3期

最新文章

• Deterministic and Stochastic Frank-Wolfe Recursion on Probability Spaces AI翻译
  作者：Yu, Di; Henderson, Shane G.; Pasupathy, Raghu
  作者单位：Purdue University System; Purdue University; Cornell University
  摘要：Motivated by applications in emergency response and experimental design, we consider smooth stochastic optimization problems over probability measures supported on compact subsets of the Euclidean space. With the influence function as the variational object, we construct a deterministic Frank-Wolfe (dFW) recursion for probability spaces. The dFW recursion is made especially possible by a lemma that identifies the solution to the infinite-dimensional Frank-Wolfe subproblem as a Dirac measure co...
• Robust Sparsification for Matroid Intersection with Applications AI翻译
  作者：Huang, Chien-Chung; Sellier, Francois
  作者单位：Universite PSL; Centre National de la Recherche Scientifique (CNRS); Ecole Normale Superieure (ENS); Universite PSL; Ecole Normale Superieure (ENS); Universite PSL; MINES ParisTech
  摘要：Matroid intersection is a classical optimization problem where given two matroids over the same ground set, the goal is to find the largest common independent set. In this paper, we show that there exists a certain sparsifer: a subset of elements of size O(|Sopt| 1/E), where Sopt denotes the optimal solution, that is guaranteed to contain a 3/2 + E approximation while guaranteeing certain robustness properties. We call such a small subset a density constrained subset, which is inspired by the ...
• Analysis of the Primal-Dual Central Path for Nonlinear Semidefinite Optimization Without the Nondegeneracy Condition AI翻译
  作者：Okuno, Takayuki
  作者单位：Seikei University
  摘要：We study properties of the central path underlying a nonlinear semidefinite optimization problem, called an NSDP for short. The latest radical work on this topic was contributed by Yamashita and Yabe [Yamashita H, Yabe H (2012) Local and superlinear convergence of a primal-dual interior point method for nonlinear semidefinite programming. Mathematical Programming 132(1-2):1-30]: they proved that the Jacobian of a certain equation system derived from the Karush-Kuhn-Tucker (KKT) conditions of t...
• The Information Projection in Moment Inequality Models: Existence, Dual Representation, and Approximation AI翻译
  作者：Tabri, Rami
  作者单位：Monash University
  摘要：Relative entropy minimization is a widely used method in decisions and operations research that incorporates information through constraints on the underlying probability model. The solution is called information projection, and we present new results for its existence, exponential family representation, and approximation in the infinite-dimensional setting for moment inequality constraint sets, nesting both conditional and unconditional moments and allowing for an infinite number of such ineq...
• Converging Better Response Dynamics in Sender-Receiver Games AI翻译
  作者：Semirat, Stephan; Forges, Francoise
  作者单位：Communaute Universite Grenoble Alpes; Institut National Polytechnique de Grenoble; Centre National de la Recherche Scientifique (CNRS); Institut de Recherche pour le Developpement (IRD); Universite PSL; Laboratoire dEconomie de Dauphine LEDa; Universite Paris-Dauphine
  摘要：We consider information transmission between a sender, who has finitely many types, and a receiver, who must choose a decision in a real interval. The payoffs depend on the sender's type and the receiver's decision. We assume that the payoff functions are wellbehaved. We characterize the pure strategy perfect Bayesian equilibrium outcomes as incentive-compatible partitions of the sender's types. We propose an algorithm, which starts from the finest partition. Then, at every step, if the curren...
• Nash Equilibria for Dividend Distribution with Competition AI翻译
  作者：De Angelis, Tiziano; Gensbittel, Fabien; Villeneuve, Phane
  作者单位：University of Turin; Communaute d'universites et etablissements de Toulouse (Comue); Universite Toulouse 1 Capitole; Toulouse School of Economics
  摘要：We construct Nash equilibria in feedback form for a class of two-person stochastic games of singular control with absorption, arising from a stylized model for corporate finance. More precisely, the paper focuses on a strategic dynamic game in which two financially constrained firms operate in the same market. The firms distribute dividends and are faced with default risk. The strategic interaction arises from the fact that if one firm defaults, the other one becomes a monopolist and increases...
• On the Completeness of Several Fortification-Interdiction Games in the Polynomial Hierarchy AI翻译
  作者：Tomasaz, Alberto Boggio; Carvalho, Margarida; Cordone, Roberto; Hosteins, Pierre
  作者单位：University of Milan; Universite de Montreal; Universite de Montreal; University of Turin
  摘要：Fortification-interdiction games are trilevel adversarial games where two opponents act in succession to protect, disrupt, and simply use an infrastructure for a specific purpose. Many such games have been formulated and tackled in the literature through specific algorithmic methods; however, very few investigations exist on the completeness of such fortification problems in order to locate them rigorously in the polynomial hierarchy. We clarify the completeness status of several well-known fo...
• Two Typical Implementable Semismooth* Newton Methods for Generalized Equations Are G-Semismooth Newton Methods AI翻译
  作者：Chen, Liang; Sun, Defeng; Zhang, Wangyongquan
  作者单位：Hunan University; Hong Kong Polytechnic University
  摘要：Semismooth* Newton methods have been proposed in recent years targeting multivalued inclusion problems and have been successfully implemented to deal with several concrete generalized equations. In this paper, we show that two typical implementations of them that are available are exactly the applications of G-semismooth Newton methods for solving nonsmooth equations localized from these generalized equations. This new understanding expands the breadth of G-semismooth Newton methods in theory,...
• Stability for Nash Equilibrium Problems AI翻译
  作者：Diao, Ruoyu; Dai, Yu-Hong; Zhang, Liwei
  作者单位：Chinese Academy of Sciences; Academy of Mathematics & System Sciences, CAS; Chinese Academy of Sciences; University of Chinese Academy of Sciences, CAS; Northeastern University - China; Northeastern University - China
  摘要：Consider the stability properties of the Karush-Kuhn-Tucker (KKT) solution mapping SKKT for Nash equilibrium problems (NEPs) with canonical perturbations. Firstly, we obtain an exact characterization of the strong regularity of SKKT as well as an easily verified sufficient condition. Secondly, we propose equivalent conditions for the continuously differentiable single-valued localization of SKKT. Thirdly, the isolated calmness of SKKT is studied based on the I-property. The P-property is propo...
• Dynamic Portfolio Selection for Nonlinear Law-Dependent Preferences AI翻译
  作者：Liang, Zongxia; Xia, Jianming; Yuan, Fengyi
  作者单位：Tsinghua University; Chinese Academy of Sciences; Academy of Mathematics & System Sciences, CAS; University of Michigan System; University of Michigan
  摘要：This paper addresses the portfolio selection problem for nonlinear law-dependent preferences in continuous time, which inherently exhibit time inconsistency. Employing the method of the stochastic maximum principle, we establish verification theorems for equilibrium strategies, accommodating both random market coefficients and incomplete markets. We derive the first-order condition (FOC) for the equilibrium strategies, using a notion of functional derivatives with respect to probability distri...