampling problems, we investigate probabilistic interpretations of robust optimization (RO). We establish a connection between RO and distributionally robust stochastic programming (DRSP), showing that the solution to any RO problem is also a solution to a DRSP problem. Specifically, we consider the case where multiple uncertain parameters belong to the same fixed dimensional space and find the set of distributions of the equivalent DRSP problem. Th...
• Optimal Decision Rules for Product Recalls AI翻译
  作者：Sezer, Ali Devin; Haksoz, Cagn
  作者单位：Middle East Technical University; Sabanci University
  摘要：We consider a hypothetical company that is assumed to have just manufactured and sold a number of copies of a product. It is known that, with a small probability, the company has committed a manufacturing fault that will require a recall. The company is able to observe the expiration times of the sold items whose distribution depends on whether the fault is present or absent. At the expiration of each item, a public inspection takes place that may reveal the fault, if it exists. Based on this ...
• On the Existence of Pure Nash Equilibria in Weighted Congestion Games AI翻译
  作者：Harks, Tobias; Klimm, Max
  作者单位：Maastricht University; Technical University of Berlin
  摘要：We study the existence of pure Nash equilibria in weighted congestion games. Let C denote a set of cost functions. We say that C is consistent if every weighted congestion game with cost functions in C possesses a pure Nash equilibrium. Our main contribution is a complete characterization of consistency of continuous cost functions. We prove that a set C of continuous functions is consistent for two-player games if and only if C contains only monotonic functions and for all nonconstant functio...
• A Stochastic Target Approach for P&L Matching Problems AI翻译
  作者：Bouchard, Bruno; Thanh Nam Vu
  作者单位：Universite PSL; Universite Paris-Dauphine; Institut Polytechnique de Paris; ENSAE Paris
  摘要：Within a Brownian diffusion Markovian framework, we provide a direct PDE characterization of the minimal initial endowment required so that the terminal wealth of a financial agent (possibly diminished by the payoff of a random claim) can match a set of constraints in probability. Such constraints should be interpreted as a rough description of a targeted profit and loss (P&L) distribution. This allows us to give a price to options under a P&L constraint, or to provide a description of the dis...
• Asymptotic Irrelevance of Initial Conditions for Skorohod Reflection Mapping on the Nonnegative Orthant AI翻译
  作者：Kella, Offer; Ramasubramanian, S.
  作者单位：Hebrew University of Jerusalem; Indian Statistical Institute; Indian Statistical Institute Bangalore
  摘要：A reflection map, induced by the deterministic Skorohod problem on the nonnegative orthant, is applied to a vector-valued function X on the nonnegative real line and then to a + X, where a is a nonnegative constant vector. A question that was posed over 15 years ago is, under what conditions does the difference between the two resulting regulated functions converge to zero for any choice of a as time diverges. This, in turn, implies that if one imposes enough stochastic structure that ensures ...
• Splitting Randomized Stationary Policies in Total-Reward Markov Decision Processes AI翻译
  作者：Feinberg, Eugene A.; Rothblum, Uriel G.
  作者单位：State University of New York (SUNY) System; Stony Brook University; Technion Israel Institute of Technology
  摘要：This paper studies a discrete-time total-reward Markov decision process (MDP) with a given initial state distribution. A (randomized) stationary policy can be split on a given set of states if the occupancy measure of this policy can be expressed as a convex combination of the occupancy measures of stationary policies, each selecting deterministic actions on the given set and coinciding with the original stationary policy outside of this set. For a stationary policy, necessary and sufficient c...
• A Topological Approach to Quitting Games AI翻译
  作者：Simon, Robert Samuel
  作者单位：University of London; London School Economics & Political Science
  摘要：This paper presents a question of topological dynamics and demonstrates that its affirmation would establish the existence of approximate equilibria in all quitting games with only normal players. A quitting game is an undiscounted stochastic game with finitely many players where every player has only two moves, to end the game with certainty or to allow the game to continue. If nobody ever acts to end the game, all players receive payoffs of 0. A player is normal if and only if by quitting al...
• A Colonel Blotto Gladiator Game AI翻译
  作者：Rinott, Yosef; Scarsini, Marco; Yu, Yaming
  作者单位：Hebrew University of Jerusalem; Hebrew University of Jerusalem; Luiss Guido Carli University; University of California System; University of California Irvine
  摘要：We consider a stochastic version of the well-known Blotto game, called the gladiator game. In this zero-sum allocation game two teams of gladiators engage in a sequence of one-on-one fights in which the probability of winning is a function of the gladiators' strengths. Each team's strategy is the allocation of its total strength among its gladiators. We find the Nash equilibria and the value of this class of games and show how they depend on the total strength of teams and the number of gladia...