2,046 research outputs found
Negotiation Games
Negotiations, a model of concurrency with multi party negotiation as
primitive, have been recently introduced by J. Desel and J. Esparza. We
initiate the study of games for this model. We study coalition problems: can a
given coalition of agents force that a negotiation terminates (resp. block the
negotiation so that it goes on forever)?; can the coalition force a given
outcome of the negotiation? We show that for arbitrary negotiations the
problems are EXPTIME-complete. Then we show that for sound and deterministic or
even weakly deterministic negotiations the problems can be solved in PTIME.
Notice that the input of the problems is a negotiation, which can be
exponentially more compact than its state space.Comment: In Proceedings GandALF 2015, arXiv:1509.06858. arXiv admin note:
substantial text overlap with arXiv:1405.682
Deciding to peg the exchange rate in developing countries: the role of private-sector debt
We argue that a higher share of the private sector in a country's external debt raises the incentive to stabilize the exchange rate. We present a simple model in which exchange rate volatility does not affect agents' welfare if all the debt is incurred by the government. Once we introduce private banks who borrow in foreign currency and lend to domestic firms, the monetary authority has an incentive to dampen the distributional consequences of exchange rate fluctuations. Our empirical results support the hypothesis that not only the level, but also the composition of foreign debt matters for exchange-rate policy. --Exchange rate regimes,foreign debt,monetary policy
Deciding to Peg the Exchange Rate in Developing Countries:The Role of Private-Sector Debt
We argue that a higher share of the private sector in a country’s external debt raises the incentive to stabilize the exchange rate. We present a simple model in which exchange rate volatility does not affect agents’ welfare if all the debt is incurred by the government. Once we introduce private banks who borrow in foreign currency and lend to domestic firms, the monetary authority has an incentive to dampen the distributional consequences of exchange rate fluctuations. Our empirical results support the hypothesis that not only the level, but also the composition of foreign debt matters for exchange-rate policy.
On Approximate Nonlinear Gaussian Message Passing On Factor Graphs
Factor graphs have recently gained increasing attention as a unified
framework for representing and constructing algorithms for signal processing,
estimation, and control. One capability that does not seem to be well explored
within the factor graph tool kit is the ability to handle deterministic
nonlinear transformations, such as those occurring in nonlinear filtering and
smoothing problems, using tabulated message passing rules. In this
contribution, we provide general forward (filtering) and backward (smoothing)
approximate Gaussian message passing rules for deterministic nonlinear
transformation nodes in arbitrary factor graphs fulfilling a Markov property,
based on numerical quadrature procedures for the forward pass and a
Rauch-Tung-Striebel-type approximation of the backward pass. These message
passing rules can be employed for deriving many algorithms for solving
nonlinear problems using factor graphs, as is illustrated by the proposition of
a nonlinear modified Bryson-Frazier (MBF) smoother based on the presented
message passing rules
Constrained optimal discriminating designs for Fourier regression models
In this article, the problem of constructing efficient discriminating designs in a Fourier regression model is considered. We propose designs which maximize the efficiency for the estimation of the coefficient corresponding to the highest frequency subject to the constraints that the coefficients of the lower frequencies are estimated with at least some given efficiency. A complete solution is presented using the theory of canonical moments, and for the special case of equal constraints the optimal designs can be found analytically. --Constrained optimal designs,trigonometric regression,D1-optimal designs,Chebyshev polynomials,canonical moments
The Home Bias in Equities and Distribution Costs
We show that including distribution costs into a general equilibrium model of inter- national portfolio choice contributes to explaining the "home bias" in international equity investment. Our model is able to replicate observed investment positions for a wide range of parameter values, even if agents have an incentive to hedge labor income risk by purchasing foreign equity. This is because the existence of a retail sector affects both the correlation of domestic returns with the domestic price level and the correlation between financial and nonfinancial income.
The Principles of First Order Automatic Differentiation
This article provides a short overview of the theory of First Order Automatic Differentiation (AD) for readers unfamiliar with this topic. In particular, we summarize different characterisations of Forward AD, like the
vector-matrix based approach, the idea of lifting functions to the algebra
of dual numbers, the method of Taylor series expansion on dual numbers
and the application of the push-forward operator. We give short, but precise mathematical descriptions of these methods and show why they all
reduce to the same actual chain of computations (and are, hence, equivalent). Finally, we give a short summary of Reverse AD and again point
out the underlying computational steps
A Hitchhiker's Guide to Automatic Differentiation
This article provides an overview of some of the mathematical prin-
ciples of Automatic Differentiation (AD). In particular, we summarise
different descriptions of the Forward Mode of AD, like the matrix-vector
product based approach, the idea of lifting functions to the algebra of
dual numbers, the method of Taylor series expansion on dual numbers
and the application of the push-forward operator, and explain why they
all reduce to the same actual chain of computations. We further give a
short mathematical description of some methods of higher-order Forward
AD and, at the end of this paper, brie
y describe the Reverse Mode of
Automatic Differentiation
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