Results 11 to 20 of about 344,723 (279)
Optimal Reinsurance Problem under Fixed Cost and Exponential Preferences
Mathematics, 2021 We investigate an optimal reinsurance problem for an insurance company taking into account subscription costs: that is, a constant fixed cost is paid when the reinsurance contract is signed.
Matteo Brachetta, Claudia Ceci
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The Perils of Misspecified Priors and Optional Stopping in Multi-Armed Bandits
Frontiers in Artificial Intelligence, 2021 The connection between optimal stopping times of American Options and multi-armed bandits is the subject of active research. This article investigates the effects of optional stopping in a particular class of multi-armed bandit experiments, which ...
Markus Loecher
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Optimally Stopped Optimization
Physical Review Applied, 2016 We combine the fields of heuristic optimization and optimal stopping. We propose a strategy for benchmarking randomized optimization algorithms that minimizes the expected total cost for obtaining a good solution with an optimal number of calls to the solver.
Vinci, Walter, Lidar, Daniel A.
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Optimal Stopping Under Ambiguity [PDF]
SSRN Electronic Journal, 2006 We consider optimal stopping problems for ambiguity averse decision makers with multiple priors. In general, backward induction fails. If, however, the class of priors is time-consistent, we establish a generalization of the classical theory of optimal stopping. To this end, we develop first steps of a martingale theory for multiple priors.
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An Energy-Aware Transmission Target Selection Mechanism for UAV Networking
IEEE Access, 2019 The energy consumption of transmitting data during the process of UAVs co-execution task affects the performance of the UAV CPU and the quality of the task accomplished. In order to reduce the energy consumption of data transmission in UAV networks, this
Jiehong Wu +4 more
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Concentration Inequalities and Optimal Number of Layers for Stochastic Deep Neural Networks
IEEE Access, 2023 We state concentration inequalities for the output of the hidden layers of a stochastic deep neural network (SDNN), as well as for the output of the whole SDNN.
Michele Caprio, Sayan Mukherjee
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Partially Observed Non-linear Risk-sensitive Optimal Stopping Control for Non-linear Discrete-time Systems [PDF]
, 2006 In this paper we introduce and solve the partially observed optimal stopping non-linear risk-sensitive stochastic control problem for discrete-time non-linear systems.
Ford, Jason
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Distribution‐constrained optimal stopping
Mathematical Finance, 2018 AbstractWe solve the problem of optimal stopping of a Brownian motion subject to the constraint that the stopping time's distribution is a given measure consisting of finitely many atoms. In particular, we show that this problem can be converted to a finite sequence of state‐constrained optimal control problems with additional states corresponding to ...
Bayraktar, Erhan, Miller, Christopher W.
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Los valores del juego de parada óptima para medias aritméticas de variables de Bernoulli
Revista de Matemática: Teoría y Aplicaciones, 2009 We study optimal stopping problems for generalized averages of identically distributed Bernoulli variables, taking values in the set D = {d0, d1}. We obtain a recurrent formula in the finite horizon case, which gives the value of the game in terms of ...
Jaime Lobo Segura, Santiago Cambronero
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Conditional Optimal Stopping: A Time-Inconsistent Optimization [PDF]
SSRN Electronic Journal, 2019 Forthcoming in 'Annals of Applied Probability'
Nutz, Marcel, Zhang, Yuchong
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