Optimal dynamic resource allocation to prevent defaults
Ayesta, U. and Erausquin, Martin and Ferreira, E. and Jacko, Peter
(2016)
Optimal dynamic resource allocation to prevent defaults.
Operations Research Letters, 44 (4).
pp. 451-456.
ISSN 0167-6377
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Abstract
We consider a resource allocation problem to decide how to share resources among different companies facing financial difficulties. The objective is to minimize the long term cost due to default events. Using the framework of Multi-Armed Restless Bandits, the optimal policy assigns an index value to each company, which orders its priority to be funded. The index generalizes the return-on-investment (ROI) index under the static setting, and we analyse the influence of the future events on the optimal dynamic policy.
Item Type:
Journal Article
Journal or Publication Title:
Operations Research Letters
Additional Information:
This is the author’s version of a work that was accepted for publication in Operations Research Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Operations Research Letters, 44, 4, 2016 DOI: 10.1016/j.orl.2016.04.008
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/1800/1803
Subjects:
?? markov decision processesmulti-armed bandit problemdefault risk managementdynamic resource allocation policiesmanagement science and operations researchsoftwareapplied mathematicsindustrial and manufacturing engineering ??
Deposited On:
29 Apr 2016 12:20
Last Modified:
08 Oct 2024 00:11