Related papers: On Clearing Prices in Matching Markets: A Simple C…
Matching algorithms have demonstrated great success in several practical applications, but they often require centralized coordination and plentiful information. In many modern online marketplaces, agents must independently seek out and…
We consider a discrete time financial market with proportional transaction costs under model uncertainty, and study a num\'eraire-based semi-static utility maximization problem with an exponential utility preference. The randomization…
For many common height functions, it is notoriously hard to compute the essential minimum. Nevertheless there are two classical methods, one giving lower bounds and the other giving upper bounds. In this paper, we show that the two methods…
In this article we develop a duality principle suitable for a large class of problems in optimization. The main result is obtained through basic tools of convex analysis and duality theory. We establish a correct relation between the…
We consider a multiproduct monopoly pricing model. We provide sufficient conditions under which the optimal mechanism can be implemented via upgrade pricing -- a menu of product bundles that are nested in the strong set order. Our approach…
The prevalence and importance of algorithmic two-sided marketplaces has drawn attention to the issue of fairness in such settings. Algorithmic decisions are used in assigning students to schools, users to advertisers, and applicants to job…
Most inverse optimization models impute unspecified parameters of an objective function to make an observed solution optimal for a given optimization problem with a fixed feasible set. We propose two approaches to impute unspecified…
The domain of online algorithms with predictions has been extensively studied for different applications such as scheduling, caching (paging), clustering, ski rental, etc. Recently, Bamas et al., aiming for an unified method, have provided…
We consider the differentiation of the value function for parametric optimization problems. Such problems are ubiquitous in Machine Learning applications such as structured support vector machines, matrix factorization and min-min or…
This work studies the strong duality of non-convex matrix factorization problems: we show that under certain dual conditions, these problems and its dual have the same optimum. This has been well understood for convex optimization, but…
Bilevel programming is one of the very active areas of research with many real-life applications in economics and engineering. Bilevel problems are hierarchical problems consisting of lower-level and upper-level problems, respectively. The…
This paper develops algorithms to solve strong-substitutes product-mix auctions. That is, it finds competitive equilibrium prices and quantities for agents who use this auction's bidding language to truthfully express their…
Advances in computational optimization allow for the organization of large combinatorial markets. We aim for allocations and competitive equilibrium prices, i.e. outcomes that are in the core. The research is motivated by the design of…
We study a natural combinatorial pricing problem for sequentially arriving buyers with equal budgets. Each buyer is interested in exactly one pair of items and purchases this pair if and only if, upon arrival, both items are still available…
We study two-sided many-to-one matching markets with transferable utilities, e.g., labor and rental housing markets, in which money can exchange hands between agents, subject to distributional constraints on the set of feasible allocations.…
We study the problem of matching agents who arrive at a marketplace over time and leave after d time periods. Agents can only be matched while they are present in the marketplace. Each pair of agents can yield a different match value, and…
We consider the pricing problem of a seller with delayed price information. By using Lagrange duality, a dual problem is derived, and it is proved that there is no duality gap. This gives a characterization of the seller's price of a…
We consider a stochastic financial incomplete market where the price processes are described by a vector-valued semimartingale that is possibly nonlocally bounded. We face the classical problem of utility maximization from terminal wealth,…
We examine two-sided markets where players arrive stochastically over time and are drawn from a continuum of types. The cost of matching a client and provider varies, so a social planner is faced with two contending objectives: a) to reduce…
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…