Related papers: Continuous Value Function Approximation for Sequen…

Existing value function approximation methods have been successfully used in many applications, but they often lack useful a priori error bounds. We propose a new approximate bilinear programming formulation of value function approximation,…

Euclidean Markov decision processes are a powerful tool for modeling control problems under uncertainty over continuous domains. Finite state imprecise, Markov decision processes can be used to approximate the behavior of these infinite…

In this paper we consider multidimensional mechanism design problem for selling discrete substitutable items to a group of buyers. Previous work on this problem mostly focus on stochastic description of valuations used by the seller.…

Sequential allocation is a simple and attractive mechanism for the allocation of indivisible goods. Agents take turns, according to a policy, to pick items. Sequential allocation is guaranteed to return an allocation which is efficient but…

This paper examines knapsack auctions as a method to solve the knapsack problem with incomplete information, where object values are private and sizes are public. We analyze three auction types-uniform price (UP), discriminatory price (DP),…

Combinatorial Auctions are a central problem in Algorithmic Mechanism Design: pricing and allocating goods to buyers with complex preferences in order to maximize some desired objective (e.g., social welfare, revenue, or profit). The…

Unexpected advertising items in sponsored search may reduce users' reliance on organic search, resulting in hidden cost for the e-commerce platform. To address this problem and promote sustainable growth, we propose a dynamic reserve price…

In many applications, ads are displayed together with the prices, so as to provide a direct comparison among similar products or services. The price-displaying feature not only influences the consumers' decisions, but also affects the…

We consider the classical mathematical economics problem of {\em Bayesian optimal mechanism design} where a principal aims to optimize expected revenue when allocating resources to self-interested agents with preferences drawn from a known…

We interpret multi-product supply chains (SCs) as coordinated markets; under this interpretation, a SC optimization problem is a market clearing problem that allocates resources and associated economic values (prices) to different…

We propose a game theoretic framework for task allocation in mobile cloud computing that corresponds to offloading of compute tasks to a group of nearby mobile devices. Specifically, in our framework, a distributor node holds a…

Sequential auctions for identical items with unit-demand, private-value buyers are common and often occur periodically without end, as new bidders replace departing ones. We model bidder uncertainty by introducing a probability that a…

Although many real-world stochastic planning problems are more naturally formulated by hybrid models with both discrete and continuous variables, current state-of-the-art methods cannot adequately address these problems. We present the…

One of the most fundamental questions in quantitative finance is the existence of continuous-time diffusion models that fit market prices of a given set of options. Traditionally, one employs a mix of intuition, theoretical and empirical…

Auctions are markets with strict regulations governing the information available to traders in the market and the possible actions they can take. Since well designed auctions achieve desirable economic outcomes, they have been widely used…

Consider the problem of allocating goods to buyers through an auction. An auction is efficient if the resulting allocation maximizes total welfare, conditional on the information available. If buyers have private values, the…

We address the problem of scheduling water resources in a power system via approximate dynamic programming.To this goal, we model a finite horizon economic dispatch problemwith convex stage cost and affine dynamics, and consider aquadratic…

We revisit the classic problem of fair division from a mechanism design perspective, using {\em Proportional Fairness} as a benchmark. In particular, we aim to allocate a collection of divisible items to a set of agents while incentivizing…

We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…

We consider a dynamic mechanism design problem where an auctioneer sells an indivisible good to groups of buyers in every round, for a total of $T$ rounds. The auctioneer aims to maximize their discounted overall revenue while adhering to a…