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Measuring the power of nodes in digraphs

Herings, Peter Jean-Jacques; Laan, Gerard van der; … - 2001

Many economic and social situations can be represented by a digraph. Both axiomatic and iterativemethods to determine the strength or power of all the nodes in a digraph have been proposed inthe literature. We propose a new method, where the power of a node is determined by both thenumber of its...

Persistent link: https://www.econbiz.de/10011318587

A Discrete Mathematical Model for Chaotic Dynamics in Economics : Kaldor's Model on Business Cycle

Orlando, Giuseppe - 2017

This paper, following Kaldor's approach, is written with the intention of interpreting fluctuations of economic systems (i.e trade cycles). In particular, a new discretized Kaldor model is proposed, which is also useful to explain what appears to be random and unpredictable, such as economic...

Persistent link: https://www.econbiz.de/10012956312

Chapter 5: Exponential and logarithmic functions

Todorova, Tamara - 2010

"Problems Book to Accompany Mathematics for Economists" is intended to complement any course in quantitative methods in … aimed as an inexpensive supplement to nearly all undergraduate courses in mathematics for economists with the exception of … economics. The book supplements one of the most widely used texts "Mathematics for Economists" by Carl Simon and Laurence Blume …

Persistent link: https://www.econbiz.de/10011774202

Portfolio Mathematics with General Linear and Quadratic Constraints

Stowe, David L. - 2017

tracking error to a benchmark. Although the mathematics behind such relationships are similar to the mean/variance problem, the …

Persistent link: https://www.econbiz.de/10012961547

A Framework of Conjugate Direction Methods for Symmetric Linear Systems in Optimization

Fasano, Giovanni - 2014

In this paper we introduce a parameter dependent class of Krylov-based methods, namely CD, for the solution of symmetric linear systems. We give evidence that in our proposal we generate sequences of conjugate directions, extending some properties of the standard Conjugate Gradient (CG) method,...

Persistent link: https://www.econbiz.de/10014037832

Characterizing Properties of Stochastic Objective Functions

Athey, Susan - 2013

This paper develops tools for analyzing properties of stochastic objective functions which take the form (formula). The paper analyzes the relationship between properties of the primitive functions, such as utility functions u and probability distributions F, and properties of the stochastic...

Persistent link: https://www.econbiz.de/10014046784

Parallel Scheduling of Multiclass M/M/M Queues : Approximate and Heavy-Traffic Optimization of Achievable Performance

Glazebrook, Kevin D.; Niño-Mora, José - 2001

We address the problem of scheduling a multiclass "M/M/m" queue with Bernoulli feedback on "m" parallel servers to minimize time-average linear holding costs. We analyze the performance of a heuristic priority-index rule, which extends Klimov's optimal solution to the single-server case: servers...

Persistent link: https://www.econbiz.de/10014159152

Infinite Horizon Dynamic Optimization With Unbounded Returns : Necessity, Sufficiency, Existence, Uniqueness, Convergence and a Sequence of Counterexamples

Wiszniewska-Matyszkiel, Agnieszka - 2018

In this paper, we state sufficiency, necessity, convergence, existence and uniqueness results for infinite horizon optimal control problems with unbounded payoffs in which the assumptions are very weak and there are no topological assumptions about the model components. We also state a sequence...

Persistent link: https://www.econbiz.de/10012907112

Optimal Transport for Model Calibration

Guo, Ivan; Loeper, Gregoire; Obłój, Jan; Wang, Shiyi - 2021

We provide a survey of recent results on model calibration by Optimal Transport. We present the general framework and then discuss the calibration of local, and local-stochastic, volatility models to European options, the joint VIX/SPX calibration problem as well as calibration to some...

Persistent link: https://www.econbiz.de/10013220253

On the Optimality of Regularity in Mixing Markovian Decision Rules for MDP Control

Van der Laan, Dinard - 2010

In this paper we study Markov Decision Process (MDP) problems with the restriction that at decision epochs only a finite number of given Markovian decision rules may be applied. The elements of the finite set of allowed decision rules should be mixed to improve the performance. The set of...

Persistent link: https://www.econbiz.de/10013146330