Related papers: The Transfer Pricing Problem with Non-Linearities
We study the network pricing problem where the leader maximizes their revenue by determining the optimal amounts of tolls to charge on a set of arcs, under the assumption that the followers will react rationally and choose the shortest…
We study principal-agent problems in which a principal commits to an outcome-dependent payment scheme (a.k.a. contract) so as to induce an agent to take a costly, unobservable action. We relax the assumption that the principal perfectly…
Transfer learning has recently shown significant performance across various tasks involving deep neural networks. In these transfer learning scenarios, the prior distribution for downstream data becomes crucial in Bayesian model averaging…
We study a simple exchange model in which price is fixed and the amount of a good transferred between actors depends only on the actors' respective budgets and the existence of a link between transacting actors. The model induces a…
We study American swaptions in the linear-rational (LR) term structure model introduced in [5]. The American swaption pricing problem boils down to an optimal stopping problem that is analytically tractable. It reduces to a free-boundary…
This paper presented insights into the implementation of transactive multi-agent systems over flow networks where local resources are decentralized. Agents have local resource demand and supply, and are interconnected through a flow network…
A central push in operations models over the last decade has been the incorporation of models of customer choice. Real world implementations of many of these models face the formidable stumbling block of simply identifying the `right' model…
A generalization of the coordinated transaction scheduling (CTS)---the state-of-the-art interchange scheduling---is proposed. Referred to as generalized coordinated transaction scheduling (GCTS), the proposed approach addresses major seams…
In recent years, there has been an increasing demand for ubiquitous streaming like applications in data networks. In this paper, we concentrate on NUM-based rate allocation for streaming applications with the so-called S-curve utility…
In this paper, we present a polynomial-sized linear programming formulation of the Traveling Salesman Problem (TSP). The proposed linear program is a network flow-based model. Numerical implementation issues and results are discussed. (The…
In many real-world routing problems, decision makers must optimise over sparse graphs such as transportation networks with non-metric costs on the edges that do not obey the triangle inequality. Motivated by finding a sufficiently long…
We propose a computationally tractable method for the identification of stable canonical discrete-time rational transfer function models, using frequency domain data. The problem is formulated as a global non-convex optimization problem…
Reverse pricing has been recognized as an effective tool to handle demand uncertainty in the travel industry (e.g., airlines and hotels). To investigate its viability for communication networks, we study the practical limitations of…
We study a pricing problem where a seller has $k$ identical copies of a product, buyers arrive sequentially, and the seller prices the items aiming to maximize social welfare. When $k=1$, this is the so called "prophet inequality" problem…
Currency arbitrage leverages price discrepancies in currency exchange rates across different currency pairs to gain risk-free profits. It involves multiple trading, where short-lived price discrepancies require real-time, high-speed…
Irregularly sampled time series analysis is a common problem in various disciplines. Since conventional methods are not directly applicable to irregularly sampled time series, a common interpolation approach is used; however, this causes…
Transfer learning aims to improve performance on a target task by leveraging information from related source tasks. We propose a nonparametric regression transfer learning framework that explicitly models heterogeneity in the source-target…
The revenue maximization problem of service provider is considered and different pricing schemes to solve the above problem are implemented. The service provider can choose an apt pricing scheme subjected to limited resources, if he knows…
The question of pricing and hedging a given contingent claim has a unique solution in a complete market framework. When some incompleteness is introduced, the problem becomes however more difficult. Several approaches have been adopted in…
The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike. Recently, universal and highly nonlinear master curves were observed for price impacts aggregated on all…