Related papers: Coherent Comparison as Information Cost: A Cost-Fi…
Recurrence equations have played a central role in static cost analysis, where they can be viewed as abstractions of programs and used to infer resource usage information without actually running the programs with concrete data. Such…
This paper introduces a framework for modeling the cost of information acquisition based on the principle of cost-minimization. We study the reduced-form \emph{indirect cost} of information generated by the sequential minimization of a…
We study ratio-induced mismatch costs of the form $c(s,o)=J(\iota_S(s)/\iota_O(o))$, built from positive scale maps $\iota_S:S\to(0,\infty)$ and $\iota_O:O\to(0,\infty)$ and a penalty $J:(0,\infty)\to[0,\infty)$. Assuming inversion…
In this paper we present a theoretical framework for determining dynamic ask and bid prices of derivatives using the theory of dynamic coherent acceptability indices in discrete time. We prove a version of the First Fundamental Theorem of…
To investigate solutions of (near-)optimal control problems, we extend and exploit a notion of homogeneity recently proposed in the literature for discrete-time systems. Assuming the plant dynamics is homogeneous, we first derive a scaling…
Recovering the underlying Directed Acyclic Graph (DAG) structures from observational data presents a formidable challenge, partly due to the combinatorial nature of the DAG-constrained optimization problem. Recently, researchers have…
We study functions satisfying the composition law $F(xy)+F(x/y)=P(F(x),F(y))$ with a symmetric polynomial combiner $P$. We prove that symmetry together with a quadratic degree bound on $P$ forces a composition law of d'Alembert type. We…
We propose a constructive framework for the super-hedging problem of a European contingent claim under proportional transaction costs in discrete time. Our main contribution is an explicit recursive scheme that computes both the…
We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model,…
We introduce a discrete dynamical system on the integers, defined by moving a composite $m$ forward to $m+\pi(m)$ and a prime $p$ backward to $p-\mathrm{prevprime}(p)$. This map produces trajectories whose contraction properties are closely…
We study the connection between Lagrangian and Hamiltonian descriptions of closed/open dynamics, for a collection of particles with quadratic interaction (closed system) and a sub-collection of particles with linear damping (open system).…
The price system is often said to economize on information, but economics has lacked a formal measure of how much information it saves. This paper develops such a measure. We construct a proof-theoretic framework for decentralized…
We develop a system-theoretic framework for the structured analysis of distributed optimization algorithms with decomposable cost functions. We model such algorithms as a network of interacting dynamical systems and derive tests for…
The self-concordant-like property of a smooth convex function is a new analytical structure that generalizes the self-concordant notion. While a wide variety of important applications feature the self-concordant-like property, this concept…
We present a frame-invariant method for detecting coherent structures from Lagrangian flow trajectories that can be sparse in number, as is the case in many fluid mechanics applications of practical interest. The method, based on principles…
In many supervised learning applications, the response consists of both continuous and binary outcomes. Studies have shown that jointly modeling such mixed-type responses can substantially improve predictive performance compared to separate…
Meta-analytic methods tend to take all-or-nothing approaches to study-level heterogeneity, assuming all studies are heterogeneous or homogeneous, leading to inefficiency and/or bias in estimation and inference. In this paper, we develop a…
Nonconvexities in markets with discrete decisions and nonlinear constraints make efficient pricing challenging, often necessitating subsidies. A prime example is the unit commitment (UC) problem in electricity markets, where costly…
We develop a compositional approach for automatic and symbolic differentiation based on categorical constructions in functional analysis where derivatives are linear functions on abstract vectors rather than being limited to scalars,…
We develop a generalization of correlated trend-cycle decompositions that avoids prior assumptions about the long-run dynamic characteristics by modelling the permanent component as a fractionally integrated process and incorporating a…