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In this paper, we propose a predictor-corrector type Consensus Based Optimization (CBO) algorithm on a convex feasible set. Our proposed algorithm generalizes the CBO algorithm in [11] to tackle a constrained optimization problem for the…

Optimization and Control · Mathematics 2021-10-14 Hyeong-Ohk Bae , Seung-Yeal Ha , Myeongju Kang , Hyuncheul Lim , Chanho Min , Jane Yoo

We study problems arising in real-time auction markets, common in e-commerce and computational advertising, where bidders face the problem of calculating optimal bids. We focus upon a contract management problem where a demand aggregator is…

Computational Engineering, Finance, and Science · Computer Science 2022-06-28 Ryan J. Kinnear , Ravi R. Mazumdar , Peter Marbach

This research addresses the increasing demand for advanced navigation systems capable of operating within confined surroundings. A significant challenge in this field is developing an efficient planning framework that can generalize across…

Robotics · Computer Science 2024-07-09 Jiayu Fan , Nikolce Murgovski , Jun Liang

In this paper, we consider the problem of equal risk pricing and hedging in which the fair price of an option is the price that exposes both sides of the contract to the same level of risk. Focusing for the first time on the context where…

Optimization and Control · Mathematics 2020-09-17 Saeed Marzban , Erick Delage , Jonathan Yumeng Li

We propose a new framework that unifies different fairness measures into a general, parameterized class of convex fairness measures suitable for optimization contexts. First, we propose a new class of order-based fairness measures, discuss…

Optimization and Control · Mathematics 2025-01-30 Man Yiu Tsang , Karmel S. Shehadeh

We present a method for obtaining approximate solutions to the problem of optimal execution, based on a signature method. The framework is general, only requiring that the price process is a geometric rough path and the price impact…

Computational Finance · Quantitative Finance 2019-05-03 Jasdeep Kalsi , Terry Lyons , Imanol Perez Arribas

Options on baskets (linear combinations) of assets are notoriously challenging to price using even the simplest log-normal continuous-time stochastic models for the individual assets. The paper [5] gives a closed form approximation formula…

Pricing of Securities · Quantitative Finance 2023-02-20 Dongdong Hu , Hasanjan Sayit , Frederi Viens

We introduce a new class of neural networks designed to be convex functions of their inputs, leveraging the principle that any convex function can be represented as the supremum of the affine functions it dominates. These neural networks,…

Machine Learning · Statistics 2024-11-21 Vincent Lemaire , Gilles Pagès , Christian Yeo

We envision a marketplace where diverse entities offer specialized "modules" through APIs, allowing users to compose the outputs of these modules for complex tasks within a given budget. This paper studies the market design problem in such…

Computer Science and Game Theory · Computer Science 2025-02-28 Kshipra Bhawalkar , Jeff Dean , Christopher Liaw , Aranyak Mehta , Neel Patel

In this paper, a new optimization framework is defined that includes the optimization framework recently proposed in [1]-[2] as a special case. The convex optimization in [1]-[2] includes centralized optimization and distributed…

Systems and Control · Electrical Eng. & Systems 2019-11-26 S. Sh. Alaviani

Designing automated market makers (AMMs) for prediction markets on combinatorial securities over large outcome spaces poses significant computational challenges. Prior research has primarily focused on combinatorial prediction markets…

Computer Science and Game Theory · Computer Science 2024-11-15 Prommy Sultana Hossain , Xintong Wang , Fang-Yi Yu

Prediction+optimization is a common real-world paradigm where we have to predict problem parameters before solving the optimization problem. However, the criteria by which the prediction model is trained are often inconsistent with the goal…

Machine Learning · Computer Science 2021-11-23 Kai Yan , Jie Yan , Chuan Luo , Liting Chen , Qingwei Lin , Dongmei Zhang

This work focuses on the mathematical study of constant function market makers. We rigorously establish the conditions for optimal trading under the assumption of a quasilinear, but not necessarily convex (or concave), trade function. This…

Optimization and Control · Mathematics 2024-05-14 C. Escudero , F. Lara , M. Sama

With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the agent minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time,…

Mathematical Finance · Quantitative Finance 2017-09-29 Erhan Bayraktar , Gu Wang

We introduce a general framework for continuous-time betting markets, in which a bookmaker can dynamically control the prices of bets on outcomes of random events. In turn, the prices set by the bookmaker affect the rate or intensity of…

Mathematical Finance · Quantitative Finance 2021-03-09 Matthew Lorig , Zhou Zhou , Bin Zou

This article proposes a new discrete framework for approximating solutions to shape optimization problems under convexity constraints. The numerical method, based on the support function or the gauge function, is guaranteed to generate…

Optimization and Control · Mathematics 2022-03-15 Beniamin Bogosel

Inverse Optimal Control (IOC) aims to infer the underlying cost functional of an agent from observations of its expert behavior. This paper focuses on the IOC problem within the continuous-time linear quadratic regulator framework,…

Optimization and Control · Mathematics 2025-07-29 Meiling Yu , Lechen Feng , Lei Jiang , Yuan-Hua Ni

In this paper we propose a framework for solving constrained online convex optimization problem. Our motivation stems from the observation that most algorithms proposed for online convex optimization require a projection onto the convex set…

Machine Learning · Computer Science 2012-10-01 Mehrdad Mahdavi , Rong Jin , Tianbao Yang

Buying and selling of data online has increased substantially over the last few years. Several frameworks have already been proposed that study query pricing in theory and practice. The key guiding principle in these works is the notion of…

Databases · Computer Science 2019-09-10 Shuchi Chawla , Shaleen Deep , Paraschos Koutris , Yifeng Teng

We consider the problem of optimal hedging in an incomplete market with an established pricing kernel. In such a market, prices are uniquely determined, but perfect hedges are usually not available. We work in the rather general setting of…

Mathematical Finance · Quantitative Finance 2020-09-02 George Bouzianis , Lane P. Hughston