108 citations · 115 across the 11 of their papers we have counts for
14 papers
Stability and Dual Valuation of Contingent Claims under Rockafellian Perturbations
Wolfgang Breytmann, Julio Deride, Nicolás Hernández
We study the stability of solutions to the discrete-time contingent-claim problem over a finite investment horizon when uncertainty is modeled by random variables with finite discr…
Rockafellian relaxation and minimum-norm slack for the Walrasian equilibrium problem
Julio Deride
We propose a Rockafellian relaxation of the Walrasian equilibrium problem for an exchange economy that may not admit one. Market clearing is slackened by a non-negative variable $v…
On the Value Function of Convex Bolza Problems Governed by Stochastic Difference Equations
Sebastián Álvarez, Julio Deride, Cristopher Hermosilla
In this paper we study the value function of Bolza problems governed by stochastic difference equations, with particular emphasis on the convex non-anticipative case. Our goal is t…
Approximations of Rockafellians, Lagrangians, and Dual Functions
Julio Deride, Johannes O. Royset
Solutions of an optimization problem are sensitive to changes caused by approximations or parametric perturbations, especially in the nonconvex setting. This paper shows that solut…
Subgradient evolution of value functions in discrete-time optimal control
Julio Deride, Cristopher Hermosilla, Mattia Solla
In this paper we investigate how the subgradients of the value function of a discrete-time convex Bolza problem evolve over time. In particular, we develop a discrete-time version…
A variational approach to a cumulative distribution function estimation problem under stochastic ambiguity
Julio Deride, Johannes O. Royset, Fernanda Urrea
We propose a method for finding a cumulative distribution function (cdf) that minimizes the distance to a given cdf, while belonging to an ambiguity set constructed relative to ano…
Solving equilibrium problems in economies with financial markets, home production, and retention
Julio Deride
We propose a new methodology to compute equilibria for general equilibrium problems on exchange economies with real financial markets, home-production, and retention. We demonstrat…
Reaching an equilibrium of prices and holdings of goods through direct buying and selling
J. Deride, A. Jofré, R. T. Rockafellar
The Walras approach to equilibrium focuses on the existence of market prices at which the total demands for goods are matched by the total supplies. Trading activities that might i…
Intermediate Service Facility Planning in a Stochastic and Competitive Market: Incorporating Agent-infrastructure Interactions over Networks
Sina Baghali, Julio Deride, Yueyue Fan +1
This paper presents a network-based multi-agent optimization model for the strategic planning of service facilities in a stochastic and competitive market. We focus on the type of…
Random Activations in Primal-Dual Splittings for Monotone Inclusions with a priori Information
Luis Briceño-Arias, Julio Deride, Cristian Vega
In this paper, we propose a numerical approach for solving composite primal-dual monotone inclusions with a priori information. The underlying a priori information set is represent…
A Primal-Dual Partial Inverse Splitting for Constrained Monotone Inclusions: Applications to stochastic Programming and Mean Field Games
Luis Briceño-Arias, Julio Deride, Sergio López-Rivera +1
In this work we study a constrained monotone inclusion involving the normal cone to a closed vector subspace and a priori information on primal solutions. We model this information…
One-Step Estimation With Scaled Proximal Methods
Robert Bassett, Julio Deride
We study statistical estimators computed using iterative optimization methods that are not run until completion. Classical results on maximum likelihood estimators (MLEs) assert th…
Solving deterministic and stochastic equilibrium problems via augmented Walrasian
Julio Deride, Alejandro Jofré, Roger J-B Wets
We described a method to solve deterministic and stochastic Walras equilibrium models based on associating with the given problem a bifunction whose maxinf-points turn out to be eq…
Maximum a Posteriori Estimators as a Limit of Bayes Estimators
Robert Bassett, Julio Deride
Maximum a posteriori and Bayes estimators are two common methods of point estimation in Bayesian Statistics. It is commonly accepted that maximum a posteriori estimators are a limi…