相关论文: A duality and free boundary approach to adverse se…

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…

Over the past decade, many dealers have implemented algorithmic models to automatically respond to RFQs and manage flows originating from their electronic platforms. In parallel, building on the foundational work of Ho and Stoll, and later…

We study the optimal design of electricity contracts among a population of consumers with different needs. This question is tackled within the framework of Principal-Agent problems in presence of adverse selection. The particular features…

We study problems arising in real-time auction markets, common in e-commerce and computational advertising, where bidders face the problem of calculating optimal bids. We focus upon a contract management problem where a demand aggregator is…

We consider the pricing problem facing a seller of a contingent claim. We assume that this seller has some general level of partial information, and that he is not allowed to sell short in certain assets. This pricing problem, which is our…

We consider the problem of Adverse Selection and optimal derivative design within a Principal-Agent framework. The principal's income is exposed to non-hedgeable risk factors arising, for instance, from weather or climate phenomena. She…

We establish a variant of Monge--Kantorovich duality for a constrained optimal transport problem with a continuum of agents, a finite set of alternatives, and general linear constraints. As an application, we revisit the large-market model…

Most inverse optimization models impute unspecified parameters of an objective function to make an observed solution optimal for a given optimization problem with a fixed feasible set. We propose two approaches to impute unspecified…

Autonomous agents must often deal with conflicting requirements, such as completing tasks using the least amount of time/energy, learning multiple tasks, or dealing with multiple opponents. In the context of reinforcement learning~(RL),…

We prove an existence result for the principal-agent problem with adverse selection under general assumptions on preferences and allocation spaces. Instead of assuming that the allocation space is finite-dimensional or compact, we consider…

We investigate a seller's revenue-maximizing mechanism in a setting where a desirable good is sold together with an undesirable bad (e.g., advertisements) that generates third-party revenue. The buyer's private information is…

We study a principal-agent problem with adverse selection, where the principal does not know the agent's true cost but must design a contract to optimize a specific criterion. Unlike standard screening frameworks that allow for…

A principal wishes to transact business with a multidimensional distribution of agents whose preferences are known only in the aggregate. Assuming a twist (= generalized Spence-Mirrlees single-crossing) hypothesis and that agents can choose…

In their study of price discrimination for a monopolist selling heterogeneous products to consumers having private information about their own multidimensional types, Rochet and Chon\'e (1998) discovered a new form of screening in which…

To address efficiency and design challenges in choice-based matching platforms, we introduce a two-sided assortment optimization framework under general choice preferences. The goal in this problem is to maximize the expected number of…

A monopolist sells goods with possibly a characteristic consumers dislike (for instance, he sells random goods to risk averse agents), which does not affect the production costs. We investigate the question whether using undesirable goods…

Problem definition: Traditional monopoly pricing assumes sellers have full information about consumer valuations. We consider monopoly pricing under limited information, where a seller only knows the mean, variance and support of the…

We present a general analysis of multidimensional matching problems with transferable utility, paying particular attention to the case in which the dimensions of heterogeneity on the two sides of the market are unequal. A particular…

We study the Monopolist's problem with a focus on the free boundary separating bunched from unbunched consumers, especially in the plane, and give a full description of its solution for the family of square domains $\{(a,a+1)^2\}_{a \ge…

We consider the classical linear assignment problem, and we introduce new auction algorithms for its optimal and suboptimal solution. The algorithms are founded on duality theory, and are related to ideas of competitive bidding by persons…