Related papers: A Tick-by-Tick Solution for Concentrated Liquidity…
This paper studies convex duality in optimal investment and contingent claim valuation in markets where traded assets may be subject to nonlinear trading costs and portfolio constraints. Under fairly general conditions, the dual expressions…
Price determination is a central research topic of revenue management in marketing. The important aspect in pricing is controlling the stochastic behavior of demand, and the previous studies have tackled price optimization problems with…
The widespread diffusion of distributed energy resources, especially those based on renewable energy, and energy storage devices has deeply modified power systems. As a consequence, demand response, the ability of customers to respond to…
We consider an intermediary's problem of dynamically matching demand and supply of heterogeneous types in a periodic-review fashion. More specifically, there are two disjoint sets of demand and supply types, and a reward associated with…
In this paper, we study a class of finite-time control problems for discrete-time positive linear systems with time-varying state parameters. Although several interesting control problems appearing in population biology, economics, and…
To trade tokens in cryptoeconomic systems, automated market makers (AMMs) typically rely on liquidity providers (LPs) that deposit tokens in exchange for rewards. To profit from such rewards, LPs must use effective liquidity provisioning…
This paper develops a rigorous mathematical framework for analyzing Concentrated Liquidity Market Makers (CLMMs) in Decentralized Finance (DeFi) within a continuous-time setting. We model the evolution of liquidity profiles as…
In this paper, we propose a stochastic scheduling strategy for estimating the states of N discrete-time linear time invariant (DTLTI) dynamic systems, where only one system can be observed by the sensor at each time instant due to practical…
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…
The recently developed Distributed Block Proximal Method, for solving stochastic big-data convex optimization problems, is studied in this paper under the assumption of constant stepsizes and strongly convex (possibly non-smooth) local…
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…
This paper investigates a distributed optimization problem under edge agreements, where each agent in the network is also subject to local convex constraints. Generalized from the concept of consensus, a group of edge agreements represents…
We propose a method for providing communication network infrastructure in autonomous multi-agent teams. In particular, we consider a set of communication agents that are placed alongside regular agents from the system in order to improve…
In this paper, a time-varying distributed convex optimization problem is studied for continuous-time multi-agent systems. Control algorithms are designed for the cases of single-integrator and double-integrator dynamics. Two discontinuous…
The goal of cryptocurrencies is decentralization. In principle, all currencies have equal status. Unlike traditional stock markets, there is no default currency of denomination (fiat), thus the trading pairs can be set freely. However, it…
We introduce the problem of optimal congestion control in cache networks, whereby \emph{both} rate allocations and content placements are optimized \emph{jointly}. We formulate this as a maximization problem with non-convex constraints, and…
The instantaneous power generation from a hydroelectric turbine is proportional to the product of head difference and turbine flow. The equation relating power to hydraulic variables is therefore nonlinear. Hence, optimization problems…
Market-based mechanisms such as auctions are being studied as an appropriate means for resource allocation in distributed and mulitagent decision problems. When agents value resources in combination rather than in isolation, they must often…
This paper considers a distributed convex optimization problem over a time-varying multi-agent network, where each agent has its own decision variables that should be set so as to minimize its individual objective subject to local…
We consider the problem of dynamic pricing with limited supply. A seller has $k$ identical items for sale and is facing $n$ potential buyers ("agents") that are arriving sequentially. Each agent is interested in buying one item. Each…