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A central issue in applying auction theory in practice is the problem of dealing with budget-constrained agents. A desirable goal in practice is to design incentive compatible, individually rational, and Pareto optimal auctions while…

Batch auctions are a classical market microstructure, acclaimed for their fairness properties, and have received renewed interest in the context of blockchain-based financial systems. Constant function market makers (CFMMs) are another…

Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution…

A challenging category of robotics problems arises when sensing incurs substantial costs. This paper examines settings in which a robot wishes to limit its observations of state, for instance, motivated by specific considerations of energy…

Executing even moderately large derivatives orders can be expensive and risky; it's hard to balance the uncertainty of working an order over time versus paying a liquidity premium for immediate execution. Here, we introduce the Time Is…

Building on ideas from online convex optimization, we propose a general framework for the design of efficient securities markets over very large outcome spaces. The challenge here is computational. In a complete market, in which one…

We consider the problem of finding a low-cost allocation and ordering of tasks between a team of robots in a d-dimensional, uncertain, landscape, and the sensitivity of this solution to changes in the cost function. Various algorithms have…

We analyze the problem of how to optimally bid for ad spaces in online ad auctions. For this we consider the general case of multiple ad campaigns with overlapping targeting criteria. In our analysis we first characterize the structure of…

We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…

For Bayesian combinatorial auctions, we present a general framework for approximately reducing the mechanism design problem for multiple buyers to single buyer sub-problems. Our framework can be applied to any setting which roughly…

We study multi-agent contract design, where a principal incentivizes a team of agents to take costly actions that jointly determine the project success via a combinatorial reward function. While prior work largely focuses on unconstrained…

We consider the following two deterministic inventory optimization problems over a finite planning horizon $T$ with non-stationary demands. (a) Submodular Joint Replenishment Problem: This involves multiple item types and a single retailer…

This paper deals with a problem of production planning, which is a version of the capacitated single-item lot sizing problem with backordering under demand uncertainty, modeled by uncertain cumulative demands. The well-known interval…

The goal of an auction is to determine commodity prices such that all participants are perfectly happy. Such a solution is called a competitive equilibrium and does not exist in general. For this reason we are interested in solutions which…

We present new formulations of the stochastic electricity market clearing problem based on the principles of stochastic programming. Previous analyses have established that the canonical stochastic programming model effectively captures the…

In a recent publication, using a simple two-period model, which is already capable to capture essential non-convex multiperiod bids, Richstein et al. have shown that in the case of optimal bidding, multi-part bidding always ensures a higher…

Optimal transportation theory is an area of mathematics with real-world applications in fields ranging from economics to optimal control to machine learning. We propose a new algorithm for solving discrete transport (network flow) problems,…

We consider dynamic auctions for finding Walrasian equilibria in markets with indivisible items and strong gross substitutes valuation functions. Each price adjustment step in these auction algorithms requires finding an inclusion-wise…

In many realistic problems of allocating resources, economy efficiency must be taken into consideration together with social equality, and price rigidities are often made according to some economic and social needs. We study the…

We consider a natural generalization of classical scheduling problems in which using a time unit for processing a job causes some time-dependent cost which must be paid in addition to the standard scheduling cost. We study the scheduling…