Related papers: A Strongly Polynomial Algorithm for Linear Exchang…
It is a common belief that computing a market equilibrium in Fisher's spending model is easier than computing a market equilibrium in Arrow-Debreu's exchange model. This belief is built on the fact that we have more algorithmic success in…
We propose and compare new global solution algorithms for continuous time heterogeneous agent economies with aggregate shocks. First, we approximate the agent distribution so that equilibrium in the economy can be characterized by a high,…
Linear exact modeling is a problem coming from system identification: Given a set of observed trajectories, the goal is find a model (usually, a system of partial differential and/or difference equations) that explains the data as precisely…
In this article, we address a class of non convex, integer, non linear mathematical programs using dynamic programming. The mathematical program considered, whose properties are studied in this article, may be used to model the optimal…
Although production is an integral part of the Arrow-Debreu market model, most of the work in theoretical computer science has so far concentrated on markets without production, i.e., the exchange economy. This paper takes a significant…
This scientific research paper presents an innovative approach based on deep reinforcement learning (DRL) to solve the algorithmic trading problem of determining the optimal trading position at any point in time during a trading activity in…
We propose a neural network-based algorithm for solving forward and inverse problems for partial differential equations in unsupervised fashion. The solution is approximated by a deep neural network which is the minimizer of a cost…
We survey and unify recent results on the existence of accurate algorithms for evaluating multivariate polynomials, and more generally for accurate numerical linear algebra with structured matrices. By "accurate" we mean that the computed…
The supply function equilibrium (SFE) is a model for competition in markets where each firm offers a schedule of prices and quantities to face demand uncertainty, and has been successfully applied to wholesale electricity markets. However,…
A natural optimization model that formulates many online resource allocation and revenue management problems is the online linear program (LP) in which the constraint matrix is revealed column by column along with the corresponding…
Polynomial inequalities lie at the heart of many mathematical disciplines. In this paper, we consider the fundamental computational task of automatically searching for proofs of polynomial inequalities. We adopt the framework of…
This article explores the optimisation of trading strategies in Constant Function Market Makers (CFMMs) and centralised exchanges. We develop a model that accounts for the interaction between these two markets, estimating the conditional…
We give a new, flow-type convex program describing equilibrium solutions to linear Arrow-Debreu markets. Whereas convex formulations were previously known [Nenakov, Primak 83; Jain 07; Cornet '89], our program exhibits several new features.…
We consider the disjoint bilinear programming problem in which one of the disjoint subsets has the structure of an acute-angled polytope. An optimality criterion for such a problem is formulated and proved, and based on this, a polynomial…
An efficient, reliable, and interpretable global solution method, the Deep learning-based algorithm for Heterogeneous Agent Models (DeepHAM), is proposed for solving high dimensional heterogeneous agent models with aggregate shocks. The…
Densest Subgraph Problem (DSP) is an important primitive problem with a wide range of applications, including fraud detection, community detection and DNA motif discovery. Edge-based density is one of the most common metrics in DSP.…
In many realistic problems of allocating resources, economy efficiency must be taken into consideration together with social equality, and price rigidities are often made according to some economic and social needs. We study the…
We give the first polynomial-time algorithm for performing linear or polynomial regression resilient to adversarial corruptions in both examples and labels. Given a sufficiently large (polynomial-size) training set drawn i.i.d. from…
This article presents a strongly polynomial-time algorithm for the general linear programming problem. This algorithm is an implicit reduction procedure that works as follows. Primal and dual problems are combined into a special system of…
We provide a near-optimal, computationally efficient algorithm for the unit-demand pricing problem, where a seller wants to price n items to optimize revenue against a unit-demand buyer whose values for the items are independently drawn…