Integer programs with a fixed number of constraints are solvable in pseudo-polynomial time in the largest coefficient of any constraint. We give a new algorithm which improves the running time of t…
In this paper, we consider optimal stopping problems in their dual form. In this way, the optimal stopping problem can be reformulated as a problem of stochastic average approximation (SAA) that ca…
We study a risk-sharing economy where an arbitrary number of heterogeneous agents trades an arbitrary number of risky assets subject to quadratic transaction costs. For linear state dynamics, the f…
A strongly polynomial algorithm is developed for finding an integer-valued feasible st-flow of a given flow amount, which is decreasingly minimal on a specified subset F of edges in the sense that …
The price of anarchy (PoA) is a standard measure to quantify the inefficiency of equilibria in nonatomic congestion games. Most publications have focused on worst-case bounds for the PoA. Only a fe…
We study a classic problem in revenue management: quantity-based, single-resource revenue management with no-shows. In this problem, a firm observes a sequence of T customers requesting a service. …
We study separable plus quadratic (SPQ) polynomials, that is, polynomials that are the sum of univariate polynomials in different variables and a quadratic polynomial. Motivated by the fact that no…
We study one-shot Nash competition between an arbitrary number of identical dealers that compete for the order flow of a client. The client trades either because of proprietary information, exposur…
We study stochastic teams (known also as decentralized stochastic control problems or identical interest stochastic dynamic games) with large or countably infinite numbers of decision makers and ch…
The extended trust region subproblem (ETRS) of minimizing a quadratic objective over the unit ball with additional linear constraints has attracted a lot of attention in the last few years because …