Related papers: Game-Theoretic Pricing and Selection with Fading C…
A Stackelberg Vertex Cover game is played on an undirected graph $\mathcal{G}$ where some of the vertices are under the control of a \emph{leader}. The remaining vertices are assigned a fixed weight. The game is played in two stages. First,…
We consider the problem of rate allocation in a fading Gaussian multiple-access channel (MAC) with fixed transmission powers. Our goal is to maximize a general concave utility function of transmission rates over the throughput capacity…
This paper proposes an energy management technique for a consumer-to-grid system in smart grid. The benefit to consumers is made the primary concern to encourage consumers to participate voluntarily in energy trading with the central power…
The optimal transmission strategy to minimize the weighted combination of age of information (AoI) and total energy consumption is studied in this paper. It is assumed that the status update information is obtained and transmitted at fixed…
We construct algorithms for computation of prices and superhedging strategies for game options in general discrete markets both from the seller and the buyer points of view.
We propose a vector linear programming formulation for a non-stationary, finite-horizon Markov decision process with vector-valued rewards. Pareto efficient policies are shown to correspond to efficient solutions of the linear program, and…
We study infinite-horizon Markov decision processes (MDPs) where the decision maker evaluates each of her strategies by aggregating the infinite stream of expected stage-rewards. The crucial feature of our approach is that the aggregation…
Through a stochastic control theoretic approach, we analyze reputation games where a strategic long-lived player acts in a sequential repeated game against a collection of short-lived players. The key assumption in our model is that the…
Computing accurate deterministic performance bounds is a strong need for communication technologies having strong requirements on latency and reliability. Beyond new scheduling protocols such as TSN, the FIFO policy remains at work within…
The multilevel reverse Stackelberg game is considered. In this game, the leader controls the outcome by announcing a strategy as a function of decision variables of the followers to his/her own decision space. Corresponding to the leader's…
In this paper we introduce a deep learning method for pricing and hedging American-style options. It first computes a candidate optimal stopping policy. From there it derives a lower bound for the price. Then it calculates an upper bound, a…
In this paper, we study a mean-variance optimization problem in an infinite horizon discrete time discounted Markov decision process (MDP). The objective is to minimize the variance of system rewards with the constraint of mean performance.…
We consider a network of coupled agents playing the Prisoner's Dilemma game, in which players are allowed to pick a strategy in the interval [0,1], with 0 corresponding to defection, 1 to cooperation, and intermediate values representing…
We consider a stochastic game between a slow institutional investor and a high-frequency trader who are trading a risky asset and their aggregated order-flow impacts the asset price. We model this system by means of two coupled stochastic…
The emerging edge computing paradigm promises to deliver superior user experience and enable a wide range of Internet of Things (IoT) applications. In this work, we propose a new market-based framework for efficiently allocating resources…
Today's queueing network systems are more rapidly evolving and more complex than those of even a few years ago. The goal of this paper is to study customers' behavior in an unobservable Markovian M/M/1 queue where consumers have to choose…
Inverse game theory is utilized to infer the cost functions of all players based on game outcomes. However, existing inverse game theory methods do not consider the learner as an active participant in the game, which could significantly…
We study financial systems from a game-theoretic standpoint. A financial system is represented by a network, where nodes correspond to firms, and directed labeled edges correspond to debt contracts between them. The existence of cycles in…
Prior work has studied the computational complexity of computing optimal strategies to commit to in Stackelberg or leadership games, where a leader commits to a strategy which is observed by one or more followers. We extend this setting to…
In this paper, we consider a large class of constrained non-cooperative stochastic Markov games with countable state spaces and discounted cost criteria. In one-player case, i.e., constrained discounted Markov decision models, it is…