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NIPS
2008
15 years 9 months ago
Adapting to a Market Shock: Optimal Sequential Market-Making
We study the profit-maximization problem of a monopolistic market-maker who sets two-sided prices in an asset market. The sequential decision problem is hard to solve because the ...
Sanmay Das, Malik Magdon-Ismail
CAS
2008
68views more  CAS 2008»
15 years 7 months ago
Very Strongly Constrained Problems: an Ant Colony Optimization Approach
: Ant Colony Optimization (ACO) is a class of metaheuristic algorithms sharing the common approach of constructing a solution on the basis of information provided both by a standar...
Vittorio Maniezzo, Matteo Roffilli
IOR
2008
82views more  IOR 2008»
15 years 7 months ago
Heavy-Traffic Optimality of a Stochastic Network Under Utility-Maximizing Resource Allocation
We study a stochastic network that consists of a set of servers processing multiple classes of jobs. Each class of jobs requires a concurrent occupancy of several servers while be...
Heng-Qing Ye, David D. Yao
JGO
2008
111views more  JGO 2008»
15 years 7 months ago
A geometric framework for nonconvex optimization duality using augmented lagrangian functions
We provide a unifying geometric framework for the analysis of general classes of duality schemes and penalty methods for nonconvex constrained optimization problems. We present a ...
Angelia Nedic, Asuman E. Ozdaglar
AUTOMATICA
2005
92views more  AUTOMATICA 2005»
15 years 7 months ago
Resolving actuator redundancy - optimal control vs. control allocation
This paper considers actuator redundancy management for a class of overactuated nonlinear systems. Two tools for distributing the control effort among a redundant set of actuators...
Ola Härkegård, Torkel Glad