6 citations · 19 across the 17 of their papers we have counts for
25 papers
SOLO FTRL algorithm for production management with transfer prices
Dmitry B. Rokhlin, Gennady A. Ougolnitsky
We consider a firm producing and selling commodities, and consisting from production and sales divisions. The firm manager tries to stimulate the best division performa…
Relative utility bounds for empirically optimal portfolios
Dmitry B. Rokhlin
We consider a single-period portfolio selection problem for an investor, maximizing the expected ratio of the portfolio utility and the utility of a best asset taken in hindsight.…
Resource allocation in communication networks with large number of users: the stochastic gradient descent method
Dmitry B. Rokhlin
We consider a communication network with fixed number of links, shared by large number of users. The resource allocation is performed on the basis of an aggregate utility maximizat…
Robbins-Monro conditions for persistent exploration learning strategies
Dmitry B. Rokhlin
We formulate simple assumptions, implying the Robbins-Monro conditions for the -learning algorithm with the local learning rate, depending on the number of visits of a particula…
PDE approach to the problem of online prediction with expert advice: a construction of potential-based strategies
Dmitry B. Rokhlin
We consider a sequence of repeated prediction games and formally pass to the limit. The supersolutions of the resulting non-linear parabolic partial differential equation are close…
Asymptotic efficiency of the proportional compensation scheme for a large number of producers
Dmitry B. Rokhlin, Anatoly Usov
We consider a manager, who allocates some fixed total payment amount between rational agents in order to maximize the aggregate production. The profit of -th agent is the di…