Related papers: On Clearing Prices in Matching Markets: A Simple C…
We consider the problem of controlling a Markov decision process (MDP) with a large state space, so as to minimize average cost. Since it is intractable to compete with the optimal policy for large scale problems, we pursue the more modest…
In the envy-free perfect matching problem, $n$ items with unit supply are available to be sold to $n$ buyers with unit demand. The objective is to find allocation and prices such that both seller's revenue and buyers' surpluses are…
The relationship between demand and prices of a set of products can be modeled as a linear mapping from logarithmic price changes to logarithmic changes in demand. We consider the problem of estimating the coefficient matrix of this…
We study multi-type housing markets, where there are $p\ge 2$ types of items, each agent is initially endowed one item of each type, and the goal is to design mechanisms without monetary transfer to (re)allocate items to the agents based on…
The problem of determining the European-style option price in the incomplete market has been examined within the framework of stochastic optimization. An analytic method based on the discrete dynamic programming equation (Bellman equation)…
We analyze competition on nonlinear prices in homogeneous goods markets with consumer search. In equilibrium firms offer two-part tariffs consisting of a linear price and lump-sum fee. The equilibrium production is socially efficient as the…
Bidders in day-ahead electricity markets want to sell/buy electricity when their bids generate positive surplus and not to take an action when the reverse holds. However, non-convexities in these markets cause conflicts between the actions…
We study the problem of online learning in competitive settings in the context of two-sided matching markets. In particular, one side of the market, the agents, must learn about their preferences over the other side, the firms, through…
We establish a super-replication duality in a continuous-time financial model where an investor's trades adversely affect bid- and ask-prices for a risky asset and where market resilience drives the resulting spread back towards zero at an…
Bilevel programs are optimization problems where some variables are solutions to optimization problems themselves, and they arise in a variety of control applications, including: control of vehicle traffic networks, inverse reinforcement…
This paper studies parameterized stochastic optimization problems in finite discrete time that arise in many applications in operations research and mathematical finance. We prove the existence of solutions and the absence of a duality gap…
Training deep neural networks is a challenging non-convex optimization problem. Recent work has proven that the strong duality holds (which means zero duality gap) for regularized finite-width two-layer ReLU networks and consequently…
Matching problems have been widely studied in the research community, especially Ad-Auctions with many applications ranging from network design to advertising. Following the various advancements in machine learning, one natural question is…
This paper studies the continuous time utility maximization problem on consumption with addictive habit formation in incomplete semimartingale markets. Introducing the set of auxiliary state processes and the modified dual space, we embed…
The rise of the machine learning (ML) model economy has intertwined markets for training datasets and pre-trained models. However, most pricing approaches still separate data and model transactions or rely on broker-centric pipelines that…
A fundamental economic question is that of designing revenue-maximizing mechanisms in dynamic environments. This paper considers a simple yet compelling market model to tackle this question, where forward-looking buyers arrive at the market…
This paper studies dynamic stochastic optimization problems parametrized by a random variable. Such problems arise in many applications in operations research and mathematical finance. We give sufficient conditions for the existence of…
Matching platforms, from ridesharing to food delivery to competitive gaming, face a fundamental operational dilemma: match agents immediately to minimize waiting costs, or delay to exploit the efficiency gains of thicker markets. Yet…
In continuous-choice settings, consumers decide not only on whether to purchase a product, but also on how much to purchase. Thus, firms optimize a full price schedule rather than a single price point. This paper provides a methodology to…
In this paper we study the problem of maximizing expected utility from the terminal wealth with proportional transaction costs and random endowment. In the context of the existence of consistent price systems, we consider the duality…