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Volume 28, Issue 5
On Equilibrium Pricing as Convex Optimization

Lihua Chen, Yinyu Ye & Jiawei Zhang

DOI: 10.4208/jcm.1003-m0001

J. Comp. Math., 28 (2010), pp. 569-578.

Published online: 2010-10

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  • Abstract

We study competitive economy equilibrium computation. We show that, for the first time, the equilibrium sets of the following two markets: 1. A mixed Fisher and Arrow-Debreu market with homogeneous and log-concave utility functions; 2. The Fisher and Arrow-Debreu markets with several classes of concave non-homogeneous utility functions; are convex or log-convex. Furthermore, an equilibrium can be computed as convex optimization by an interior-point algorithm in polynomial time.

  • Keywords

Convex optimization, Competitive economy equilibrium, Non-homogeneous utility.

  • AMS Subject Headings

90C25, 91B50

  • Copyright

COPYRIGHT: © Global Science Press

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@Article{JCM-28-569, author = {Lihua Chen, Yinyu Ye and Jiawei Zhang}, title = {On Equilibrium Pricing as Convex Optimization}, journal = {Journal of Computational Mathematics}, year = {2010}, volume = {28}, number = {5}, pages = {569--578}, abstract = {

We study competitive economy equilibrium computation. We show that, for the first time, the equilibrium sets of the following two markets: 1. A mixed Fisher and Arrow-Debreu market with homogeneous and log-concave utility functions; 2. The Fisher and Arrow-Debreu markets with several classes of concave non-homogeneous utility functions; are convex or log-convex. Furthermore, an equilibrium can be computed as convex optimization by an interior-point algorithm in polynomial time.

}, issn = {1991-7139}, doi = {https://doi.org/10.4208/jcm.1003-m0001}, url = {http://global-sci.org/intro/article_detail/jcm/8538.html} }
TY - JOUR T1 - On Equilibrium Pricing as Convex Optimization AU - Lihua Chen, Yinyu Ye & Jiawei Zhang JO - Journal of Computational Mathematics VL - 5 SP - 569 EP - 578 PY - 2010 DA - 2010/10 SN - 28 DO - http://doi.org/10.4208/jcm.1003-m0001 UR - https://global-sci.org/intro/article_detail/jcm/8538.html KW - Convex optimization, Competitive economy equilibrium, Non-homogeneous utility. AB -

We study competitive economy equilibrium computation. We show that, for the first time, the equilibrium sets of the following two markets: 1. A mixed Fisher and Arrow-Debreu market with homogeneous and log-concave utility functions; 2. The Fisher and Arrow-Debreu markets with several classes of concave non-homogeneous utility functions; are convex or log-convex. Furthermore, an equilibrium can be computed as convex optimization by an interior-point algorithm in polynomial time.

Lihua Chen, Yinyu Ye and Jiawei Zhang. (2010). On Equilibrium Pricing as Convex Optimization. Journal of Computational Mathematics. 28 (5). 569-578. doi:10.4208/jcm.1003-m0001
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