Related papers: Approximating Optimal Asset Allocations using Simu…
This paper studies randomized approximation algorithm for a variant of the set cover problem called minimum submodular cost partial multi-cover (SCPMC), in which each element $e$ has a covering requirement $r_e$ and a profit $p_e$, and the…
Distributed resource allocation is a central task in network systems such as smart grids, water distribution networks, and urban transportation systems. When solving such problems in practice it is often important to have nonasymptotic…
We consider the problem of dynamic buying and selling of shares from a collection of $N$ stocks with random price fluctuations. To limit investment risk, we place an upper bound on the total number of shares kept at any time. Assuming that…
We investigate optimal social welfare allocations of $m$ items to $n$ agents with binary additive or submodular valuations. For binary additive valuations, we prove that the set of optimal allocations coincides with the set of so-called…
The performance of computer networks relies on how bandwidth is shared among different flows. Fair resource allocation is a challenging problem particularly when the flows evolve over time.To address this issue, bandwidth sharing techniques…
Finding a maximum cut is a fundamental task in many computational settings. Surprisingly, it has been insufficiently studied in the classic distributed settings, where vertices communicate by synchronously sending messages to their…
Consider a collection of competing machine learning algorithms. Given their performance on a benchmark of datasets, we would like to identify the best performing algorithm. Specifically, which algorithm is most likely to rank highest on a…
Collateral optimization refers to the systematic allocation of financial assets to satisfy obligations or secure transactions, while simultaneously minimizing costs and optimizing the usage of available resources. {This involves assessing…
In this paper, a distributed stochastic approximation algorithm is studied. Applications of such algorithms include decentralized estimation, optimization, control or computing. The algorithm consists in two steps: a local step, where each…
Given a set of assets and an investment capital, the classical portfolio selection problem consists in determining the amount of capital to be invested in each asset in order to build the most profitable portfolio. The portfolio…
We study the Maximum Budgeted Allocation problem, which is the problem of assigning indivisible items to players with budget constraints. In its most general form, an instance of the MBA problem might include many different prices for the…
Stochastic network optimization problems entail finding resource allocation policies that are optimum on an average but must be designed in an online fashion. Such problems are ubiquitous in communication networks, where resources such as…
We propose a method for analyzing the distributed random coordinate descent algorithm for solving separable resource allocation problems in the context of an open multiagent system, where agents can be replaced during the process. In…
Bifurcation theory is a powerful tool for studying how the dynamics of a neural network model depends on its underlying neurophysiological parameters. However, bifurcation theory has been developed mostly for smooth dynamical systems and…
We study an online fair division problem where a fixed number of goods arrive sequentially and must be allocated to a given set of agents. Once a good arrives, its true value for each agent is revealed, and it has to be immediately and…
Evolutions of the trading landscape lead to the capability to exchange the same financial instrument on different venues. Because of liquidity issues, the trading firms split large orders across several trading destinations to optimize…
We study contextual stochastic optimization problems, where we leverage rich auxiliary observations (e.g., product characteristics) to improve decision making with uncertain variables (e.g., demand). We show how to train forest decision…
Financial portfolio construction problems are often formulated as quadratic and discrete (combinatorial) optimization that belong to the nondeterministic polynomial time (NP)-hard class in computational complexity theory. Ising machines are…
Systemic risk arises as a multi-layer network phenomenon. Layers represent direct financial exposures of various types, including interbank liabilities, derivative- or foreign exchange exposures. Another network layer of systemic risk…
Despite being described as a medium of exchange, cryptocurrencies do not have the typical attributes of a medium of exchange. Consequently, cryptocurrencies are more appropriately described as crypto assets. A common investment attribute…