Related papers: Optimal Routing for Constant Function Market Maker…
Optimal mass transport, also known as the earth mover's problem, is an optimization problem with important applications in various disciplines, including economics, probability theory, fluid dynamics, cosmology and geophysics to cite a few.…
Inverse optimal transport (OT) refers to the problem of learning the cost function for OT from observed transport plan or its samples. In this paper, we derive an unconstrained convex optimization formulation of the inverse OT problem,…
Network Utility Maximisation (NUM) addresses the problem of allocating resources fairly within a network and explores the ways to achieve optimal allocation in real-world networks. Although extensively studied in classical networks, NUM is…
With the development of robotics, there are growing needs for real time motion planning. However, due to obstacles in the environment, the planning problem is highly non-convex, which makes it difficult to achieve real time computation…
Convex optimization problems arise naturally in quantum information theory, often in terms of minimizing a convex function over a convex subset of the space of hermitian matrices. In most cases, finding exact solutions to these problems is…
Maximizing monotone submodular functions under cardinality constraints is a classic optimization task with several applications in data mining and machine learning. In this paper we study this problem in a dynamic environment with…
Optimization problems under affine constraints appear in various areas of machine learning. We consider the task of minimizing a smooth strongly convex function F(x) under the affine constraint Kx=b, with an oracle providing evaluations of…
The convex feasibility problem (CFP) is to find a feasible point in the intersection of finitely many convex and closed sets. If the intersection is empty then the CFP is inconsistent and a feasible point does not exist. However,…
In this paper, reinforcement learning is applied to the problem of optimizing market making. A multi-agent reinforcement learning framework is used to optimally place limit orders that lead to successful trades. The framework consists of…
Automated Market Makers (AMMs) are emerging as a popular decentralised trading platform. In this work, we determine the optimal dynamic fees in a constant function market maker. We find approximate closed-form solutions to the control…
Decentralised automated market makers (AMMs) have gained significant attention recently. We propose an adaptive and automated Dynamic Function Market Maker (DFMM) that addresses challenges in this space. Our DFMM protocol includes a data…
In this paper, we consider the Maximum-Profit Routing Problem (MPRP), introduced in \cite{Armaselu-PETRA}. In MPRP, the goal is to route the given fleet of vehicles to pickup goods from specified sites in such a way as to maximize the…
Inventory Routing Problem (IRP) is a crucial challenge in supply chain management as it involves optimizing efficient route selection while considering the uncertainty of inventory demand planning. To solve IRPs, usually a two-stage…
The maximum-entropy sampling problem is a fundamental and challenging combinatorial-optimization problem, with application in spatial statistics. It asks to find a maximum-determinant order-$s$ principal submatrix of an order-$n$ covariance…
We rephrase Monge's optimal transportation (OT) problem with quadratic cost--via a Monge-Amp\`ere equation--as an infinite-dimensional optimization problem, which is in fact a convex problem when the target is a log-concave measure with…
Building on ideas from online convex optimization, we propose a general framework for the design of efficient securities markets over very large outcome spaces. The challenge here is computational. In a complete market, in which one…
We study the optimal mechanism design problem faced by a market intermediary who makes revenue by connecting buyers and sellers. We first show that the optimal intermediation protocol has substantial structure: it is the solution to an…
In its most general form, the optimal transport problem is an infinite-dimensional optimization problem, yet certain notable instances admit closed-form solutions. We identify the common source of this tractability as \textit{symmetry} and…
We consider the problem of choosing prices of a set of products so as to maximize profit, taking into account self-elasticity and cross-elasticity, subject to constraints on the prices. We show that this problem can be formulated as…
In this paper, distributed convex optimization problem over non-directed dynamical networks is studied. Here, networked agents with single-integrator dynamics are supposed to rendezvous at a point that is the solution of a global convex…