3 papers
stat.ME2026
Simultaneous Inference for Time Series Functional Linear Regression
Yan Cui, Zhou Zhou
We consider the problem of joint simultaneous confidence band (JSCB) construction for regression coefficient functions of time series scalar-on-function linear regression when the…
math.OC2024
Convergence of Policy Iteration for Entropy-Regularized Stochastic Control Problems
Yu-Jui Huang, Zhenhua Wang, Zhou Zhou
For a general entropy-regularized stochastic control problem on an infinite horizon, we prove that a policy iteration algorithm (PIA) converges to an optimal relaxed control. Contr…
math.OC2024
Relaxed Equilibria for Time-Inconsistent Markov Decision Processes
Erhan Bayraktar, Yu-Jui Huang, Zhenhua Wang +1
This paper considers an infinite-horizon Markov decision process (MDP) that allows for general non-exponential discount functions, in both discrete and continuous time. Due to the…