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作者：Cerny, Ales; Czichowsky, Christoph; Kallsen, Jan
作者单位：City St Georges, University of London; University of London; London School Economics & Political Science; University of Kiel
摘要：The paper investigates quadratic hedging in a semimartingale market that does not necessarily contain a risk-free asset. An equivalence result for hedging with and without numeraire change is established. This permits direct computation of the optimal strategy without choosing a reference asset and/or performing a numeraire change. New explicit expressions for optimal strategies are obtained, featuring the use of oblique projections that provide unified treatment of the case with and without a...
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作者：Hoai An Le Thi; Van Ngai Huynh; Tao Pham Dinh
作者单位：Universite de Lorraine; Institut Universitaire de France
摘要：We address the so-called DC (difference -of -convex functions) composite minimization problems (or DC composite programs ) whose objective function is a composition of a DC function with a continuously differentiable mapping. We first develop an algorithm named DC composite algorithm (DCCA in short) for unconstrained DC composite programs and further extend to DC composite programs with constraints of inclusion associated with a smooth mapping and a closed convex set. The convergence analysis ...
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作者：Glover, Kristoffer; Peskir, Goran
作者单位：University of Technology Sydney; University of Manchester
摘要：Consider an Ornstein-Uhlenbeck process that initially reverts to zero at a known mean-reversion rate beta 0, and then after some random/unobservable time, this meanreversion rate is changed to beta 1. Assuming that the process is observed in real time, the problem is to detect when exactly this change occurs as accurately as possible. We solve this problem in the most uncertain scenario when the random/unobservable time is (i) exponentially distributed and (ii) independent from the process pri...
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作者：Liang, Jiaming; Monteiro, Renato D. C.
作者单位：Yale University; University System of Georgia; Georgia Institute of Technology
摘要：This paper presents a proximal bundle (PB) framework based on a generic bun-dle update scheme for solving the hybrid convex composite optimization (HCCO) problem and establishes a common iteration-complexity bound for any variant belonging to it. As a consequence, iteration-complexity bounds for three PB variants based on different bundle update schemes are obtained in the HCCO context for the first time and in a unified man-ner. Although two of the PB variants are universal (i.e., their imple...
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作者：Eckstein, Stephan; Nutz, Marcel
作者单位：Swiss Federal Institutes of Technology Domain; ETH Zurich; Columbia University; Columbia University
摘要：We study the convergence of divergence-regularized optimal transport as the reg-ularization parameter vanishes. Sharp rates for general divergences including relative entropy or Lp regularization, general transport costs, and multimarginal problems are obtained. A novel methodology using quantization and martingale couplings is suitable for noncompact marginals and achieves, in particular, the sharp leading-order term of entropically regularized 2-Wasserstein distance for marginals with a fini...
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作者：Eden, Alon; Feldman, Michal; Fiat, Amos; Goldner, Kira; Karlin, Anna R.
作者单位：Hebrew University of Jerusalem; Tel Aviv University; Boston University; University of Washington; University of Washington Seattle
摘要：. We study combinatorial auctions with interdependent valuations, where each agent i has a private signal si that captures her private information and the valuation func-tion of every agent depends on the entire signal profile, s(s1,:::,sn). The literature in eco-nomics shows that the interdependent model gives rise to strong impossibility results and identifies assumptions under which optimal solutions can be attained. The computer sci-ence literature provides approximation results for simple...
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作者：Na, Sen; Anitescu, Mihai; Kolar, Mladen
作者单位：University of California System; University of California Berkeley; University of California System; University of California Berkeley; United States Department of Energy (DOE); Argonne National Laboratory; University of Chicago
摘要：We propose a fast temporal decomposition procedure for solving long -horizon nonlinear dynamic programs. The core of the procedure is sequential quadratic programming (SQP) that utilizes a differentiable exact augmented Lagrangian as the merit function. Within each SQP iteration, we approximately solve the Newton system using an overlapping temporal decomposition strategy. We show that the approximate search direction is still a descent direction of the augmented Lagrangian provided the overla...
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作者：Haasler, Isabel; Ringh, Axel; Chen, Yongxin; Karlsson, Johan
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Chalmers University of Technology; University of Gothenburg; University System of Georgia; Georgia Institute of Technology; Royal Institute of Technology
摘要：In this work, we develop a new framework for dynamic network flow problems based on optimal transport theory. We show that the dynamic multicommodity minimum-cost network flow problem can be formulated as a multimarginal optimal transport problem, where the cost function and the constraints on the marginals are associated with a graph structure. By exploiting these structures and building on recent advances in optimal transport theory, we develop an efficient method for such entropyregularized...
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作者：Blanchard, Moise; Jacquillat, Alexandre; Jaillet, Patrick
作者单位：Massachusetts Institute of Technology (MIT)
摘要：This article may be used only for the purposes of research, teaching, and/or private study. Commercial use or systematic downloading (by robots or other automatic processes) is prohibited without explicit Publisher approval, unless otherwise noted. For more information, contact permissions@informs.org. The Publisher does not warrant or guarantee the article's accuracy, completeness, merchantability, fitness for a particular purpose, or non-infringement. Descriptions of, or references to, produ...
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作者：Dutting, Paul; Lattanzi, Silvio; Leme, Renato Paes; Vassilvitskii, Sergei
作者单位：Alphabet Inc.; Google Incorporated; Alphabet Inc.; Google Incorporated
摘要：The secretary problem is probably the purest model of decision making under uncertainty. In this paper, we ask which advice we can give the algorithm to improve its suc-cess probability. We propose a general model that unifies a broad range of problems: from the classic secretary problem with no advice to the variant where the quality of a secretary is drawn from a known distribution and the algorithm learns each candidate's quality on arrival, more modern versions of advice in the form of sam...
