New method designs fairer transport plans with uncertainty.
problem Designing fair and balanced mass transport plans.
method Hierarchical fully probabilistic design (HFPD) for transport plans.
result Optimal hyperprior for transport plans with uncertain marginals.
This paper optimizes DC pension plan investments using O-U process and loan.
problem Optimizing investment strategy for DC pension plans under specific market conditions.
method Dynamic programming and Hamilton-Jacobi-Bellman equation to derive optimal investment strategy.
result Explicit expression for optimal investment strategy derived.
Improves RL planning by proposing sub-goals hierarchically.
problem Sequential planning assumption in RL.
method Divide-and-Conquer Monte Carlo Tree Search (DC-MCTS).
result Improves navigation and control tasks.
Olympus benchmarks optimization algorithms for noisy experiments.
problem Benchmarking optimization algorithms on realistic experimental scenarios is challenging.
method Introduces Olympus, a software package for benchmarking optimization algorithms on synthetic experiments.
result Mitigates barriers in benchmarking optimization algorithms on realistic experimental scenarios.
Optimal withdrawal strategy for DC pension plans maximizes total withdrawals while managing risk.
problem Maximizing withdrawals from DC pension plans while managing risk.
method Optimal stochastic control approach with constraints on withdrawal and asset allocation.
result Optimal strategy yields higher average withdrawals with minimal increase in risk.
Certified guidance ensures generative models always meet planning objectives.
problem Lack of guarantees for generated outputs satisfying planning objectives.
method Certified guidance modifies generative models without retraining, ensuring outputs meet STL specifications.
result Certified guidance produces models that are always correct, unlike non-certified methods.
Paper analyzes robust strategies in a pension plan game with ambiguous financial markets.
problem Analyzing robust strategies in a defined benefit pension plan game with ambiguous financial markets.
method Formulated and solved two robust non-zero-sum games using stochastic dynamic programming.
result Explicit forms and optimality of the solutions are shown for the firm and union.
Study experiment planning with function approximation in contextual bandit problems.
problem Designing effective data collection strategies in settings with limited rewards.
method Proposes two experiment planning strategies compatible with function approximation.
result Eluder planning and sampling procedure achieves optimality guarantees.
Investigates risk measures for DC pension decumulation.
problem Develop optimal decumulation strategies for DC plan holders.
method Formulates decumulation as a control problem, studies risk measures (expected shortfall, linear shortfall, probability of shortfall).
result Optimal controls for expected reward and expected shortfall are identical to those for expected reward and linear shortfall.
Investment strategy for DC pension plan with inflation risk and tail VaR constraint.
problem Maximizing terminal wealth for pension member with tail VaR constraint.
method Lagrange method and quantile optimization techniques.
result Optimal investment strategy and output in closed-form derived.
E2C separates planning and execution in LLMs, improving efficiency and performance.
problem Entangled planning and execution in LLMs waste tokens and limit flexibility.
method E2C splits exploration and execution phases, using SFT and RL for training.
result E2C achieves 53.3% accuracy on AIME'2024 with 12.4k tokens, outperforming alternatives.
The computational costs of inference and planning have confined Bayesian model-based reinforcement learning to one of two dismal fates: powerful Bayes-adaptive planning but only for simplistic models, or powerful, Bayesian non-parametric models but using simple, myopic planning strategies such as Thompson sampling. We …
A key challenge in complex visuomotor control is learning abstract representations that are effective for specifying goals, planning, and generalization. To this end, we introduce universal planning networks (UPN). UPNs embed differentiable planning within a goal-directed policy. This planning computation unrolls a for…
Investment strategies in occupational pension plans are optimized for non-tradable income risk.
problem Optimizing investment strategies for occupational pension plans in the presence of non-tradable income risk.
method Formulated as a stochastic optimization problem, analyzed in both constant and stochastic volatility environments.
result Random contributions induce the optimal glide path structure, influenced by initial wealth, contributions, and risk aversion.
Random investment strategies outperform sensible ones, even with forecasts.
problem The usefulness of investment strategies based on forecasts is questioned.
method Investigated the performance of sensible and nonsensical investment strategies, including forecasts.
result There is no substantial difference between the performances of ``best'' and ``trivial'' forecasts.
