Related papers: Conditional Analysis and a Principal-Agent problem
In a discrete-time setting, we study arbitrage concepts in the presence of convex trading constraints. We show that solvability of portfolio optimization problems is equivalent to absence of arbitrage of the first kind, a condition weaker…
We consider a moral hazard problem with multiple principals in a continuous-time model. The agent can only work exclusively for one principal at a given time, so faces an optimal switching problem. Using a randomized formulation, we manage…
Many safety-critical real-world problems, such as autonomous driving and collaborative robots, are of a distributed multi-agent nature. To optimize the performance of these systems while ensuring safety, we can cast them as distributed…
We consider cooperative multi-agent consensus optimization problems over an undirected network of agents, where only those agents connected by an edge can directly communicate. The objective is to minimize the sum of agent-specific…
Many real-life contractual relations differ completely from the clean, static model at the heart of principal-agent theory. Typically, they involve repeated strategic interactions of the principal and agent, taking place under uncertainty…
In principal-agent models, a principal offers a contract to an agent to perform a certain task. The agent exerts a level of effort that maximizes her utility. The principal is oblivious to the agent's chosen level of effort, and conditions…
This paper deals with solving distributed optimization problems with equality constraints by a class of uncertain nonlinear heterogeneous dynamic multi-agent systems. It is assumed that each agent with an uncertain dynamic model has limited…
Distributed optimization finds applications in large-scale machine learning, data processing and classification over multi-agent networks. In real-world scenarios, the communication network of agents may encounter latency that may affect…
Distributed decision making in multi-agent networks has recently attracted significant research attention thanks to its wide applicability, e.g. in the management and optimization of computer networks, power systems, robotic teams, sensor…
We show that in delegation problems, a principal benefits from belief misalignment vis-\`a-vis an agent when the latter can flexibly acquire costly information. The agent optimally succumbs to confirmatory learning, leading him to favor the…
A principal uses payments conditioned on stochastic outcomes of a team project to elicit costly effort from the team members. We develop a multi-agent generalization of a classic first-order approach to contract optimization by leveraging…
Generalized from the concept of consensus, this paper considers a group of edge agreements, i.e. constraints defined for neighboring agents, in which each pair of neighboring agents is required to satisfy one edge agreement constraint. Edge…
Contract scheduling is a widely studied framework for designing real-time systems with interruptible capabilities. Previous work has showed that a prediction on the interruption time can help improve the performance of contract-based…
We present an optimization framework that solves constrained multi-agent optimization problems while keeping each agent's state differentially private. The agents in the network seek to optimize a local objective function in the presence of…
This paper studies contracting in the presence of externalities with a non-contractible outsider. Multiple equilibria arise from strategic symmetry between the insider agent and the outsider. To address strategic uncertainty, the principal…
This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a…
This paper studies delegation in a model of discrete choice. In the delegation problem, an uninformed principal must consult an informed agent to make a decision. Both the agent and principal have preferences over the decided-upon action…
This work provides analysis of a variant of the Risk-Sharing Principal-Agent problem in a single period setting with additional constant lower and upper bounds on the wage paid to the Agent. First the effect of the extra constraints on…
We introduce a discrete-time fractional calculus of variations. First and second order necessary optimality conditions are established. Examples illustrating the use of the new Euler-Lagrange and Legendre type conditions are given. They…
We study hidden-action principal-agent problems with multiple agents. Unlike previous work, we consider a general setting in which each agent has an arbitrary number of actions, and the joint action induces outcomes according to an…