On Equilibrium Pricing as Convex Optimization

Abstract

We study competitive economy equilibrium computation. We show that, for the first time, the equilibrium sets of the following two markets: 1. A mixed Fisher and Arrow-Debreu market with homogeneous and log-concave utility functions; 2. The Fisher and Arrow-Debreu markets with several classes of concave non-homogeneous utility functions; are convex or log-convex. Furthermore, an equilibrium can be computed as convex optimization by an interior-point algorithm in polynomial time.