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We consider a project that consists of activities to be performed in parallel under various temporal constraints, which include start-start, start-finish and finish-start precedence relationships, release times, deadlines, and due dates.…
Convex optimization problems arising in applications often have favorable objective functions and complicated constraints, thereby precluding first-order methods from being immediately applicable. We describe an approach that exchanges the…
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…
This paper studies the distributed optimization problem with possibly nonidentical local constraints, where its global objective function is composed of $N$ convex functions. The aim is to solve the considered optimization problem in a…
The motivation for this work stems from the problem of scheduling requests for flow at supply points along an automated network of open-water channels. The off-take flows are rigid-profile inputs to the system dynamics. In particular, the…
A distributed, hierarchical, market based approach is introduced to solve the economic dispatch problem. The approach requires only a minimal amount of information to be shared between a central market operator and the end-users. Price…
Automated marker makers (AMMs) are a class of decentralized exchanges that enable the automated trading of digital assets. They accept deposits of digital tokens from liquidity providers (LPs); tokens can be used by traders to execute…
A novel high-frequency market-making approach in discrete time is proposed that admits closed-form solutions. By taking advantage of demand functions that are linear in the quoted bid and ask spreads with random coefficients, we model the…
Traditional maximum entropy and sparsity-based algorithms for analytic continuation often suffer from the ill-posed kernel matrix or demand tremendous computation time for parameter tuning. Here we propose a neural network method by convex…
Constant Function Market Makers (CFMMs) are a tool for creating exchange markets, have been deployed effectively in prediction markets, and are now especially prominent in the Decentralized Finance ecosystem. We show that for any set of…
Congestion game is a widely used model for modern networked applications. A central issue in such applications is that the selfish behavior of the participants may result in resource overloading and negative externalities for the system…
Decentralized optimization is well studied for smooth unconstrained problems. However, constrained problems or problems with composite terms are an open direction for research. We study structured (or composite) optimization problems, where…
In this paper, we propose a new Fully Composite Formulation of convex optimization problems. It includes, as a particular case, the problems with functional constraints, max-type minimization problems, and problems of Composite…
Recently, bandit optimization has received significant attention in real-world safety-critical systems that involve repeated interactions with humans. While there exist various algorithms with performance guarantees in the literature,…
In Decentralized Finance (DeFi), automated market makers typically implement liquidity provisioning protocols. These protocols allow third-party liquidity providers (LPs) to provide assets to facilitate trade in exchange for fees. This…
In decentralized finance, any individual can pool their assets into an automated market maker (AMM) -- herein we focus on the constant product market maker (CPMM) -- in exchange for a claim on a fraction of future pool assets and fees…
The paper addresses large-scale, convex optimization problems that need to be solved in a distributed way by agents communicating according to a random time-varying graph. Specifically, the goal of the network is to minimize the sum of…
As markets have digitized, the number of tradable products has skyrocketed. Algorithmically constructed portfolios of these assets now dominate public and private markets, resulting in a combinatorial explosion of tradable assets. In this…
We consider an exchange who wishes to set suitable make-take fees to attract liquidity on its platform. Using a principal-agent approach, we are able to describe in quasi-explicit form the optimal contract to propose to a market maker. This…
This paper studies optimal liquidity provision for perpetual contracts when the funding rate is a stochastic state variable. The core extension to classical market making is the coupling between inventory and funding payments: inventory…