Related papers: Replicating Market Makers
Any maximal monotone operator can be characterized by a convex function. The family of such convex functions is invariant under a transformation connected with the Fenchel-Legendre conjugation. We prove that there exist a convex…
Matching markets are of particular interest in computer science and economics literature as they are often used to model real-world phenomena where we aim to equitably distribute a limited amount of resources to multiple agents and…
Approximations of functions with finite data often do not respect certain "structural" properties of the functions. For example, if a given function is non-negative, a polynomial approximation of the function is not necessarily also…
We present an extension to a certified financial contract management system that allows for templated declarative financial contracts and for integration with financial stochastic models through verified compilation into so-called…
In this paper, using a family of representations of nonexpansive mappings, we introduce an algorithm in a product space $E^{I}$ consisting of all functions from a nonempty set $I$ to a Banach space $E$. Then we prove the product topology…
In this paper, we introduce new properties of the relative interior calculus for nearly convex sets, functions, and set-valued mappings. These properties are important for the development of duality theory in optimization. Then we…
In this paper we give a simple proof of inequalities of integrals of functions which are the composition of nonnegative continous convex functions on a vector space ${\bf R}^m$ and vector-valued functions in a weakly compact subset of a…
We show that many important convex matrix functions can be represented as the partial infimal projection of the generalized matrix fractional (GMF) and a relatively simple convex function. This representation provides conditions under which…
This paper concerns the recursive utility maximization problem. We assume that the coefficients of the wealth equation and the recursive utility are concave. Then some interesting and important cases with nonlinear and nonsmooth…
In this paper, we propose a predictor-corrector type Consensus Based Optimization (CBO) algorithm on a convex feasible set. Our proposed algorithm generalizes the CBO algorithm in [11] to tackle a constrained optimization problem for the…
We propose a high-order FDTD scheme based on the correction function method (CFM) to treat interfaces with complex geometry without increasing the complexity of the numerical approach for constant coefficients. Correction functions are…
It has been well established that first order optimization methods can converge to the maximal objective value of concave functions and provide constant factor approximation guarantees for (non-convex/non-concave) continuous submodular…
In the Decentralized Finance (DeFi) setting, we present a new parametrized family of Constant Function Market Makers (CFMMs) which we call the Generalized Mean Market Makers (G3Ms), based on the generalized means. The G3Ms are intermediate…
The Functional Machine Calculus (FMC, Heijltjes 2022) extends the lambda-calculus with the computational effects of global mutable store, input/output, and probabilistic choice while maintaining confluent reduction and simply-typed strong…
In high-stake domains such as healthcare and hiring, the role of machine learning (ML) in decision-making raises significant fairness concerns. This work focuses on Counterfactual Fairness (CF), which posits that an ML model's outcome on…
We develop an axiomatic theory for Automated Market Makers (AMMs) in local energy sharing markets and analyze the Markov Perfect Equilibrium of the resulting economy with a Mean-Field Game. In this game, heterogeneous prosumers solve a…
Kummer's function, also known as the confluent hypergeometric function (CHF), is an important mathematical function, in particular due to its many special cases, which include the Bessel function, the incomplete Gamma function and the error…
This paper considers a class of structured fractional minimization problems. The numerator consists of a differentiable function, a simple nonconvex nonsmooth function, a concave nonsmooth function, and a convex nonsmooth function composed…
A new directional derivative and a new subdifferential for set-valued convex functions are constructed, and a set-valued version of the so-called 'max-formula' is proven. The new concepts are used to characterize solutions of convex…
We examine volume computation of general-dimensional polytopes and more general convex bodies, defined as the intersection of a simplex by a family of parallel hyperplanes, and another family of parallel hyperplanes or a family of…