We consider a variation of the classical problem of finding prices which guarantee equilibrium in linear markets consisting of divisible goods and agents with money. Specificall...
Spyros Angelopoulos, Atish Das Sarma, Avner Magen,...
Solutions of the master equation are approximated using a hierarchy of models based on the solution of ordinary differential equations: the macroscopic equations, the linear noise...
We study a stochastic optimization problem that has its roots in financial portfolio design. The problem has a specified deterministic objective function and constraints on the co...
We propose solving continuous parametric simulation optimizations using a deterministic nonlinear optimization algorithm and sample-path simulations. The optimization problem is w...
Michael C. Ferris, Todd S. Munson, Krung Sinapirom...
We consider the problem of approximately integrating a Lipschitz function f (with a known Lipschitz constant) over an interval. The goal is to achieve an error of at most using as...