The performance of a given portfolio policy can in principle be evaluated by comparing its expected utility with that of the optimal policy. Unfortunately, the optimal policy is usually not computable, in which case a direct comparison is impossible. In this paper, we solve this problem by using the given portfolio policy to construct an upper bound on the unknown maximum expected utility. This...

Abstract We study a coordination game on fixed connected network where players have to choose between two projects. Some are moderate (i.e. they ex-ante indifferent both projects) while others stubborn always the same project). Benefits for increasing in number of neighbors who project. In addition, either farsighted or myopic. Farsighted anticipate reactions myopic do not. show that, when all ...

We consider an opportunistic communication system consisting of multiple independent channels with time-varying states. With limited sensing, a user can only sense and access a subset of channels and accrue rewards determined by the states of the sensed channels. We formulate the problem of optimal sequential channel selection as a restless multi-armed bandit process. We establish the indexabil...

Structural results for POMDPs are important since solving POMDPs numerically are typically intractable. Solving a classical POMDP is known to be PSPACE-complete [40]. Moreover, in controlled sensing problems [16], [26], [10], it is often necessary to use POMDPs that are nonlinear in the belief state in order to model the uncertainty in the state estimate. (For example, the variance of the state...

Motivated by applications in financial services, we consider a seller who offers prices sequentially to a stream of potential customers, observing either success or failure in each sales attempt. The parameters of the underlying demand model are initially unknown, so each price decision involves a trade-off between learning and earning. Attention is restricted to the simplest kind of model unce...

We consider the single-item, multi-period stochastic inventory problem with non-stationary and correlated demands. We provide the first proof that a well-known myopic policy, which we call Look-Ahead Optimization (LA), is in fact an approximation algorithm for solving the large dynamic program that arises from this problem. We prove that LA provides the tightest known approximation bound for th...

Managing Capacity Flexibility in Make-to-Order Production Environments Fehmi Tanrisever , Douglas Morrice , David Morton c a School of Industrial Engineering, Eindhoven University of Technology, Eindhoven, The Netherlands b Red McCombs School of Business, The University of Texas at Austin, Austin, TX 78712 c Graduate Program in Operations Research and Industrial Engineering, The University of T...

Cognitive radio, first envisioned by Mitola, is the key enabling technology for future generations of wireless systems that addresses critical challenges in spectrum efficiency, interference management, and coexistence of heterogeneous networks. The core concept in cognitive radio networks is opportunistic spectrum access, whose objective is to solve the imbalance between spectrum scarcity and ...