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作者：Facchinei, Francisco; Kungurtsev, Vyacheslav; Lampariello, Lorenzo; Scutari, Gesualdo
作者单位：Sapienza University Rome; Czech Technical University Prague; Roma Tre University; Purdue University System; Purdue University
摘要：We consider nonconvex constrained optimization problems and propose a new approach to the convergence analysis based on penalty functions. We make use of classical penalty functions in an unconventional way, in that penalty functions only enter in the theoretical analysis of convergence while the algorithm itself is penalty free. Based on this idea, we are able to establish several new results, including the first general analysis for diminishing stepsize methods in nonconvex, constrained opti...
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作者：Callegaro, Giorgla; Grasselli, Martino; Pages, Gilles
作者单位：University of Padua; Universite Paris Cite; Sorbonne Universite
摘要：We solve a family of fractional Riccati equations with constant (possibly complex) coefficients. These equations arise, for example, in fractional Heston stochastic volatility models, which have received great attention in the recent financial literature because of their ability to reproduce a rough volatility behavior. We first consider the case of a zero initial value corresponding to the characteristic function of the log-price. Then we investigate the case of a general starting value assoc...
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作者：Olvera-Cravioto, Mariana; Ruiz-Lacedelli, Octavio
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; Columbia University
摘要：Motivated by database locking problems in today's massive computing systems, we analyze a queueing network with many servers in parallel (files) to which jobs (writing access requests) arrive according to a Poisson process. Each job requests simultaneous access to a random number of files in the database and will lock them for a random period of time. Alternatively, one can think of a queueing system where jobs are split into several fragments that are then randomly routed to specific servers ...
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作者：Olszewski, Wojciech
作者单位：Northwestern University
摘要：The result that says the sequence of iterations x(k+1) =f(x(k)) converges if f : [0,1] -> [0,1] is an increasing function has numerous applications in elementary economic analysis. I generalize this simple result to some mappings f : S subset of [0,1](n) -> S. The applications of the new result include the convergence of the best-response dynamics in the general version of the Crawford and Sobel model and in some versions of the Hotelling and Tiebout models.
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作者：Fu, Guanxing; Graewe, Paulwin; Horst, Ulrich; Popier, Alexandre
作者单位：Hong Kong Polytechnic University; Deloitte Touche Tohmatsu Limited; Humboldt University of Berlin; Humboldt University of Berlin; Le Mans Universite
摘要：We consider a mean field game (MFG) of optimal portfolio liquidation under asymmetric information. We prove that the solution to the MFG can be characterized in terms of a forward-backward stochastic differential equation (FBSDE) with a possibly singular terminal condition on the backward component or, equivalently, in terms of an FBSDE with a finite terminal value yet a singular driver. Extending the method of continuation to linear-quadratic FBSDEs with a singular driver, we prove that the M...
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作者：Dogan, Battal; Dogan, Serhat; Yildiz, Kemal
作者单位：University of Bristol; Ihsan Dogramaci Bilkent University
摘要：Each capacity filling and substitutable choice rule is known to have a maximizer-collecting representation: There exists a list of priority orderings such that from each choice set that includes more alternatives than the capacity, the choice is the union of the priority orderings' maximizers. We introduce the notion of a critical set and constructively prove that the number of critical sets for a choice rule determines its smallest-size maximizer-collecting representation. We show that respon...
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作者：Pivato, Marcus
作者单位：CY Cergy Paris Universite
摘要：We consider a model of intertemporal choice where time is a continuum, the set of instantaneous outcomes (e.g., consumption bundles) is a topological space, and intertemporal plans (e.g., consumption streams) must be continuous functions of time. We assume that the agent can form preferences over plans defined on open time intervals. We axiomatically characterize the intertemporal preferences that admit a representation via discounted utility integrals. In this representation, the utility func...
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作者：El Housni, Omar; Goyal, Vineet
作者单位：Columbia University
摘要：In this paper, we study the performance of affine policies for a two-stage, adjustable, robust optimization problem with a fixed recourse and an uncertain right-hand side belonging to a budgeted uncertainty set. This is an important class of uncertainty sets, widely used in practice, in which we can specify a budget on the adversarial deviations of the uncertain parameters from the nominal values to adjust the level of conservatism. The two-stage adjustable robust optimization problem is hard ...
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作者：Bot, Radu Ioan; Dao, Minh N.; Li, Guoyin
作者单位：University of Vienna; Federation University Australia; University of New South Wales Sydney
摘要：In this paper, we consider a broad class of nonsmooth and nonconvex fractional programs, which encompass many important modern optimization problems arising from diverse areas such as the recently proposed scale-invariant sparse signal reconstruction problem in signal processing. We propose a proximal subgradient algorithm with extrapolations for solving this optimization model and show that the iterated sequence generated by the algorithm is bounded and that any one of its limit points is a s...
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作者：Correa, Jose; Foncea, Patricio; Hoeksma, Ruben; Oosterwijk, Tim; Vredeveld, Tjark
作者单位：Universidad de Chile; Massachusetts Institute of Technology (MIT); University of Twente; Maastricht University
摘要：The classic prophet inequality states that, when faced with a finite sequence of nonnegative independent random variables, a gambler who knows the distribution and is allowed to stop the sequence at any time, can obtain, in expectation, at least half as much reward as a prophet who knows the values of each random variable and can choose the largest one. In this work, we consider the situation in which the sequence comes in random order. We look at both a nonadaptive and an adaptive version of ...
