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The participation of renewable, energy storage, and resources with limited fuel inventory in electricity markets has created the need for optimal scheduling and pricing across multiple market intervals for resources with intertemporal…
Small operators who take part in secondary wireless spectrum markets typically have strict budget limits. In this paper, we study the bidding problem of a budget constrained operator in repeated secondary spectrum auctions. In existing…
A key challenge in combinatorial auctions is designing bid formats that accurately capture agents' preferences while remaining computationally feasible. This is especially true for electricity auctions, where complex preferences complicate…
With the recent technological feasibility of electronic commerce over the Internet, much attention has been given to the design of electronic markets for various types of electronically-tradable goods. Such markets, however, will normally…
Randomized mechanisms, which map a set of bids to a probability distribution over outcomes rather than a single outcome, are an important but ill-understood area of computational mechanism design. We investigate the role of randomized…
Contract theory studies how a principal can incentivize agents to exert costly, unobservable effort through performance-based payments. While classical economic models provide elegant characterizations of optimal solutions, modern…
We study the optimal timing strategies for trading a mean-reverting price process with afinite deadline to enter and a separate finite deadline to exit the market. The price process is modeled by a diffusion with an affine drift that…
We study combinatorial auctions where each item is sold separately but simultaneously via a second price auction. We ask whether it is possible to efficiently compute in this game a pure Nash equilibrium with social welfare close to the…
This paper derives polynomial-time approximation schemes for several NP-hard stochastic optimization problems from the algorithmic mechanism design and operations research literatures. The problems we consider involve a principal or seller…
We study a class of manipulations in combinatorial auctions where bidders fundamentally misrepresent what goods they are interested in. Prior work has largely assumed that bidders only submit bids on their bundles of interest, which we call…
This paper unifies two foundational constructs from economics and algorithmic game theory, the Arctic Auction and the linear Fisher market, to address the efficient allocation of differentiated goods in complex markets. Our main…
Market makers provide liquidity to other market participants: they propose prices at which they stand ready to buy and sell a wide variety of assets. They face a complex optimization problem with both static and dynamic components. They…
In this paper, we study the problem of maximizing social welfare in combinatorial markets through pricing schemes. We consider the existence of prices that are capable to achieve optimal social welfare without a central tie-breaking…
We propose a combinatorial ascending auction that is "approximately" optimal, requiring minimal rationality to achieve this level of optimality, and is robust to strategic and distributional uncertainties. Specifically, the auction is…
This paper describes a study of agent bidding strategies, assuming combinatorial valuations for complementary and substitutable goods, in three auction environments: sequential auctions, simultaneous auctions, and the Trading Agent…
We construct prior-free auctions with constant-factor approximation guarantees with ordered bidders, in both unlimited and limited supply settings. We compare the expected revenue of our auctions on a bid vector to the monotone price…
While consolidation strategies form the backbone of many supply chain optimisation problems, exploitation of multi-tier material relationships through consolidation remains an understudied area, despite being a prominent feature of…
We design a simple ascending-price algorithm to compute a $(1+\varepsilon)$-approximate equilibrium in Arrow-Debreu exchange markets with weak gross substitute (WGS) property, which runs in time polynomial in market parameters and $\log…
Motivated by fairness concerns, we study the `portfolio problem': given an optimization problem with set $D$ of feasible solutions, a class $\mathbf{C}$ of fairness objective functions on $D$, and an approximation factor $\alpha \ge 1$, a…
Developing efficient sequential bidding strategies for repeated auctions is an important practical challenge in various marketing tasks. In this setting, the bidding agent obtains information, on both the value of the item at sale and the…