Linear Methods are often used to compute approximate solutions to dynamic models, as these models often cannot be solved analytically. Linear methods are very popular, as they can easily be implemented. Also, they provide a useful starting point for understanding more elaborate numerical...

The utopia point of a multicriteria optimization problem is the vector that specifies for each criterion the most favourable among the feasible values. The Euclidean compromise solution in multicriteria optimization is a solution concept that assigns to a feasible set the alternative with...

Revealed preference restrictions are increasingly used to bound demand responses and as shape restrictions in nonparametric estimation exercises. However, the restrictions imposed are not sufficient for rationality when predictions are made at more than a single price regime. We highlight the...

We solve the problems of mean-variance hedging (MVH) and mean-variance portfolio selection (MVPS) under restricted information. We work in a setting where the underlying price process S is a semimartingale, but not adapted to the filtration G which models the information available for...

In facility layout problems, a major concern is the optimal design or remodeling of the facilities of an organization. The decision maker s objective is to arrange the facility in an optimal way, so that the interaction among functions (i.e. machines, inventories, persons) and places (i.e....

This is a preliminary draft of the manuscript of my textbook "Optimal Transport Methods in Economics" (to appear), based on lectures given at MIT in Spring 2015. The present preprint version is circulated to invite comments by readers

Consider two continuous functions f,g mapping the interval [0,S] of the real line into R. Let f also be strictly increasing. We are interested in the set of probability distributions on the interval [0,S] that maximize the expectation of f subject to the constraint that the expectation of g be...

With greater penetration of renewable generation, the uncertainty faced in electricity markets has increased substantially. Conventionally, generators are assigned a pre-dispatch quantity in advance of real time, based on estimates of uncertain quantities. Expensive real time adjustments then...

Assortment optimization is an important problem in revenue management arising in industries such as online advertising, retailing and airline ticketing. We study assortment optimization under an arbitrary mixture of multi-nomial logit (MNL) models, when the universe of products is dense. In...