Related papers: Strategic Liquidity Provision in Uniswap v3
The max-min fair allocation problem seeks an allocation of resources to players that maximizes the minimum total value obtained by any player. Each player $p$ has a non-negative value $v_{pr}$ on resource $r$. In the restricted case, we…
We study a discrete portfolio pricing problem that selects one price per product from a finite menu under margin and fairness constraints. To account for demand uncertainty, we incorporate a budgeted robust formulation that controls…
Distributed training of $l_1$ regularized classifiers has received great attention recently. Most existing methods approach this problem by taking steps obtained from approximating the objective by a quadratic approximation that is…
Online allocation problems with resource constraints have a rich history in operations research. In this paper, we introduce the \emph{regularized online allocation problem}, a variant that includes a non-linear regularizer acting on the…
Layer-2 (L2) blockchains inherit Ethereums security guarantees while reducing gas fees. As a result, they are gaining traction among traders at Automated Market Makers (AMMs), sparking debate over whether they contribute to liquidity…
We develop a novel formulation of the Performance Estimation Problem (PEP) for decentralized optimization whose size is independent of the number of agents in the network. The PEP approach allows computing automatically the worst-case…
The rapid deployment of distributed energy resources (DERs) is one of the essential efforts to mitigate global climate change. However, a vast number of small-scale DERs are difficult to manage individually, motivating the introduction of…
We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By…
We address the liquidation problem arising from the credit risk management in decentralised finance (DeFi) by formulating it as an ergodic optimal control problem. In decentralised derivatives exchanges, liquidation is triggered whenever…
Distributed learning is commonly used for training deep learning models, especially large models. In distributed learning, manual parallelism (MP) methods demand considerable human effort and have limited flexibility. Hence, automatic…
This paper deals with a distributed Mixed-Integer Linear Programming (MILP) set-up arising in several control applications. Agents of a network aim to minimize the sum of local linear cost functions subject to both individual constraints…
As the adoption of distributed energy resources grows, power systems are becoming increasingly complex and vulnerable to disruptions, such as natural disasters and cyber-physical threats. Peer-to-peer (P2P) energy markets offer a practical…
With the advancement of large language models (LLMs), their context windows have rapidly expanded. To meet diverse demands from varying-length requests in online services, existing state-of-the-art systems tune the sequence parallelism (SP)…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
In this paper, a novel quadratic convex optimal power flow model, namely, MDOPF, is proposed to determine the optimal dispatches of distributed generators. Based on the results of MDOPF, two price mechanisms, distribution locational…
Staking has emerged as a crucial concept following Ethereum's transition to Proof-of-Stake consensus. The introduction of Liquid Staking Derivatives (LSDs) has effectively addressed the illiquidity issue associated with solo staking,…
We propose a model in which dividend payments occur at regular, deterministic intervals in an otherwise continuous model. This contrasts traditional models where either the payment of continuous dividends is controlled or the dynamics are…
We consider a large-scale parallel-server system, where each server independently adjusts its processing speed in a decentralized manner. The objective is to minimize the overall cost, which comprises the average cost of maintaining the…
Decentralized Exchanges (DEXs) are pivotal applications in the Decentralized Finance (DeFi) landscape, aiming to facilitate trustless cryptocurrency trading by relying on smart contracts and blockchain networks. The developments in the DEXs…
This paper concerns the mechanism design for online resource allocation in a strategic setting. In this setting, a single supplier allocates capacity-limited resources to requests that arrive in a sequential and arbitrary manner. Each…