Related papers: Ascending-Price Algorithms for Unknown Markets
We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model,…
The smart grid vision entails advanced information technology and data analytics to enhance the efficiency, sustainability, and economics of the power grid infrastructure. Aligned to this end, modern statistical learning tools are leveraged…
We consider the computational complexity of computing Bayes-Nash equilibria in first-price auctions, where the bidders' values for the item are drawn from a general (possibly correlated) joint distribution. We show that when the values and…
The framework of budget-feasible mechanism design studies procurement auctions where the auctioneer (buyer) aims to maximize his valuation function subject to a hard budget constraint. We study the problem of designing truthful mechanisms…
Central results in economics guarantee the existence of efficient equilibria for various classes of markets. An underlying assumption in early work is that agents are price-takers, i.e., agents honestly report their true demand in response…
We study Fisher markets that admit equilibria wherein each good is integrally assigned to some agent. While strong existence and computational guarantees are known for equilibria of Fisher markets with additive valuations, such equilibria,…
In this work we are concerned with the design of efficient mechanisms while eliciting limited information from the agents. First, we study the performance of sampling approximations in facility location games. Our key result is to show that…
Inspired by Internet ad auction applications, we study the problem of allocating a single item via an auction when bidders place very different values on the item. We formulate this as the problem of prior-free auction and focus on…
A very simple first-order algorithm is proposed for solving nonlinear optimization problems with deterministic nonlinear equality constraints. This algorithm adaptively selects steps in the plane tangent to the constraints or steps that…
Considering that a trader or a trading algorithm interacting with markets during continuous auctions can be modeled by an iterating procedure adjusting the price at which he posts orders at a given rhythm, this paper proposes a procedure…
This paper develops tools for welfare and revenue analyses of Bayes-Nash equilibria in asymmetric auctions with single-dimensional agents. We employ these tools to derive price of anarchy results for social welfare and revenue. Our approach…
Matching markets play a prominent role in economic theory. A prime example of such a market is the sponsored search market. Here, as in other markets of that kind, market equilibria correspond to feasible, envy free, and bidder optimal…
This paper studies an open question in the warehouse problem where a merchant trading a commodity tries to find an optimal inventory-trading policy to decide on purchase and sale quantities during a fixed time horizon in order to maximize…
Computing market equilibria is a problem of both theoretical and applied interest. Much research to date focuses on the case of static Fisher markets with full information on buyers' utility functions and item supplies. Motivated by…
We study a demand response problem from utility (also referred to as operator)'s perspective with realistic settings, in which the utility faces uncertainty and limited communication. Specifically, the utility does not know the cost…
Market price systems constitute a well-understood class of mechanisms that under certain conditions provide effective decentralization of decision making with minimal communication overhead. In a market-oriented programming approach to…
We present a general technique, based on a primal-dual formulation, for analyzing the quality of self-emerging solutions in weighted congestion games. With respect to traditional combinatorial approaches, the primal-dual schema has at least…
An effective distribution electricity market (DEM) is required to manage the rapidly growing small-scale distributed energy resources (DERs) in distribution systems (DSs). This paper proposes a day-ahead DEM clearing and pricing mechanism…
We study the equilibria of uniform price auctions where many asymmetric bidders have flat demands up to their respective quantity constraints. We present an iterative procedure that systematically finds an equilibrium outcome as well as an…
This article presents a detailed technical framework for modeling with Bertrand-Nash equilibrium prices under Mixed Logit demand. Two coercive fixed-point equations provide more stable computational methods than those obtained from the…