Related papers: Contract Design with Costly Convex Self-Control
Mean field optimal control problems are a class of optimization problems that arise from optimal control when applied to the many body setting. In the noisy case one has a set of controllable stochastic processes and a cost function that is…
Motivated by applications in clinical trials and finance, we study the problem of online convex optimization (with bandit feedback) where the decision maker is risk-averse. We provide two algorithms to solve this problem. The first one is a…
This paper is dedicated to the analysis of infinite horizon optimal control problems subject to semilinear parabolic equations with constraints on the controls and discounted cost functionals. The discount factors on the cost and the state…
In this short note, we address the discretization of optimal control problems with higher order polynomials. We develop a necessary and sufficient condition to ensure that weak limits of discrete feasible controls are feasible for the…
We address the discretization of optimization problems posed on the cone of convex functions, motivated in particular by the principal agent problem in economics, which models the impact of monopoly on product quality. Consider a two…
We investigate expected utility maximization problems from the terminal liquidation value in continuous time in markets with transaction costs and one fixed consistent price system, where a non-concave utility function is defined on the…
We consider the problem of assigning items to platforms where each item has a utility associated with each of the platforms to which it can be assigned. Each platform has a soft constraint over the total number of items it serves, modeled…
When selling information products, the seller can provide some free partial information to change people's valuations so that the overall revenue can possibly be increased. We study the general problem of advertising information products by…
This paper studies an online selection problem, where a seller seeks to sequentially sell multiple copies of an item to arriving buyers. We consider an adversarial setting, making no modeling assumptions about buyers' valuations for the…
Fairness-aware recommender systems that have a provider-side fairness concern seek to ensure that protected group(s) of providers have a fair opportunity to promote their items or products. There is a ``cost of fairness'' borne by the…
Automated market makers with concentrated liquidity capabilities are programmable at the tick level. The maximization of earned fees, plus depreciated reserves, is a convex optimization problem whose vector solution gives the best provision…
As a firm varies the price of a product, consumers exhibit reference effects, making purchase decisions based not only on the prevailing price but also the product's price history. We consider the problem of learning such behavioral…
We consider a dynamic pricing problem in network revenue management where customer behavior is predicted by a choice model, i.e., the multinomial logit (MNL) model. The problem, even in the static setting (i.e., customer demand remains…
Price discrimination for maximizing expected profit is a well-studied concept in economics and there are various methods that achieve the maximum given the user type distribution and the budget constraints. In many applications,…
Optimal shelflisting invites profit maximization to become sensitive to the ways in which purchasing decisions are order-dependent. We study the computational complexity of the corresponding product arrangement problem when consumers are…
As smart meters continue to be deployed around the world collecting unprecedented levels of fine-grained data about consumers, we need to find mechanisms that are fair to both, (1) the electric utility who needs the data to improve their…
Electricity market operators worldwide use mixed-integer linear programming to solve the allocation problem in wholesale electricity markets. Prices are typically determined based on the duals of relaxed versions of this optimization…
The consensus control with optimal cost remains major challenging although consensus control problems have been well studied in recent years. In this paper, we study the consensus control of multi-agent system associated with a given cost…
The problem of designing a profit-maximizing, Bayesian incentive compatible and individually rational mechanism with flexible consumers and costly heterogeneous supply is considered. In our setup, each consumer is associated with a…
In many markets, like electricity or cloud computing markets, providers incur large costs for keeping sufficient capacity in reserve to accommodate demand fluctuations of a mostly fixed user base. These costs are significantly affected by…