相关论文: On Clearing Prices in Matching Markets: A Simple C…
One-max search is a classic problem in online decision-making, in which a trader acts on a sequence of revealed prices and accepts one of them irrevocably to maximise its profit. The problem has been studied both in probabilistic and in…
The electricity industry has been one of the first to face technological changes motivated by sustainability concerns. Whilst efficiency aspects of market design have tended to focus upon market power concerns, the new policy challenges…
Binary optimization is a central problem in mathematical optimization and its applications are abundant. To solve this problem, we propose a new class of continuous optimization techniques which is based on Mathematical Programming with…
We consider the profit-maximization problem solved by an electricity retailer who aims at designing a menu of contracts. This is an extension of the unit-demand envy-free pricing problem: customers aim to choose a contract maximizing their…
In the weighted bipartite matching problem, the goal is to find a maximum-weight matching in a bipartite graph with nonnegative edge weights. We consider its online version where the first vertex set is known beforehand, but vertices of the…
Online bipartite matching is a fundamental problem in online algorithms. The goal is to match two sets of vertices to maximize the sum of the edge weights, where for one set of vertices, each vertex and its corresponding edge weights appear…
We consider a discrete time financial market with proportional transaction cost under model uncertainty, and study a super-replication problem. We recover the duality results that are well known in the classical dominated context. Our key…
We study the problem of optimizing nonlinear objective functions over bipartite matchings. While the problem is generally intractable, we provide several efficient algorithms for it, including a deterministic algorithm for maximizing convex…
We study a unified framework for optimization problems defined on dual-modular instances, where the input comprises a finite ground set $V$ and two set functions: a monotone supermodular reward function $\f$ and a strictly monotone…
Coordination of day-ahead and real-time electricity markets is imperative for cost-effective electricity supply and also to provide efficient incentives for the energy transition. Although stochastic market designs feature the least-cost…
We investigate the packing and covering densities of linear and nonlinear binary codes, and establish a number of duality relationships between the packing and covering problems. Specifically, we prove that if almost all codes (in the class…
We present the first analysis of Fisher markets with buyers that have budget-additive utility functions. Budget-additive utilities are elementary concave functions with numerous applications in online adword markets and revenue optimization…
We prove weak duality between two recent convex relaxation methods for bounding the optimal value of a constrained variational problem in which the objective is an integral functional. The first approach, proposed by Valmorbida et al. (IEEE…
An uniform LP duality is an useful property of conic matrix systems. A consistent linear conic optimization problem yields uniform LP duality if for any linear cost function, for which the primal problem has finite optimal value, the…
Employing probabilistic techniques we compute best possible upper and lower bounds on the price of an option on one or two assets with continuous piecewise linear payoff function based on prices of simple call options of possibly distinct…
Option price data are used as inputs for model calibration, risk-neutral density estimation and many other financial applications. The presence of arbitrage in option price data can lead to poor performance or even failure of these tasks,…
This paper proposes a market mechanism for multi-interval electricity markets with generator and storage participants. Drawing ideas from supply function bidding, we introduce a novel bid structure for storage participation that allows…
In this work we study a special minimax problem where there are linear constraints that couple both the minimization and maximization decision variables. The problem is a generalization of the traditional saddle point problem (which does…
With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the agent minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time,…
The role of a market maker is to simultaneously offer to buy and sell quantities of goods, often a financial asset such as a share, at specified prices. An automated market maker (AMM) is a mechanism that offers to trade according to some…