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Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：Policy Choice in Time Series by Empirical Welfare Maximization
经验福利 最大化 时间序列 政策选择
2023/4/25
This paper develops a novel method for policy choice in a dynamic setting where the available data is a multivariate time series. Building on the statistical treatment choice framework, we propose Tim...
Determinant maximization with linear matrix inequality constraints
Matrix linear matrix inequality (lmi) computational geometry statistics system identification communication theory
2015/8/11
The problem of maximizing the determinant of a matrix subject to linear matrix inequalities arises in many fields, including computational geometry, statistics, system identification, experiment desig...
Maximization of the second conformal eigenvalue of spheres
Maximization the second conformal eigenvalue spheres Spectral Theory
2012/6/14
We establish in this paper an upper bound on the second eigenvalue of n-dimensional spheres in the conformal class of the round sphere. This upper bound holds in all dimensions and is asymptotically s...
Robust Maximization of Asymptotic Growth under Covariance Uncertainty
Robust Maximization of Asymptotic Growth Covariance Uncertainty Portfolio Management
2011/10/8
Abstract: This paper resolves a question proposed in Kardaras and Robertson (2011): how to invest in a robust growth-optimal way in a market where precise knowledge of the covariance structure of the ...
Stability of exponential utility maximization with respect to market perturbations
exponential utility maximization market perturbations Portfolio Management
2011/10/8
Abstract: We investigate the continuity of expected exponential utility maximization with respect to perturbation of the Sharpe ratio of markets. By focusing only on continuity, we impose weaker regul...
BSDEs in Utility Maximization with BMO Market Price of Risk
Quadratic BSDEs BMO Market Price of Risk Power Utility Maximization Dynamic Exponential Moments
2011/8/22
Abstract: This article studies quadratic semimartingale BSDEs arising in power utility maximization when the market price of risk is of BMO type. In a Brownian setting we provide a necessary and suffi...
The Stability of the Constrained Utility Maximization Problem - A BSDE Approach
Utility Maximization Duality Theory Quadratic Semimartingale BSDEs Stability
2011/8/23
Abstract: This article studies the sensitivity of the power utility maximization problem with respect to the investor's relative risk aversion, the statistical probability measure, the investment cons...
Delay-Aware Cross-Layer Design for Network Utility Maximization in Multi-hop Networks
Delay-Aware Cross-Layer Network Utility Maximization Multi-hop Networks
2011/1/19
We investigate the problem of designing delay-aware joint flow control, routing, and scheduling algorithms in general multi-hop networks for maximizing network utilization. Since
the end-to-end delay...
Delay Constrained Utility Maximization in Multihop Random Access Networks
Delay Constrained Utility Maximization Multihop Random Access Networks
2010/11/24
Multi-hop random access networks have received much attention due to their distributed nature which facilitates deploying many new applications over the sensor and computer networks. Recently, utilit...
Robust Rate-Maximization Game Under Bounded Channel Uncertainty
Robust Rate-Maximization Channel Uncertainty
2010/11/12
We consider the problem of decentralized power allocation for competitive rate-maximization in a frequency-selective Gaussian interference channel under bounded channel uncertainty. We formulate a dis...
Goodput Maximization in Cooperative Networks with ARQ
Goodput Maximization Cooperative Networks ARQ
2010/12/15
In this paper, the average successful throughput,i.e., goodput, of a coded 3-node cooperative network is studied in a Rayleigh fading environment. It is assumed that a simple automatic repeat request ...
Risk Aversion Asymptotics for Power Utility Maximization
power utility risk aversion asymptotics opportunity process BSDE
2010/4/27
We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to infinity or to one. The convergence of t...
Utility Maximization of an Indivisible Market with Transaction Costs
Utility optimization indivisibl emarket transaction cost continuity of valuefunction quasi-variational inequality
2010/4/27
This work takes up the challenges of utility maximization problem when the market is indivisible and the transaction costs are included. First there is a so-called solvency region given by the minimum...
Companies' decisions for profit maximization: A structural model
Equilibrium model Technology renewal
2010/9/14
Huge analyses on firms data selected from public available databases accomplished the task to describe the size and growth of firms through interpolating functions. The structure and internal firms or...
Maximization for Inner Products Under Quasi-Monotone Constraints
Inner Products Recurrence Monotonicity Discretization Global Optimization
2008/6/30
This paper studies optimization for inner products of real vectors assuming monotonicity properties for the entries in one of the vectors. Resulting inequalities have been useful recently in bounding ...