A note on equilibrium pricing as convex optimization

Authors:
Lihua Chen;Yinyu Ye;Jiawei Zhang
Affiliations:
Guanghua School of Management, Peking University, Beijing, P. R. China;Department of Management Science and Engineering and Electrical Engineering, Stanford University, Stanford, CA;Department of Information, Operations, and Management Sciences, Stern School of Business, New York University, New York, NY
Venue:
WINE'07 Proceedings of the 3rd international conference on Internet and network economics
Year:
2007

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Abstract

We study equilibrium computation for exchange markets. We show that the market equilibrium of either of the following two markets: 1. The Fisher market with several classes of concave nonhomogeneous utility functions; 2. A mixed Fisher and Arrow-Debreu market with homogeneous and log-concave utility functions can be computed as convex programming and by interior-point algorithms in polynomial time.