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

We consider a resource allocation problem over an undirected network of agents, where edges of the network define communication links. The goal is to minimize the sum of agent-specific convex objective functions, while the agents' decisions…

We consider the optimal investment and marginal utility pricing problem of a risk averse agent and quantify their exposure to a small amount of model uncertainty. Specifically, we compute explicitly the first-order sensitivity of their…

We consider a multi-dimensional screening problem of selling a product with multiple quality levels and design virtual value functions to derive conditions that imply optimality of only selling highest quality. A challenge of designing…

In this note we explore duality in reverse convex optimization with reverse convex inequality constraints. While we are examining the special case of a finite index set of the inequality constraints, we are primarily interested in the…

This paper studies the continuous time utility maximization problem on consumption with addictive habit formation in incomplete semimartingale markets. Introducing the set of auxiliary state processes and the modified dual space, we embed…

We study sequential bilateral trade where sellers and buyers valuations are completely arbitrary (i.e., determined by an adversary). Sellers and buyers are strategic agents with private valuations for the good and the goal is to design a…

The intuition that profit is optimized by maximizing marginal revenue is a guiding principle in microeconomics. In the classical auction theory for agents with linear utility and single-dimensional preferences, Bulow and Roberts (1989) show…

We consider the problem of estimating assortment probabilities, which is common in operations management applications, including product bundling, advertising, etc. Existing approaches typically model each assortment as a category and apply…

This paper studies a {\it reversible} investment problem where a social planner aims to control its capacity production in order to fit optimally the random demand of a good. Our model allows for general diffusion dynamics on the demand as…

We consider a multiproduct monopoly pricing model. We provide sufficient conditions under which the optimal mechanism can be implemented via upgrade pricing -- a menu of product bundles that are nested in the strong set order. Our approach…

We present a new duality theory for non-convex variational problems, under possibly mixed Dirichlet and Neumann boundary conditions. The dual problem reads nicely as a linear programming problem, and our main result states that there is no…

We study a seller who sells a single good to multiple bidders with uncertainty over the joint distribution of bidders' valuations, as well as bidders' higher-order beliefs about their opponents. The seller only knows the (possibly…

We study adaptive two-sided assortment optimization for revenue maximization in choice-based matching platforms. The platform has two sides of agents, an initiating side, and a responding side. The decision-maker sequentially selects agents…

We study one-shot Nash competition between an arbitrary number of identical dealers that compete for the order flow of a client. The client trades either because of proprietary information, exposure to idiosyncratic risk, or a mix of both…

We study Pareto-optimal risk sharing in economies with heterogeneous attitudes toward risk, where agents' preferences are modeled by distortion risk measures. Building on comonotonic and counter-monotonic improvement results, we show that…

We study the optimal pricing strategies of a monopolist selling a divisible good (service) to consumers that are embedded in a social network. A key feature of our model is that consumers experience a (positive) local network effect. In…

We investigate the problem of fair recommendation in the context of two-sided online platforms, comprising customers on one side and producers on the other. Traditionally, recommendation services in these platforms have focused on…

We study the solvability of the second boundary value problem for a class of highly singular fourth order equations of Monge-Amp\`ere type. They arise in the approximation of convex functionals subject to a convexity constraint using Abreu…

In practice, there are often explicit constraints on what representations or decisions are acceptable in an application of machine learning. For example it may be a legal requirement that a decision must not favour a particular group.…

Duality of linear programming is a standard approach to the classical weighted maximum matching problem. From an economic perspective, the dual variables can be regarded as prices of products and payoffs of buyers in a two-sided matching…