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作者：Anthropelos, Michail; Kupper, Michael; Papapantoleon, Antonis
作者单位：University of Piraeus; University of Konstanz; Technical University of Berlin
摘要：We consider a market model that consists of financial investors and producers of a commodity. Producers optionally store some production for future sale and go short on forward contracts to hedge the uncertainty of the future commodity price. Financial investors take positions in these contracts to diversify their portfolios. The spot and forward equilibrium commodity prices are endogenously derived as the outcome of the interaction between producers and investors. Assuming that both are utili...
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作者：Lemieux, Christiane
作者单位：University of Waterloo
摘要：In this paper, we provide a framework to study the dependence structure of sampling schemes such as those produced by randomized quasi-Monte Carlo methods. The main goal of this new framework is to determine conditions under which the negative dependence structure of a sampling scheme enables the construction of estimators with reduced variance compared to Monte Carlo estimators. To do this, we establish a generalization of the well-known Hoeffding's lemma-expressing the covariance of two rand...
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作者：Bielecki, Tomasz R.; Cialenco, Igor; Pitera, Marcin
作者单位：Illinois Institute of Technology; Jagiellonian University
摘要：In this paper, we provide a flexible framework allowing for a unified study of time consistency of risk measures and performance measures (also known as acceptability indices). The proposed framework not only integrates existing forms of time consistency, but also provides a comprehensive toolbox for analysis and synthesis of the concept of time consistency in decision making. In particular, it allows for in-depth comparative analysis of (most of) the existing types of time consistency-a feat ...
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作者：Babichenko, Yakov
作者单位：Technion Israel Institute of Technology
摘要：We consider small-influence aggregative games with a large number of players n. For this class of games we present a best-reply dynamic with the following two properties. First, the dynamic reaches Nash approximate equilibria in quasi-linear (in n) number of steps, and the quasi-linear bound is tight. Second, Nash approximate equilibria are played by the dynamic with a limit frequency that is exponentially (in n) close to 1.
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作者：Carbonell-Nicolau, Oriol; McLean, Richard P.
作者单位：Rutgers University System; Rutgers University New Brunswick
摘要：We furnish conditions on the primitives of a Bayesian game that guarantee the existence of a Bayes-Nash equilibrium. By allowing for payoff discontinuities in actions, we cover various applications that cannot be handled by extant results.
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作者：Birge, John R.; Bo, Lijun; Capponi, Agostino
作者单位：University of Chicago; Chinese Academy of Sciences; University of Science & Technology of China, CAS; Chinese Academy of Sciences; Columbia University
摘要：We consider an optimal risk-sensitive portfolio allocation problem accounting for the possibility of cascading defaults. Default events have an impact on the distress state of the surviving stocks in the portfolio. We study the recursive system of non-Lipschitz quasilinear parabolic HJB-PDEs associated with the value function of the control problem in the different default states of the economy. We show the existence of a classical solution to this system via super-sub solution techniques and ...
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作者：Dey, Santanu S.; Molinaro, Marco; Wang, Qianyi
作者单位：University System of Georgia; Georgia Institute of Technology; Pontificia Universidade Catolica do Rio de Janeiro
摘要：In this paper, we present an analysis of the strength of sparse cutting planes for mixed integer linear programs (MILP) with sparse formulations. We examine three kinds of problems: packing problems, covering problems, and more general MILPs with the only assumption that the objective function is nonnegative. Given an MILP instance of one of these three types, assume that we decide on the support of cutting planes to be used and the strongest inequalities on these supports are added to the lin...
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作者：Grabisch, Michel; Mandel, Antoine; Rusinowska, Agnieszka; Tanimura, Emily
作者单位：Paris School of Economics; Paris School of Economics; Centre National de la Recherche Scientifique (CNRS)
摘要：We consider a model of influence with a set of nonstrategic agents and two strategic agents. The nonstrategic agents have initial opinions and are linked through a simply connected network. They update their opinions as in the DeGroot model. The two strategic agents have fixed and opposed opinions. They each form a link with a nonstrategic agent in order to influence the average opinion that emerges due to interactions in the network. This procedure defines a zero-sum game whose players are th...
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作者：Ding, Guoli; Tan, Lei; Zang, Wenan
作者单位：Louisiana State University System; Louisiana State University; University of Hong Kong
摘要：Let G = (V, E) be a graph. The matching polytope of G, denoted by P(G), is the convex hull of the incidence vectors of all matchings in G. As proved by Edmonds [10] [Edmonds J (1965) Maximum matching and a polyhedron with 0, 1-vertices, J. Res. Nat. Bur. Standards Sect. B 69(1-2):125-130.], P(G) is determined by the following linear system pi(G): x(e) (3) 0 for each e is an element of E; x(delta(v)) <= 1 for each v is an element of V; and x(E[U]) <= left perpendicular(1/2)|U|right perpendicula...
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作者：Lu, Zhaosong; Chen, Xiaojun
作者单位：Simon Fraser University; Hong Kong Polytechnic University
摘要：The conjugate gradient (CG) method is an efficient iterative method for solving large-scale strongly convex quadratic programming (QP). In this paper, we propose some generalized CG (GCG) methods for solving the l(1)-regularized (possibly not strongly) convex QP that terminate at an optimal solution in a finite number of iterations. At each iteration, our methods first identify a face of an orthant and then either perform an exact line search along the direction of the negative projected minim...
