Related papers: Optimal policy design for the sugar tax
Synthesizing optimal controllers for dynamical systems often involves solving optimization problems with hard real-time constraints. These constraints determine the class of numerical methods that can be applied: computationally expensive…
We study how market segmentation affects consumers when a monopolist can adjust both prices and product qualities across segments, engaging in second- and third-degree price discrimination simultaneously. We characterize the…
We study market mechanisms for allocating divisible goods to competing agents with quasilinear utilities. For \emph{linear} pricing (i.e., the cost of a good is proportional to the quantity purchased), the First Welfare Theorem states that…
This paper develops a model of in-kind redistribution where consumers participate in either a private market or a government-designed program, but not both. We characterize when a social planner, seeking to maximize weighted total surplus,…
Consider a very large (infinite) population of items, where each item independent from the others is defective with probability p, or good with probability q=1-p. The goal is to identify N good items as quickly as possible. The following…
Nonlinear optimization-based control policies, such as those those arising in nonlinear Model Predictive Control, have seen remarkable success in recent years. These policies require solving computationally demanding nonlinear optimization…
We investigate optimal consumption policies in the liquidity risk model introduced in Pham and Tankov (2007). Our main result is to derive smoothness results for the value functions of the portfolio/consumption choice problem. As an…
The topics treated in this thesis are inherently two-fold. The first part considers the problem of a market maker optimally setting bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders…
Automated recommendations can nowadays be found on many e-commerce platforms, and such recommendations can create substantial value for consumers and providers. Often, however, not all recommendable items have the same profit margin, and…
Financial portfolio optimization is a widely studied problem in mathematics, statistics, financial and computational literature. It adheres to determining an optimal combination of weights associated with financial assets held in a…
Items from a database are often ranked based on a combination of multiple criteria. A user may have the flexibility to accept combinations that weigh these criteria differently, within limits. On the other hand, this choice of weights can…
This contribution deals with a two-level discrete decision problem, a so-called Stackelberg strategic game: A Subset Sum setting is addressed with a set $N$ of items with given integer weights. One distinguished player, the leader, may…
The note studies the problem of selecting a good enough subset out of a finite number of alternatives under a fixed simulation budget. Our work aims to maximize the posterior probability of correctly selecting a good subset. We formulate…
We consider the pricing problem faced by a seller who assigns a price to a good that confers its benefits not only to its buyers, but also to other individuals around them. For example, a snow-blower is potentially useful not only to the…
This paper focuses on managing the cost of deliberation before action. In many problems, the overall quality of the solution reflects costs incurred and resources consumed in deliberation as well as the cost and benefit of execution, when…
This paper develops numerical methods for finding optimal dividend pay-out and reinsurance policies. A generalized singular control formulation of surplus and discounted payoff function are introduced, where the surplus is modeled by a…
In this paper the problem of optimal derivative design, profit maximization and risk minimization under adverse selection when multiple agencies compete for the business of a continuum of heterogenous agents is studied. The presence of ties…
To regulate a social system comprised of self-interested agents, economic incentives are often required to induce a desirable outcome. This incentive design problem naturally possesses a bilevel structure, in which a designer modifies the…
This paper studies a monopolist selling multiple goods to a consumer with one-dimensional private types. I provide a sufficient condition under which the monopolist's problem is equivalent to finding the upper envelope of the marginal…
This paper addresses the problem of fair equilibrium selection in graphical games. Our approach is based on the data structure called the {\em best response policy}, which was proposed by Kearns et al. \cite{kls} as a way to represent all…