Imitators and Optimizers in Cournot Oligopoly

We present a formal model of symmetric n-firm Cournot oligopoly with a heterogeneous population of profit optimizers and imitators. Imitators mimic the output decision of the most successful firms of the previous round a la Vega-Redondo (1997). Optimizers play myopic best response to the opponents' previous output. The dynamics of the decision rules induce a Markov chain. As expression of bounded rationality, firms are allowed to make mistakes and deviate from the decision rules with a small probability. Applying stochastic stability analysis, we characterize the long run behavior of the oligopoly. We find that the long run distribution converges to a recurrent set of states in which imitators are better off than optimizers. This finding appears to be robust even when optimizers are more sophisticated. It suggests that imitators drive optimizers out of the market contradicting a fundamental conjecture by Friedman (1953).imitation, myopic best reply, bounded rationality, profit maximization hypothesis, stochastic stability, learning, Stackelberg

From Infinite to Finite Programs: Explicit Error Bounds with Applications to Approximate Dynamic Programming

We consider linear programming (LP) problems in infinite dimensional spaces that are in general computationally intractable. Under suitable assumptions, we develop an approximation bridge from the infinite-dimensional LP to tractable finite convex programs in which the performance of the approximation is quantified explicitly. To this end, we adopt the recent developments in two areas of randomized optimization and first order methods, leading to a priori as well as a posterior performance guarantees. We illustrate the generality and implications of our theoretical results in the special case of the long-run average cost and discounted cost optimal control problems for Markov decision processes on Borel spaces. The applicability of the theoretical results is demonstrated through a constrained linear quadratic optimal control problem and a fisheries management problem.Comment: 30 pages, 5 figure

Polly's Polyhedral Scheduling in the Presence of Reductions

The polyhedral model provides a powerful mathematical abstraction to enable effective optimization of loop nests with respect to a given optimization goal, e.g., exploiting parallelism. Unexploited reduction properties are a frequent reason for polyhedral optimizers to assume parallelism prohibiting dependences. To our knowledge, no polyhedral loop optimizer available in any production compiler provides support for reductions. In this paper, we show that leveraging the parallelism of reductions can lead to a significant performance increase. We give a precise, dependence based, definition of reductions and discuss ways to extend polyhedral optimization to exploit the associativity and commutativity of reduction computations. We have implemented a reduction-enabled scheduling approach in the Polly polyhedral optimizer and evaluate it on the standard Polybench 3.2 benchmark suite. We were able to detect and model all 52 arithmetic reductions and achieve speedups up to 2.21$\times$ on a quad core machine by exploiting the multidimensional reduction in the BiCG benchmark.Comment: Presented at the IMPACT15 worksho

Optimal investment and price dependence in a semi-static market

This paper studies the problem of maximizing expected utility from terminal wealth in a semi-static market composed of derivative securities, which we assume can be traded only at time zero, and of stocks, which can be traded continuously in time and are modeled as locally-bounded semi-martingales. Using a general utility function defined on the positive real line, we first study existence and uniqueness of the solution, and then we consider the dependence of the outputs of the utility maximization problem on the price of the derivatives, investigating not only stability but also differentiability, monotonicity, convexity and limiting properties.Comment: 31 pages. I have decided to merge the paper arXiv:1210.5466 with the version 1 of the present paper. This version 2 is the result of the merg

Multi-marginal optimal transport: theory and applications

Over the past five years, multi-marginal optimal transport, a generalization of the well known optimal transport problem of Monge and Kantorovich, has begun to attract considerable attention, due in part to a wide variety of emerging applications. Here, we survey this problem, addressing fundamental theoretical questions including the uniqueness and structure of solutions. The (partial) answers to these questions uncover a surprising divergence from the classical two marginal setting, and reflect a delicate dependence on the cost function. We go one to describe two applications of the multi-marginal problem.Comment: Typos corrected and minor changes to presentatio