Related papers: Optimal Resource Allocation over Networks via Lott…
Online optimization problems arise in many resource allocation tasks, where the future demands for each resource and the associated utility functions change over time and are not known apriori, yet resources need to be allocated at every…
When allocating indivisible objects via lottery, planners often use ordinal mechanisms, which elicit agents' rankings of objects rather than their full preferences over lotteries. In such an ordinal informational environment, planners…
We study online capacitated resource allocation, a natural generalization of online stochastic max-weight bipartite matching. This problem is motivated by ride-sharing and Internet advertising applications, where online arrivals may have…
In the present paper, the primal-dual problem consisting of the investment risk minimization problem and the expected return maximization problem in the mean-variance model is discussed using replica analysis. As a natural extension of the…
We examine the problem of optimal portfolio allocation within the framework of utility theory. We apply exponential utility to derive the optimal diversification strategy and logarithmic utility to determine the optimal leverage. We enhance…
Game theory has emerged as a fruitful paradigm for the design of networked multiagent systems. A fundamental component of this approach is the design of agents' utility functions so that their self-interested maximization results in a…
In this paper, we study an optimal online resource reservation problem in a simple communication network. The network is composed of two compute nodes linked by a local communication link. The system operates in discrete time; at each time…
This paper extends the optimal-trading framework developed in arXiv:2409.03586v1 to compute optimal strategies with real-world constraints. The aim of the current paper, as with the previous, is to study trading in the context of…
Many countries around the world, including Korea, use the school choice lottery system. However, this method has a problem in that many students are assigned to less-preferred schools based on the lottery results. In addition, the task of…
We study the basic allocation problem of assigning resources to players so as to maximize fairness. This is one of the few natural problems that enjoys the intriguing status of having a better estimation algorithm than approximation…
We propose a data-driven Neural Network (NN) optimization framework to determine the optimal multi-period dynamic asset allocation strategy for outperforming a general stochastic target. We formulate the problem as an optimal stochastic…
In this paper, we consider $n$ agents who invest in a general financial market that is free of arbitrage and complete. The aim of each investor is to maximize her expected utility while ensuring, with a specified probability, that her…
An important but understudied question in economics is how people choose when facing uncertainty in the timing of events. Here we study preferences over time lotteries, in which the payment amount is certain but the payment time is…
This thesis investigates the use of problem-specific knowledge to enhance a genetic algorithm approach to multiple-choice optimisation problems.It shows that such information can significantly enhance performance, but that the choice of…
The aim of this short note is to establish a limit theorem for the optimal trading strategies in the setup of the utility maximization problem with proportional transaction costs. This limit theorem resolves the open question from [4]. The…
The Assignment problem is a fundamental and well-studied problem in the intersection of Social Choice, Computational Economics and Discrete Allocation. In the Assignment problem, a group of agents expresses preferences over a set of items,…
In this paper, a stochastic approximation (SA) based distributed algorithm is proposed to solve the resource allocation (RA) with uncertainties. In this problem, a group of agents cooperatively optimize a separable optimization problem with…
Renewable resources are starting to constitute a growing portion of the total generation mix of the power system. A key difference between renewables and traditional generators is that many renewable resources are managed by individuals,…
Applications such as employees sharing office spaces over a workweek can be modeled as problems where agents are matched to resources over multiple rounds. Agents' requirements limit the set of compatible resources and the rounds in which…
We study an abstract optimal auction problem for a single good or service. This problem includes environments where agents have budgets, risk preferences, or multi-dimensional preferences over several possible configurations of the good…