相关论文: A Rational Convex Program for Linear Arrow-Debreu …
We consider the global optimization of nonconvex mixed-integer quadratic programs with linear equality constraints. In particular, we present a new class of convex quadratic relaxations which are derived via quadratic cuts. To construct…
The graph matching problem is a significant special case of the Quadratic Assignment Problem, with extensive applications in pattern recognition, computer vision, protein alignments and related fields. As the problem is NP-hard, relaxation…
A monopolist wishes to maximize her profits by finding an optimal price policy. After she announces a menu of products and prices, each agent $x$ will choose to buy that product $y(x)$ which maximizes his own utility, if positive. The…
In this paper, we present new convex relaxations for nonconvex quadratically constrained quadratic programming (QCQP) problems. While recent research has focused on strengthening convex relaxations using reformulation-linearization…
We study linear programming relaxations of nonconvex quadratic programs given by the reformulation-linearization technique (RLT), referred to as RLT relaxations. We investigate the relations between the polyhedral properties of the feasible…
The goal of an auction is to determine commodity prices such that all participants are perfectly happy. Such a solution is called a competitive equilibrium and does not exist in general. For this reason we are interested in solutions which…
It is well-known that a market equilibrium with uniform prices often does not exist in non-convex day-ahead electricity auctions. We consider the case of the non-convex, uniform-price Pan-European day-ahead electricity market "PCR" (Price…
We study an Arrow-Debreu economy with externalities generated by multiplex networks. Market equilibrium prices reflect both the preferences and scarcity of goods, consumers' network centralities arising from goods' externalities, as well as…
The existence and multiplicity and nonexistence of nontrivial radial convex solutions of systems of Monge-Amp\`ere equations are established with superlinearity or sublinearity assumptions for an appropriately chosen parameter. The proof of…
We consider simple bilevel optimization problems where the goal is to compute among the optimal solutions of a composite convex optimization problem, one that minimizes a secondary objective function. Our main contribution is threefold. (i)…
This paper presents a convex sufficient condition for solving a system of nonlinear equations under parametric changes and proposes a sequential convex optimization method for solving robust optimization problems with nonlinear equality…
We consider the problem of choosing prices of a set of products so as to maximize profit, taking into account self-elasticity and cross-elasticity, subject to constraints on the prices. We show that this problem can be formulated as…
This paper provides an attempt to formalize Hayek's notion of spontaneous order within the framework of the Arrow-Debreu economy. Our study shows that if a competitive economy is enough fair and free, then a spontaneous economic order shall…
We revisit two classical problems: the determination of the law of the underlying with respect to a risk-neutral measure on the basis of option prices, and the pricing of options with convex payoffs in terms of prices of call options with…
In this paper we consider resource allocation problem stated as a convex minimization problem with linear constraints. To solve this problem, we use gradient and accelerated gradient descent applied to the dual problem and prove the…
In this Letter we suggest a method of convex rigid frames in the studies of the multipartite quNit pure-states. We illustrate what are the convex rigid frames and what is the method of convex rigid frames. As the applications we use this…
A standard quadratic program is an optimization problem that consists of minimizing a (nonconvex) quadratic form over the unit simplex. We focus on reformulating a standard quadratic program as a mixed integer linear programming problem. We…
The problem of allocating scarce items to individuals is an important practical question in market design. An increasingly popular set of mechanisms for this task uses the concept of market equilibrium: individuals report their preferences,…
This material provides thorough tutorials on some optimization techniques frequently used in various engineering disciplines, including convex optimization, linearization techniques and mixed-integer linear programming, robust optimization,…
We present an efficient algorithm for solving fractional programming problems whose objective functions are the ratio of a low-rank quadratic to a positive definite quadratic with convex constraints. The proposed algorithm for these…