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MOR
2008
81views more  MOR 2008»
8 years 9 months ago
Optimal Stopping of Linear Diffusions with Random Discounting
Abstract. We propose a new solution method for optimal stopping problems with random discounting for linear diffusions whose state space has a combination of natural, absorbing, or...
Savas Dayanik
MOR
2008
87views more  MOR 2008»
8 years 9 months ago
On Near Optimality of the Set of Finite-State Controllers for Average Cost POMDP
We consider the average cost problem for partially observable Markov decision processes (POMDP) with finite state, observation, and control spaces. We prove that there exists an -...
Huizhen Yu, Dimitri P. Bertsekas
MOR
2008
169views more  MOR 2008»
8 years 9 months ago
The Flow Set with Partial Order
The flow set with partial order is a mixed-integer set described by a budget on total flow and a partial order on the arcs that may carry positive flow. This set is a common substr...
Alper Atamtürk, Muhong Zhang
MOR
2008
81views more  MOR 2008»
8 years 9 months ago
Risk Tuning with Generalized Linear Regression
A framework is set up in which linear regression, as a way of approximating a random variable by other random variables, can be carried out in a variety of ways, which moreover ca...
R. Tyrrell Rockafellar, Stan Uryasev, Michael Zaba...
MOR
2008
55views more  MOR 2008»
8 years 9 months ago
Optimal Expected-Distance Separating Halfspace
Emilio Carrizosa, Frank Plastria
MOR
2008
94views more  MOR 2008»
8 years 9 months ago
Metastable Equilibria
We define a refinement of Nash equilibria called metastability. This refinement supposes that the given game might be embedded within any global game that leaves its local best-rep...
Srihari Govindan, Robert Wilson
MOR
2008
53views more  MOR 2008»
8 years 9 months ago
Efficient Routing in Heavy Traffic Under Partial Sampling of Service Times
We consider a queue with renewal arrivals and n exponential servers in the Halfin-Whitt heavy traffic regime, where n and the arrival rate increase without bound, so that a critic...
Rami Atar, Adam Shwartz
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