Optimal dynamic resource allocation to prevent defaults

DOI10.1016/J.ORL.2016.04.008MaRDI QIDQ1694773zbMATH OpenOpenAlexFDO

Authors M. Erausquin, Eva Ferreira, Urtzi Ayesta, Peter Jacko

Publication date 6 February 2018

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://eprints.lancs.ac.uk/id/eprint/79300/1/ORL_report.pdf

zbMATH Keywords

Markov decision processesmulti-armed bandit problemdefault risk managementdynamic resource allocation policies

Mathematics Subject Classification ID

Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Markov and semi-Markov decision processes (90C40)

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Cites work

• scientific article; zbMATH DE number 4087408 (Why is no real title available?)
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• A Bayesian approach to the triage problem with imperfect classification
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• Learning about variable demand in the long run
• Multi-armed bandit allocation indices. With a foreword by Peter Whittle.
• Optimal Search for the Best Alternative
• Optimal dynamic resource allocation to prevent defaults
• Optimal selection of obsolescence mitigation strategies using a restless bandit model
• Strategic Experimentation
• Strategic Experimentation with Exponential Bandits

Cited in

(5)

• A centre-free approach for resource allocation with lower bounds
• Dynamic programs with shared resources and signals: dynamic fluid policies and asymptotic optimality
• Modelling and solving resource allocation problems via a dynamic programming approach
• Allocating resources via price management systems: a dynamic programming-based approach
• Optimal dynamic resource allocation to prevent defaults

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