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

Convex duality for two two different super--replication problems in a continuous time financial market with proportional transaction cost is proved. In this market, static hedging in a finite number of options, in addition to usual dynamic…

This paper studies convex duality in optimal investment and contingent claim valuation in markets where traded assets may be subject to nonlinear trading costs and portfolio constraints. Under fairly general conditions, the dual expressions…

We consider cooperative multi-agent consensus optimization problems over an undirected network of agents, where only those agents connected by an edge can directly communicate. The objective is to minimize the sum of agent-specific…

The problem of constrained Markov decision process is considered. An agent aims to maximize the expected accumulated discounted reward subject to multiple constraints on its costs (the number of constraints is relatively small). A new dual…

Direct Preference Optimization (DPO) is a simple and efficient framework that has attracted substantial attention. However, it often struggles to meet its primary objectives -- increasing the generation probability of chosen responses while…

We present an algorithm to approximate the solutions to variational problems where set of admissible functions consists of convex functions. The main motivator behind this numerical method is estimating solutions to Adverse Selection…

We consider infinite dimensional optimization problems motivated by the financial model called Arbitrage Pricing Theory. Using probabilistic and functional analytic tools, we provide a dual characterization of the super-replication cost.…

A public decision-making problem consists of a set of issues, each with multiple possible alternatives, and a set of competing agents, each with a preferred alternative for each issue. We study adaptations of market economies to this…

The proliferation of the Internet has led to the emergence of online advertising, driven by the mechanics of online auctions. In these repeated auctions, software agents participate on behalf of aggregated advertisers to optimize for their…

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 recent years, considerable work has been done to tackle the issue of designing control laws based on observations to allow unknown dynamical systems to perform pre-specified tasks. At least as important for autonomy, however, is the…

We consider a generalization of the third degree price discrimination problem studied in Bergemann et al. (2015), where an intermediary between the buyer and the seller can design market segments to maximize any linear combination of…

The work studies the problem of decentralized constrained POMDPs in a team-setting where multiple nonstrategic agents have asymmetric information. Using an extension of Sion's Minimax theorem for functions with positive infinity and results…

In this paper, we consider the revealed preferences problem from a learning perspective. Every day, a price vector and a budget is drawn from an unknown distribution, and a rational agent buys his most preferred bundle according to some…

We consider a model where an agent is must choose between alternatives that each provide only an imprecise description of the world (e.g. linguistic expressions). The set of alternatives is closed under logical conjunction and disjunction,…

We study a moral hazard problem with adverse selection: a risk-neutral agent can directly control the output distribution and possess private information about the production environment. The principal designs a menu of contracts satisfying…

We consider the optimal risk sharing problem with a continuum of agents, modeled via a non-atomic measure space. Individual preferences are not assumed to be convex. We show the multiplicity of agents induces the value function to be…

We study the principal-agent problem. We show that $b$-convexity of the space of products, a condition which appears in a recent paper by Figalli, Kim and McCann \cite{fkm}, is necessary to formulate the problem as a maximization over a…

A principal screens an agent with an arbitrary set of allocations $X$. The agent's preferences over allocations are comonotonic. A subset of allocations $X^*\subseteq X$ is a surplus-elasticity frontier if (i) any other allocation has a…

We study the optimal behavior of a bidder in a real-time auction subject to the requirement that a specified collections of heterogeneous items be acquired within given time constraints. The problem facing this bidder is cast as a…