Related papers: Conditional Analysis and a Principal-Agent problem
This paper considers the problem of designing a dynamical system to solve constrained optimization problems in a distributed way and in an anytime fashion (i.e., such that the feasible set is forward invariant). For problems with separable…
The recent work by Cvitani\'c, Possama\"i, and Touzi (2018) [9] presents a general approach for continuous-time principal-agent problems, through dynamic programming and second-order backward stochastic differential equations (BSDEs). In…
Differential equations (DE) constrained optimization plays a critical role in numerous scientific and engineering fields, including energy systems, aerospace engineering, ecology, and finance, where optimal configurations or control…
We provide a unifying framework for distributed convex optimization over time-varying networks, in the presence of constraints and uncertainty, features that are typically treated separately in the literature. We adopt a proximal…
This paper investigates causal optimal transportation problems, in the framework of two Polish spaces, both endowed with filtrations. Specific concretizations yield primal problems equivalent to several classical problems of stochastic…
In this article we study control problems with systems that are governed by ordinary differential equations whose vector fields depend linearly in the time derivatives of some components of the control. The remaining components are…
We study an exit contract design problem, where one provides a universal exit contract to multiple heterogeneous agents, with which each agent chooses an optimal (exit) stopping time. The problem consists in optimizing the universal exit…
A new method of deriving comparative statics information using generalized compensated derivatives is presented which yields constraint-free semidefiniteness results for any differentiable, constrained optimization problem. More generally,…
We consider a general framework of optimal mechanism design under adverse selection and ambiguity about the type distribution of agents. We prove the existence of optimal mechanisms under minimal assumptions on the contract space and prove…
In recent times, various distributed optimization algorithms have been proposed for whose specific agent dynamics global optimality and convergence is proven. However, there exist no general conditions for the design of such algorithms. In…
For a nonlinear ordinary differential equation with time delay, the differentiation of the solution with respect to the delay is investigated. Special emphasis is laid on the second-order derivative. The results are applied to an associated…
Partial differential equation (PDE)-constrained optimization arises in many scientific and engineering domains, such as energy systems, fluid dynamics and material design. In these problems, the decision variables (e.g., control inputs or…
In this paper, we construct a solution to the optimal contract problem for delegated portfolio management of the fist-best (risk-sharing) type. The novelty of our result is (i) in the robustness of the optimal contract with respect to…
An important problem of optimization analysis surges when parameters such as $ \{\theta_j\}_{j=1,\, \dots \,,k }$, determining a function $ y=f(x\given\{\theta_j\}) $, must be estimated from a set of observables $ \{ x_i,y_i\}_{i=1,\, \dots…
We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…
In this paper we consider a method of solving optimal stopping problems in discrete and continuous time based on their dual representation. A novel and generic simulation-based optimization algorithm not involving nested simulations is…
Extended formulations are an important tool in polyhedral combinatorics. Many combinatorial optimization problems require an exponential number of inequalities when modeled as a linear program in the natural space of variables. However, by…
Models of economic decision makers often include idealized assumptions, such as rationality, perfect foresight, and access to all relevant pieces of information. These assumptions often assure the models' internal validity, but, at the same…
We treat a discrete-time asset allocation problem in an arbitrage-free, generically incomplete financial market, where the investor has a possibly non-concave utility function and wealth is restricted to remain non-negative. Under easily…
A large fraction of total healthcare expenditure occurs due to end-of-life (EOL) care, which means it is important to study the problem of more carefully incentivizing necessary versus unnecessary EOL care because this has the potential to…