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math.OC2023★ 3 cited
Bounding the Difference between the Values of Robust and Non-Robust Markov Decision Problems
Ariel Neufeld, Julian Sester
In this note we provide an upper bound for the difference between the value function of a distributionally robust Markov decision problem and the value function of a non-robust Mar…
math.OC2023
Feasible approximation of matching equilibria for large-scale matching for teams problems
Ariel Neufeld, Qikun Xiang
We propose a numerical algorithm for computing feasible and approximately optimal solutions of the matching for teams problem. Specifically, we introduce the notion of approximate…
q-fin.CP2023
Neural networks can detect model-free static arbitrage strategies
Ariel Neufeld, Julian Sester
In this paper we demonstrate both theoretically as well as numerically that neural networks can detect model-free static arbitrage opportunities whenever the market admits some. Du…