Related papers: Mathematical Constraints on Financially Viable Pub…
An input-output approach to stability analysis is explored for networked systems with uncertain link dynamics. The main result consists of a collection of integral quadratic constraints, which together imply robust stability of the…
This paper revisits and extends the convergence and robustness properties of value and policy iteration algorithms for discrete-time linear quadratic regulator problems. In the model-based case, we extend current results concerning the…
We consider the problem of sequential sampling from a finite number of independent statistical populations to maximize the expected infinite horizon average outcome per period, under a constraint that the expected average sampling cost does…
This paper expands the notion of robust profit opportunities in financial markets to incorporate distributional uncertainty using Wasserstein distance as the ambiguity measure. Financial markets with risky and risk-free assets are…
We forecast the full conditional distribution of macroeconomic outcomes by systematically integrating three key principles: using high-dimensional data with appropriate regularization, adopting rigorous out-of-sample validation procedures,…
Consequential decision-making typically incentivizes individuals to behave strategically, tailoring their behavior to the specifics of the decision rule. A long line of work has therefore sought to counteract strategic behavior by designing…
This paper revisits the classic instrument choice problem in a setting with consumption externalities, through the lens of robust mechanism design. A regulator can implement any incentive-compatible policy but is uncertain about how…
The workflow satisfiability problem is concerned with determining whether it is possible to find an allocation of authorized users to the steps in a workflow in such a way that all constraints are satisfied. The problem is NP-hard in…
This paper develops a new model of business cycles. The model is economical in that it is solved with an aggregate demand-aggregate supply diagram, and the effects of shocks and policies are obtained by comparative statics. The model builds…
This paper proposes normative criteria for voting rules under uncertainty about individual preferences. The criteria emphasize the importance of responsiveness, i.e., the probability that the social outcome coincides with the realized…
Robustness of linear systems with constant coefficients is considered. There exist methods and tools for analyzing the stability of systems with random or deterministic uncertainties. At the same time, there are no approaches for the…
An important -- but very demanding -- property in collective decision-making is strategyproofness, which requires that voters cannot benefit from submitting insincere preferences. Gibbard (1977) has shown that only rather unattractive rules…
Public goods are often either over-consumed in the absence of regulatory mechanisms, or remain completely unused, as in the Covid-19 pandemic, where social distance constraints are enforced to limit the number of people who can share public…
Do governments adjust budgetary policy to rising public debt, precluding fiscal unsustainability? Using budget data for 52 industrial and emerging economies since 1990, we apply panel methods accounting for cross-sectional dependence and…
Birth rates have dramatically decreased and, with continuous improvements in life expectancy, pension expenditure is on an irreversibly increasing path. This will raise serious concerns for the sustainability of the public pension systems…
In this paper a class of optimization problems with uncertain linear constraints is discussed. It is assumed that the constraint coefficients are random vectors whose probability distributions are only partially known. Possibility theory is…
Models for bankruptcy prediction are useful in several real-world scenarios, and multiple research contributions have been devoted to the task, based on structured (numerical) as well as unstructured (textual) data. However, the lack of a…
Prior to the financial crisis mortgage securitization models increased in sophistication as did products built to insure against losses. Layers of complexity formed upon a foundation that could not support it and as the foundation crumbled…
Optimization under uncertainty and risk is indispensable in many practical situations. Our paper addresses stability of optimization problems using composite risk functionals which are subjected to measure perturbations. Our main focus is…
A government has to finance a risk for its population. It shares the charges among the population with a fixed scale based on economic criteria. Various organisms have to collect and to redistribute fairly the subsidies. Under these…