Non-Parametric Stochastic Sequential Assignment With Random Arrival Times
Dervovic, Danial, Hassanzadeh, Parisa, Assefa, Samuel, Reddy, Prashant
We consider a problem wherein jobs arrive at random times and assume random values. Upon each job arrival, the decision-maker must decide immediately whether or not to accept the job and gain the value on offer as a reward, with the constraint that they may only accept at most $n$ jobs over some reference time period. The decision-maker only has access to $M$ independent realisations of the job arrival process. We propose an algorithm, Non-Parametric Sequential Allocation (NPSA), for solving this problem. Moreover, we prove that the expected reward returned by the NPSA algorithm converges in probability to optimality as $M$ grows large. We demonstrate the effectiveness of the algorithm empirically on synthetic data and on public fraud-detection datasets, from where the motivation for this work is derived.
Jun-9-2021
- Country:
- Asia > Japan (0.04)
- North America > United States
- Illinois (0.04)
- New York > New York County
- New York City (0.04)
- Europe > United Kingdom
- England > Cambridgeshire > Cambridge (0.04)
- Genre:
- Research Report (0.50)
- Industry:
- Banking & Finance (0.93)
- Law Enforcement & Public Safety > Fraud (0.49)
- Consumer Products & Services > Travel (0.40)
- Technology: