-
作者：Dayanik, Savas; Sezer, Semih Onur
作者单位：Princeton University; Princeton University
摘要：In the compound Poisson disorder problem, arrival rate and/or jump distribution of some compound Poisson process changes suddenly at some unknown and unobservable time. The problem is to detect the change (or disorder) time as quickly as possible. A sudden regime shift may require some countermeasures be taken promptly, and a quickest detection rule can help with those efforts. We describe complete solution of the compound Poisson disorder problem with several standard Bayesian risk measures. ...
-
作者：Bayraktar, Erhan; Horst, Ulrich; Sircar, Ronnie
作者单位：University of Michigan System; University of Michigan; University of British Columbia; Princeton University; Princeton University
摘要：We study the effect of investor inertia on stock price fluctuations with a market microstructure model comprising many small investors who are inactive most of the time. It turns out that semi-Markov processes are tailor made for modelling inert investors. With a suitable scaling, we show that when the price is driven by the market imbalance, the log price process is approximated by a process with long-range dependence and non-Gaussian returns distributions, driven by a fractional Brownian mot...
-
作者：Benaim, Michel; Hofbauer, Josef; Sorin, Sylvain
作者单位：University of Neuchatel; University of London; University College London; University of Vienna; Sorbonne Universite
摘要：We apply the theoretical results on stochastic approximations and differential inclusions developed in Benaim et al. [M. Benaim, J. Hofbauer, S. Sorin. 2005. Stochastic approximations and differential inclusions. SIAM J. Control Optim. 44 328-348] to several adaptive processes used in game theory, including classical and generalized approachability, no-regret potential procedures (Hart and Mas-Colell [S. Hart, A. Mas-Colell. 2003. Regret-based continuous time dynamics. Games Econom. Behav. 45 ...
-
作者：Sun, Defeng
作者单位：National University of Singapore
摘要：For a locally optimal solution to the nonlinear semidefinite programming problem, under Robinson's constraint qualification, the following conditions are proved to be equivalent: the strong second-order sufficient condition and constraint nondegeneracy; the nonsingularity of Clarke's Jacobian of the Karush-Kuhn-Tucker system; the strong regularity of the Karush-Kuhn-Tucker point; and others.
-
作者：Garg, Rahul; Kapoor, Sanjiv
作者单位：International Business Machines (IBM); IBM India
摘要：In this paper we study algorithms for computing market equilibrium in markets with linear utility functions. The buyers in the market have an initial endowment given by a portfolio of goods. The market equilibrium problem is to compute a price vector that ensures market clearing, i.e., the demand of a positively priced good equals its supply, and given the prices, each buyer maximizes its utility. The problem is of considerable interest in economics. This paper presents a formulation of the ma...
-
作者：Ye, Jane J.
作者单位：University of Victoria
摘要：In this paper we consider the bilevel programming problem (BLPP), which is a sequence of two optimization problems where the constraint region of the upper-level problem is determined implicitly by the solution set to the lower-level problem. We extend well-known constraint qualifications for nonlinear programming problems such as the Abadie constraint qualification, the Kuhn-Tucker constraint qualification, the Zangwill constraint qualification, the Arrow-Hurwicz-Uzawa constraint qualificatio...
-
作者：Fleischer, Lisa K.; Letchford, Adam N.; Lodi, Andrea
作者单位：Dartmouth College; Lancaster University; University of Bologna
摘要：The comb inequalities are a well-known class of facet-inducing inequalities for the traveling salesman problem, defined in terms of certain vertex sets called the handle and the teeth. We say that a comb inequality is simple if the following holds for each tooth: Either the intersection of the tooth with the handle has cardinality one, or the part of the tooth outside the handle has cardinality one, or both. The simple comb inequalities generalize the classical 2-matching inequalities of Edmon...
-
作者：Chen, Xujin; Ding, Guoli; Hu, Xiaodong; Zang, Wenan
作者单位：Chinese Academy of Sciences; Louisiana State University System; Louisiana State University; University of Hong Kong
摘要：Let G be a graph with a nonnegative integral function w defined on V(G). A collection T of subsets of V(G) (repetition is allowed) is called a feedback vertex set packing in G if the removal of any member of 3 from G leaves a forest, and every vertex v is an element of V(G) is contained in at most w(v) members of F. The weight of a cycle C in G is the sum of w(v), over all vertices v of C. The purpose of this paper is to characterize all graphs with the property that, for any nonnegative integ...
