[BANANA] OR Seminar at Stanford

[Michael A. Saunders]

    Linear Algebra and Optimization Seminar (CME 510)
    iCME, Stanford University
    http://icme.stanford.edu/seminars/seminars.php

There is no Linear Algebra and Optimization today,
but Prof Yinyu Ye is speaking in the OR Seminar series.
His talk and the last two Stanford LA/Opt seminars of
spring quarter are listed here:

    Wed May 13, 4:30pm
    Prof Yinyu Ye
    Management Science and Engineering, Stanford University
    A Unified Framework for Dynamic Pari-Mutuel Information Market Design

    Wed May 20, 4:15pm
    Prof Matthias Koeppe
    Dept of Mathematics, UC Davis
    Nonlinear Optimization via Summation and Integration

    Wed May 27, 4:15pm
    Dr Evrim Acar Ataman
    Sandia National Laboratories, Livermore
    An Optimization Approach for Fitting a CANDECOMP/PARAFAC Model
    and Its Applications in Social Network Analysis


FULL DETAILS FOR PROF YE'S SEMINAR FOLLOW

A Unified Framework for Dynamic Pari-Mutuel Information Market Design

Yinyu Ye
Management Science and Engineering
Stanford University

Wednesday, May 13, 2009
4:30-5:30 pm
Terman Engineering Center, Room 453

Recently, several pari-mutuel mechanisms have been introduced to
organize prediction markets, such as the logarithmic scoring
rule, the cost function formulation, and sequential convex
pari-mutuel mechanism (SCPM).  In this work, we develop a unified
framework that bridges these seemingly unrelated models for
centrally organizing contingent-claim markets. Our framework
establishes necessary and sufficient conditions for designing
mechanisms with many desirable properties 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 a first proper, truthful,
risk-controlled, loss-bounded, and polynomial-time scoring rule,
which neither of the previous proposed mechanisms possess
simultaneously. Thus, in addition to providing a general
framework that unifies and explains all the existing mechanisms,
our work would be an effective and instrumental tool in designing
new market mechanisms. We also discuss applications of our
framework to general open markets for dynamic resource pricing
and allocation.

Joint work with Shipra Agrawal, Erick Delage, Mark Peters, and
Zizhuo Wang