Related papers: Optimal Consumption for Recursive Preferences with…
This paper studies the equilibrium of an extended case of the classical Samuelson's multiplier-accelerator model for national economy. This case has incorporated some kind of memory into the system. We assume that total consumption and…
Time or money? That is a question! In this paper, we consider this dilemma in the pricing regime, in which we try to find the optimal pricing scheme for identical items with heterogenous time-sensitive buyers. We characterize the…
We introduce and study a class of optimization problems we coin replenishment problems with fixed turnover times: a very natural model that has received little attention in the literature. Nodes with capacity for storing a certain commodity…
I analyze long-term contracting in insurance markets with asymmetric information. The buyer privately observes her risk type, which evolves stochastically over time. A long-term contract specifies a menu of insurance policies, contingent on…
We introduce an algorithm which can be directly used to feasible and optimum search in linear programming. Starting from an initial point the algorithm iteratively moves a point in a direction to resolve the violated constraints. At the…
In this note, we explicitly solve the problem of maximizing utility of consumption (until the minimum of bankruptcy and the time of death) with a constraint on the probability of lifetime ruin, which can be interpreted as a risk measure on…
We investigate the nonlocal energy corresponding to the $p$-oscillation of the unit normal vector for hypersurfaces, or the unit tangent vector for curves. The energy satisfies geometric inequalities with optimal constants $c(n,p)$ and…
Moment optimization techniques have been recently proposed to solve globally various classes of optimal control problems. As those methods return truncated moment sequences of occupation measures, this paper explores a numeric method for…
Standard optimal control methods perform optimization in the time domain. However, many experimental settings demand the expression of the control signal as a superposition of given waveforms, a case that cannot easily be accommodated using…
The problem of optimal motion planing and control is fundamental in robotics. However, this problem is intractable for continuous-time stochastic systems in general and the solution is difficult to approximate if non-instantaneous nonlinear…
In this work, we study the optimization problem of a renewable resource in finite time. The resource is assumed to evolve according to a logistic stochastic differential equation. The manager may harvest partially the resource at any time…
We study a dynamic random utility model that allows for consumption dependence. We axiomatically analyze this model and find insights that allow us to distinguish between behavior that arises due to consumption dependence and behavior that…
We review typical design problems encountered in the planning of observational studies and propose a unifying framework that allows us to use the same concepts and notation for different problems. In the framework, the design is defined as…
A variety of strategies have been proposed for overcoming local optimality in metaheuristic search. This paper examines characteristics of moves that can be exploited to make good decisions about steps that lead away from a local optimum…
Optimal mechanism design enjoys a beautiful and well-developed theory, and also a number of killer applications. Rules of thumb produced by the field influence everything from how governments sell wireless spectrum licenses to how the major…
Given a non-convex optimization problem, we study conditions under which every Karush-Kuhn-Tucker (KKT) point is a global optimizer. This property is known as KT-invexity and allows to identify the subset of problems where an interior point…
The aims of this study are twofold. First, we consider an optimal risk allocation problem with non-convex preferences. By establishing an infimal representation for distortion risk measures, we give some necessary and sufficient conditions…
This paper characterizes differentiable and subgame Markov perfect equilibria in a continuous time intertemporal decision problem with non-constant discounting. Capturing the idea of non commitment by letting the commitment period being…
In this paper we show that every maximum minimum-cost flow over time problem has an optimal solution with a repeated structure if the given time horizon is large enough.
Determination of \emph{optimal} arrangements of $N$ particles on a sphere is a well-known problem in physics. A famous example of such is the Thomson problem of finding equilibrium configurations of electrical charges on a sphere. More…