Related papers: Application of Market Models to Network Equilibriu…
This paper introduces a novel robust trading paradigm, called \textit{multi-double linear policies}, situated within a \textit{generalized} lattice market. Distinctively, our framework departs from most existing robust trading strategies,…
For multi-beam high throughput (MB-HTS) geostationary (GEO) satellite networks, the congestion appears when user's demands cannot be fully satisfied. This paper boosts the system performance by formulating and solving the power allocation…
We explore stability and fairness considerations in decentralized networked markets with bilateral contracts, building on the trading networks framework [Hatfield et al., 2013]. In our trading network game, we show that a well-defined…
In statistical physics any given system can be either at an equilibrium or away from it. Networks are not an exception. Most network models can be classified as either equilibrium or growing. Here we show that under certain conditions there…
We consider a one-sided assignment market or exchange network with transferable utility and propose a model for the dynamics of bargaining in such a market. Our dynamical model is local, involving iterative updates of 'offers' based on…
The effectiveness of utility-maximization techniques for portfolio management relies on our ability to estimate correctly the parameters of the dynamics of the underlying financial assets. In the setting of complete or incomplete financial…
This paper proposes a new one-sided matching market model in which every agent has a cost function that is allowed to take a negative value. Our model aims to capture the situation where some agents can profit by exchanging their obtained…
Many supervised machine learning methods are naturally cast as optimization problems. For prediction models which are linear in their parameters, this often leads to convex problems for which many mathematical guarantees exist. Models which…
We introduce a mathematical theory called market connectivity that gives concrete ways to both measure the efficiency of markets and find inefficiencies in large markets. The theory leads to new methods for testing the famous efficient…
We consider the worst-case load-shedding problem in electric power networks where a number of transmission lines are to be taken out of service. The objective is to identify a pre-specified number of line outage that leads to the maximum…
We first describe a general class of optimization problems that describe many natural, economic, and statistical phenomena. After noting the existence of a conserved quantity in a transformed coordinate system, we outline several instances…
This paper revisits the well-studied fixed point problem from a unified viewpoint of mathematical modeling and canonical duality theory, i.e. the original problem is first reformulated as a nonconvex optimization problem, its well-posedness…
In this work, we develop an equilibrium model for price formation of securities in a market composed of two populations of different types: the first one consists of cooperative agents, while the other one consists of non-cooperative…
Although both data availability and the demand for accurate forecasts are increasing, collaboration between stakeholders is often constrained by data ownership and competitive interests. In contrast to recent proposals within cooperative…
Matching markets are of particular interest in computer science and economics literature as they are often used to model real-world phenomena where we aim to equitably distribute a limited amount of resources to multiple agents and…
This paper presents a network-based multi-agent optimization model for the strategic planning of service facilities in a stochastic and competitive market. We focus on the type of service facilities that are of intermediate nature, i.e.,…
System performance for networks composed of interconnected subsystems can be increased if the traditionally separated subsystems are jointly optimized. Recently, parallel and distributed optimization methods have emerged as a powerful tool…
Network models are used as efficient representation of materials with complex, interconnected locally one-dimensional structures. They typically accurately capture the mechanical properties of a material, while substantially reducing…
Convergence (virtual) bidding is an important part of two-settlement electric power markets as it can effectively reduce discrepancies between the day-ahead and real-time markets. Consequently, there is extensive research into the bidding…
We mathematically analyze a simple market model where trading at each point in time involves only two agents with the sum of their money being conserved and with neither parties resulting with negative money after the interaction process.…