Optimal dynamic resource allocation to prevent defaults

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• 作者：U. Ayesta^a ; ^b ; ^c ; M. Erausquin^c ; E. Ferreira^c ; ^{eva.ferreira@ehu.es" class="auth_mail" title="E-mail the corresponding author} ; P. Jacko^d
• 关键词：Markov Decision Processes ; Multi-Armed Bandit problem ; Default risk management ; Dynamic resource allocation policies
• 刊名：Operations Research Letters
• 出版年：2016
• 出版时间：July 2016
• 年：2016
• 卷：44
• 期：4
• 页码：451-456
• 全文大小：438 K

文摘

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.