Demand variance can result in a mismatch between planned supply and actual demand. Demand shaping strategies such as pricing can be used to shift elastic demand to reduce the imbalance. In this work, we propose to consider elastic demand in the forecasting phase. We present a method to reallocate the historical elastic…
Conventional wisdom holds that model-based planning is a powerful approach to sequential decision-making. It is often very challenging in practice, however, because while a model can be used to evaluate a plan, it does not prescribe how to construct a plan. Here we introduce the "Imagination-based Planner", the first m…
For any business, planning is a continuous process, and typically business-owners focus on making both long-term planning aligned with a particular strategy as well as short-term planning that accommodates the dynamic market situations. An ability to perform an accurate financial forecast is crucial for effective plann…
This work tackles long-term visual planning by goal-conditioned hierarchical predictors.
problem Current learning approaches fail on long-horizon tasks due to lack of goal information and coarse-to-fine planning.
method Formulate goal-conditioned predictors (GCPs) and hierarchical models to predict trajectories between observations.
result GCPs enable effective long-term planning with much longer horizons than before.
Model trains agents to optimize saving and investment strategies for diverse retirement needs.
problem Optimal saving and investment strategies for individuals in varied employment and income profiles.
method Deep reinforcement learning to train intelligent agents with heterogeneous profiles.
result Flexible methodology estimates lifetime consumption and investment choices for different profiles.
Paper identifies a shared toolkit of strategies for risk management across fields.
problem Uncertainty and risk management in various fields.
method Systematic identification and categorization of 110 strategies.
result RDOT: Risk-reducing Design and Operations Toolkit provides versatile responses to uncertainty.
Vanguard uses AI to create personalized financial plans.
problem Challenges in choosing features for complex financial planning.
method Reinforcement learning for identifying optimal savings rates.
result Trains algorithms to model financial success trajectories.
Time inconsistency leads to intra-personal conflict and reconciliation strategies.
problem Time inconsistency in dynamic choice problems.
method Rigorous treatment of intra-personal equilibrium in continuous-time settings.
result A new approach to understanding and reconciling intra-personal conflicts.
Paper tackles pandemic resource allocation challenges.
problem Shortages of medical resources during pandemics.
method Risk management approach, focusing on spatio-temporal competitions.
result New strategies for optimal stockpiling and allocation balancing resource competition.
A moment constraint that limits the number of dividends in the optimal dividend problem is suggested. This leads to a new type of time-inconsistent stochastic impulse control problem. First, the optimal solution in the precommitment sense is derived. Second, the problem is formulated as an intrapersonal sequential dyna…
Inspired by Strotz's consistent planning strategy, we formulate the infinite horizon mean-variance stopping problem as a subgame perfect Nash equilibrium in order to determine time consistent strategies with no regret. Equilibria among stopping times or randomized stopping times may not exist. This motivates us to cons…
A new method for multi-agent planning on graphs outperforms existing approaches.
problem Planning coordination among multiple interacting agents on a graph.
method Variational perturbation theory applied to inference in large networks.
result Our method outperforms state-of-the-art methods in non-local cost function scenarios.
In this paper, we solve the arms exponential exploding issue in multivariate Multi-Armed Bandit (Multivariate-MAB) problem when the arm dimension hierarchy is considered. We propose a framework called path planning (TS-PP) which utilizes decision graph/trees to model arm reward success rate with m-way dimension interac…
New algorithm ensures fair matching in resource allocation.
problem Ensuring fairness in matching algorithms for scarce resources.
method Introduces a modified Sinkhorn algorithm and two relaxation strategies for group fairness in Optimal Transport.
result Demonstrates improved matching quality and fairness trade-off.
A neural network approach solves optimal decumulation problems for pension plans.
problem Optimal asset allocation and withdrawal strategies for DC pension holders.
method Data-driven neural network optimization with customized activation functions.
result The neural network approach learns near-optimal solutions comparable to HJB PDE methods.
Enhances PlaNet for better planning in uncertain environments.
problem Improving deep planning networks for partially observable environments.
method Incorporates Bayesian inference to handle uncertainty in latent models and action candidates.
result Consistently improves asymptotic performance on continuous control tasks.
