Sequential Design for Ranking Response Surfaces

We propose and analyze sequential design methods for the problem of ranking several response surfaces. Namely, given $L \ge 2$ response surfaces over a continuous input space $\cal X$, the aim is to efficiently find the index of the minimal response across the entire $\cal X$. The response surfaces are not known and have to be noisily sampled one-at-a-time. This setting is motivated by stochastic control applications and requires joint experimental design both in space and response-index dimensions. To generate sequential design heuristics we investigate stepwise uncertainty reduction approaches, as well as sampling based on posterior classification complexity. We also make connections between our continuous-input formulation and the discrete framework of pure regret in multi-armed bandits. To model the response surfaces we utilize kriging surrogates. Several numerical examples using both synthetic data and an epidemics control problem are provided to illustrate our approach and the efficacy of respective adaptive designs.Comment: 26 pages, 7 figures (updated several sections and figures

Asymptotic Optimal Portfolio in Fast Mean-reverting Stochastic Environments

This paper studies the portfolio optimization problem when the investor's utility is general and the return and volatility of the risky asset are fast mean-reverting, which are important to capture the fast-time scale in the modeling of stock price volatility. Motivated by the heuristic derivation in [J.-P. Fouque, R. Sircar and T. Zariphopoulou, \emph{Mathematical Finance}, 2016], we propose a zeroth order strategy, and show its asymptotic optimality within a specific (smaller) family of admissible strategies under proper assumptions. This optimality result is achieved by establishing a first order approximation of the problem value associated to this proposed strategy using singular perturbation method, and estimating the risk-tolerance functions. The results are natural extensions of our previous work on portfolio optimization in a slowly varying stochastic environment [J.-P. Fouque and R. Hu, \emph{SIAM Journal on Control and Optimization}, 2017], and together they form a whole picture of analyzing portfolio optimization in both fast and slow environments