We provide motivations for the correlated equilibrium solution concept from the game-theoretic and optimization perspectives. We then propose an algorithm that computes <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$${\varepsilon}$$</EquationSource> </InlineEquation> -correlated equilibria with global-optimal (i.e., maximum) expected social welfare for normal form...</equationsource></inlineequation>

While dynamic decision making has traditionally been represented as scenario trees, these may become severely intractable and difficult to compute with an increasing number of time periods. We present an alternative tractable approach to multiperiod international portfolio optimization based on...

We consider polynomial optimization problems pervaded by a sparsity pattern. It has been shown in [1, 2] that the optimal solution of a polynomial programming problem with structured sparsity can be computed by solving a series of semidefinite relaxations that possess the same kind of sparsity....