New RL algorithm ensures stable, replicable policies.
problem Stability and replicability issues in RL algorithms.
method Introduced weak and strong forms of list replicability, developed a novel planning strategy, and tested state reachability.
result Proved efficient tabular RL algorithm with polynomial list complexity.
In this paper, we consider the pricing of derivative products that involve dynamic hedging strategies and payments within the planning horizon. Equity-indexed annuities (EIAs), Guaranteed investment certificate (GIC), American and Barrier options are typical examples of these products. Our exploration involves evaluati…
In model-based reinforcement learning, the agent interleaves between model learning and planning. These two components are inextricably intertwined. If the model is not able to provide sensible long-term prediction, the executed planner would exploit model flaws, which can yield catastrophic failures. This paper focuse…
Optimizes fund portfolio updates using linear programming and heuristic search.
problem Efficiently updating mutual fund portfolios with various instruments.
method Linear programming and heuristic search approaches.
result Cost improvements over traditional methods.
A quantum financial approach to finite games of strategy is addressed, with an extension of Nash's theorem to the quantum financial setting, allowing for an entanglement of games of strategy with two-period financial allocation problems that are expressed in terms of: the consumption plans' optimization problem in pure…
GP-MRO discovers robust mixed strategies for unknown objectives.
problem Optimizing unknown objectives against worst-case uncertain parameters.
method Sequential learning from noisy point evaluations, combining online learning and Gaussian processes.
result GP-MRO finds robust mixed strategies that significantly improve performance over deterministic strategies.
Predicts user next location using CDR data.
problem Predicting user's next location using CDR data.
method Data processing framework with deep neural network model.
result Error of prediction decreased from 74% to 55%.
The paper offers guidelines for validating data-driven models.
problem Ensuring reliable validation of data-driven models.
method A set of general rules for model validation.
result Helps practitioners create reliable validation plans and report results transparently.
Language models predict inorganic synthesis conditions and temperatures.
problem Limited data and heuristic approaches constrain inorganic synthesis planning.
method Language models without fine-tuning predict precursor conditions and temperatures.
result Language models achieve high accuracy in predicting synthesis conditions and temperatures.
A key feature of intelligent behavior is the ability to learn abstract strategies that transfer to unfamiliar problems. Therefore, we present a novel architecture, based on memory-augmented networks, that is inspired by the von Neumann and Harvard architectures of modern computers. This architecture enables the learnin…
We consider the portfolio choice problem for a long-run investor in a general continuous semimartingale model. We suggest to use path-wise growth optimality as the decision criterion and encode preferences through restrictions on the class of admissible wealth processes. Specifically, the investor is only interested in…
By investigating model-independent bounds for exotic options in financial mathematics, a martingale version of the Monge-Kantorovich mass transport problem was introduced in \cite{BeiglbockHenry LaborderePenkner,GalichonHenry-LabordereTouzi}. In this paper, we extend the one-dimensional Brenier's theorem to the present…
The paper optimizes insurance purchases for financial goals.
problem Maximizing probability of achieving financial goals with insurance.
method Analyzes deferred term insurance in deterministic and stochastic frameworks, considering income, consumption, and risky investment.
result Provides optimal insurance and investment strategies for achieving financial goals.
Optimal asset allocation strategy outperforms stochastic benchmark.
problem Achieving higher terminal wealth than a stochastic benchmark.
method Data-driven Neural Network optimization framework for dynamic asset allocation.
result Optimal adaptive strategy outperforms benchmark with higher median and right-skewed terminal wealth.
Managing investment portfolios is an old and well know problem in multiple fields including financial mathematics and financial engineering as well as econometrics and econophysics. Multiple different concepts and theories were used so far to describe methods of handling with financial assets, including differential eq…
Agent learns to navigate uncertain 3D maps using a hybrid planner.
problem Planning in 3D environments with uncertain topological maps.
method Hierarchical strategy combining graph planner and local policy, data-driven learning with neural network.
result Machine learning can overcome missing information in probabilistic topological maps.
Autonomous robots need to interact with unknown, unstructured and changing environments, constantly facing novel challenges. Therefore, continuous online adaptation for lifelong-learning and the need of sample-efficient mechanisms to adapt to changes in the environment, the constraints, the tasks, or the robot itself a…