相关论文: Fixed-Point Approaches to Computing Bertrand-Nash …

We derive normal approximation results for a class of stabilizing functionals of binomial or Poisson point process, that are not necessarily expressible as sums of certain score functions. Our approach is based on a flexible notion of the…

We advance the computation of physical modal expansions for unsteady incompressible flows. Point of departure is a linearization of the Navier-Stokes equations around its fixed point in a frequency domain formulation. While the most…

Intermittent demand forecasting is a ubiquitous and challenging problem in production systems and supply chain management. In recent years, there has been a growing focus on developing forecasting approaches for intermittent demand from…

Electrokinetic phenomena in nanopore sensors and microfluidic devices require accurate simulation of coupled fluid-electrostatic interactions in geometrically complex domains with irregular boundaries and adaptive mesh refinement. We…

We propose an analysis for the stabilized finite element methods proposed in, E. Burman, Stabilized finite element methods for nonsymmetric, noncoercive, and ill-posed problems. Part I: Elliptic equations. SIAM J. Sci. Comput., 35(6) 2013,…

We study the problem of computing an approximate Nash equilibrium of a game whose strategy space is continuous without access to gradients of the utility function. Such games arise, for example, when players' strategies are represented by…

Nash equilibrium serves as a fundamental mathematical tool in economics and game theory. However, it classically assumes knowledge of player utilities, whereas economics generally regards preferences as more fundamental. To leverage…

A global optimization approach for solving non-monotone equilibrium problems (EPs) is proposed. The class of (regularized) gap functions is used to reformulate any EP as a constrained global optimization program and some bounds on the…

G-expectation, as a sublinear expectation, provides a powerful framework for modeling uncertainty in financial markets. Motivated by the need for robust valuation under model uncertainty, this work develops a unified risk-neutral valuation…

We analyze a fixed-point algorithm for reinforcement learning (RL) of optimal portfolio mean-variance preferences in the setting of multivariate generalized autoregressive conditional-heteroskedasticity (MGARCH) with a small penalty on…

A mixed finite element method for the Navier-Stokes equations is introduced in which the stress is a primary variable. The variational formulation retains the mathematical structure of the Navier-Stokes equations and the classical theory…

We consider fixed points of steady solutions and flow directions using the boson Boltzmann equation that is a one-dimensionally reduced kinetic equation after the angular integration. With an elastic collision integral of the two-to-two…

In B2B markets, value-based pricing and selling has become an important alternative to discounting. This study outlines a modeling method that uses customer data (product offers made to each current or potential customer, features,…

This paper studies convex Generalized Nash Equilibrium Problems (GNEPs) that are given by polynomials. We use rational and parametric expressions for Lagrange multipliers to formulate efficient polynomial optimization for computing…

We introduce new multilevel methods for solving large-scale unconstrained optimization problems. Specifically, the philosophy of multilevel methods is applied to Newton-type methods that regularize the Newton sub-problem using second order…

In this work, we present and analyze a novel stabilized virtual element formulation for the coupled Stokes-Temperature equation on polygonal meshes, employing equal-order element pairs where viscosity depends on temperature. The main…

The equilibrium selection problem in the generalized Nash equilibrium problem (GNEP) has recently been studied as an optimization problem, defined over the set of all variational equilibria achievable through a lower-level non-cooperative…

We study generalized Nash equilibrium (GNE) problems in games with quadratic costs and individual linear equality constraints. Departing from approaches that require strong monotonicity and/or shared constraints, we reformulate the KKT…

Two issues of algorithmic collusion are addressed in this paper. First, we show that in a general class of symmetric games, including Prisoner's Dilemma, Bertrand competition, and any (nonlinear) mixture of first and second price auction,…

In this paper, we propose a multilevel stochastic framework for the solution of nonconvex unconstrained optimization problems. The proposed approach uses random regularized first-order models that exploit an available hierarchical…