Market equilibrium via a primal--dual algorithm for a convex program

Authors:
Nikhil R. Devanur;Christos H. Papadimitriou;Amin Saberi;Vijay V. Vazirani
Affiliations:
Georgia Institute of Technology, Atlanta, GA;University of California at Berkeley, Berkeley, California;Stanford University, Stanford, California;Georgia Institute of Technology, Atlanta, GA
Venue:
Journal of the ACM (JACM)
Year:
2008

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Abstract

We give the first polynomial time algorithm for exactly computing an equilibrium for the linear utilities case of the market model defined by Fisher. Our algorithm uses the primal--dual paradigm in the enhanced setting of KKT conditions and convex programs. We pinpoint the added difficulty raised by this setting and the manner in which our algorithm circumvents it.