Zizhuo Wang

A unified framework for dynamic pari-mutuel information market design

Recently, coinciding with and perhaps driving the increased popularity of prediction markets, several novel pari-mutuel mechanisms have been developed such as the logarithmic market scoring rule (LMSR), the cost-function formulation of market makers, and the sequential convex parimutuel mechanism (SCPM). In this work, we present a unified convex optimization framework which connects these seemingly unrelated models for centrally organizing contingent claims markets. The existing mechanisms can be expressed in our unified framework using classic utility functions. We also show that this framework is equivalent to a convex risk minimization model for the market maker. This facilitates a better understanding of the risk attitudes adopted by various mechanisms. The utility framework also leads to easy implementation since we can now find the useful cost function of a market maker in polynomial time through the solution of a simple convex optimization problem. In addition to unifying and explaining the existing mechanisms, we use the generalized framework to derive necessary and sufficient conditions for many desirable properties of a prediction market mechanism such as proper scoring, truthful bidding (in a myopic sense), efficient computation, controllable risk-measure, and guarantees on the worst-case loss. As a result, we develop the first proper, truthful, risk controlled, loss-bounded (in number of states) mechanism; none of the previously proposed mechanisms possessed all these properties simultaneously. Thus, our work could provide an effective tool for designing new market mechanisms.

Further Relaxations of the Semidefinite Programming Approach to Sensor Network Localization

Recently, a semidefinite programming (SDP) relaxation approach has been proposed to solve the sensor network localization problem. Although it achieves high accuracy in estimating the sensor locations, the speed of the SDP approach is not satisfactory for practical applications. In this paper we propose methods to further relax the SDP relaxation, more precisely, to relax the single semidefinite matrix cone into a set of small-size semidefinite submatrix cones, which we call a sub-SDP (SSDP) approach. We present two such relaxations. Although they are weaker than the original SDP relaxation, they retain the key theoretical property, and numerical experiments show that they are both efficient and accurate. The speed of the SSDP is even faster than that of other approaches based on weaker relaxations. The SSDP approach may also pave a way to efficiently solving general SDP problems without sacrificing the solution quality.

A Dynamic Near-Optimal Algorithm for Online Linear Programming

A natural optimization model that formulates many online resource allocation problems is the online linear programming LP problem in which the constraint matrix is revealed column by column along with the corresponding objective coefficient. In such a model, a decision variable has to be set each time a column is revealed without observing the future inputs, and the goal is to maximize the overall objective function. In this paper, we propose a near-optimal algorithm for this general class of online problems under the assumptions of random order of arrival and some mild conditions on the size of the LP right-hand-side input. Specifically, our learning-based algorithm works by dynamically updating a threshold price vector at geometric time intervals, where the dual prices learned from the revealed columns in the previous period are used to determine the sequential decisions in the current period. Through dynamic learning, the competitiveness of our algorithm improves over the past study of the same problem. We also present a worst case example showing that the performance of our algorithm is near optimal.

Non-Line-of-Sight Node Localization Based on Semi-Definite Programming in Wireless Sensor Networks

An unknown-position sensor can be localized if there are three or more anchors making time-of-arrival (TOA) measurements of a signal from it. However, the location errors can be very large due to the fact that some of the measurements are from non-line-of-sight (NLOS) paths. In this paper, a semi-definite programming (SDP) based node localization algorithm in NLOS environments is proposed for ultra-wideband (UWB) wireless sensor networks. The positions of sensors can be estimated using the distance estimates from location-aware anchors as well as other sensors. However, in the absence of line-of-sight (LOS) paths, e.g., in indoor networks, the NLOS range estimates can be significantly biased. As a result, the NLOS error can remarkably decrease the location accuracy, and it is not easy to accurately distinguish LOS from NLOS measurements. According to the information known about the prior probabilities and distributions of the NLOS errors, three different cases are introduced and the respective localization problems are addressed. Simulation results demonstrate that this algorithm achieves high location accuracy even for the case in which NLOS and LOS measurements are not identifiable.

Complexity of unconstrained L_2-L_p minimization

We consider the unconstrained

Likelihood robust optimization for data-driven problems

L_q

A Unified Framework for Dynamic Prediction Market Design

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