相关论文: Fisher Meets Lindahl: A Unified Duality Framework …

I introduce a concave function of allocations and prices -- the economy's potential -- which measures the difference between utilitarian social welfare and its dual. I show that Walrasian equilibria correspond to roots of the potential:…

We study a discrete-time financial market with a single constrained trader, competitive market makers, and noise traders. Within the class of linear equilibria, the equilibrium structure is shown to be uniquely determined by two state…

Frequent violations of fair principles in real-life settings raise the fundamental question of whether such principles can guarantee the existence of a self-enforcing equilibrium in a free economy. We show that elementary principles of…

We consider a stochastic financial incomplete market where the price processes are described by a vector-valued semimartingale that is possibly nonlocally bounded. We face the classical problem of utility maximization from terminal wealth,…

Nonconvexities in markets with discrete decisions and nonlinear constraints make efficient pricing challenging, often necessitating subsidies. A prime example is the unit commitment (UC) problem in electricity markets, where costly…

The supply function equilibrium (SFE) is a model for competition in markets where each firm offers a schedule of prices and quantities to face demand uncertainty, and has been successfully applied to wholesale electricity markets. However,…

Deploying mathematical optimization in autonomous production systems requires precise contracts for objects returned by an optimization solver. Unfortunately, conventions on dual solution and infeasibility certificates (rays) vary widely…

We consider two market designs for a network of prosumers, trading energy: (i) a centralized design which acts as a benchmark, and (ii) a peer-to-peer market design. High renewable energy penetration requires that the energy market design…

We introduce a new class of combinatorial markets in which agents have covering constraints over resources required and are interested in delay minimization. Our market model is applicable to several settings including scheduling, cloud…

We study resource allocation in two-sided markets from a fundamental perspective and introduce a general modeling and algorithmic framework to effectively incorporate the complex and multidimensional aspects of fairness. Our main technical…

We revisit the classical topic of quadratic and linear mean-variance equilibria with both financial and real assets. The novelty of our results is that they are the first allowing for equilibrium prices driven by general semimartingales and…

We present a possible kind of generalization of the notion of ordered pairs of cyclic maps and coupled fixed points and its application in modelling of equilibrium in oligopoly markets. We have obtained sufficient conditions for the…

Agents attempt to maximize expected profits earned by selling multiple units of a perishable product where their revenue streams are affected by the prices they quote as well as the distribution of other prices quoted in the market by other…

This paper solves a utility maximization problem under utility-based shortfall risk constraint, by proposing an approach using Lagrange multiplier and convex duality. Under mild conditions on the asymptotic elasticity of the utility…

This paper studies the problem of maximizing the social welfare while stabilizing both the physical power network as well as the market dynamics. For the physical power grid a third-order structure-preserving model is considered involving…

Recently, several new pari-mutuel mechanisms have been introduced to organize markets for contingent claims. Hanson introduced a market maker derived from the logarithmic scoring rule, and later Chen and Pennock developed a cost function…

This paper investigates the decentralized provision of public goods in directed networks. We establish a correspondence between kernels in graph theory and specialized equilibria in which players either contribute a fixed threshold amount…

Projected gradient ascent is known to satisfy no-external regret as a learning algorithm. However, recent empirical work shows that projected gradient ascent often finds the Nash equilibrium in settings beyond two-player zero-sum…

A celebrated financial application of convex duality theory gives an explicit relation between the following two quantities: (i) The optimal terminal wealth $X^*(T) : = X_{\varphi^*}(T)$ of the problem to maximize the expected $U$-utility…

The rise of distributed and privacy-preserving machine learning has sparked interest in decentralized gradient marketplaces, where participants trade intermediate artifacts like gradients. However, existing Federated Learning (FL)…