Related papers: Modelling power markets with multi-stage stochasti…
We analyze the stability of a nonlinear dynamical model describing the noncooperative strategic interactions among the agents of a finite collection of populations. Each agent selects one strategy at a time and revises it repeatedly…
We consider multi-agent decision making where each agent optimizes its convex cost function subject to individual and coupling constraints. The constraint sets are compact convex subsets of a Euclidean space. To learn Nash equilibria, we…
In mechanism design theory, a designer would like to implement a desired social choice function which specifies her favorite outcome for each possible profile of agents' types. To do so, the designer constructs a mechanism which describes…
We study stochastic Nash equilibrium problems with expected valued cost functions whose pseudogradient satisfies restricted monotonicity properties which hold only with respect to the solution. We propose a forward-backward algorithm and…
We investigate both stationary and time-varying, nonmonotone generalized Nash equilibrium problems that exhibit symmetric interactions among the agents, which are known to be potential. As may happen in practical cases, however, we envision…
Stochastic dual dynamic programming (SDDP) is a state-of-the-art method for solving multi-stage stochastic optimization, widely used for modeling real-world process optimization tasks. Unfortunately, SDDP has a worst-case complexity that…
Auctions are modeled as Bayesian games with continuous type and action spaces. Determining equilibria in auction games is computationally hard in general and no exact solution theory is known. We introduce an algorithmic framework in which…
This work examines a stochastic formulation of the generalized Nash equilibrium problem (GNEP) where agents are subject to randomness in the environment of unknown statistical distribution. We focus on fully-distributed online learning by…
The presence of uncertainties in the ride-hailing market complicates the pricing strategies of on-demand platforms that compete each other to offer a mobility service while striving to maximize their profit. Looking at this problem as a…
This paper models a two-agent economy with production and appropriation as a noncooperative dynamic game, and determines its closed-form Markovian Nash equilibrium. The analysis highlights the para-metric conditions that tip the economy…
Decarbonization of power systems plays a crucial role in achieving carbon neutral goals across the globe, but there exists a sharp contradiction between the emission reduction and levelized generation cost. Therefore, it is of great…
We consider users which may have renewable energy harvesting devices, or distributed generators. Such users can behave as consumer or producer (hence, we denote them as prosumers) at different time instances. A prosumer may sell the energy…
This paper focuses on stochastic saddle point problems with decision-dependent distributions. These are problems whose objective is the expected value of a stochastic payoff function and whose data distribution drifts in response to…
This paper focuses on multi-agent stochastic differential games for jump-diffusion systems. On one hand, we study the multi-agent game for optimal investment in a jump-diffusion market. We derive constant Nash equilibria and provide…
We study the connection between the evolutionary replicator dynamics and the number of Nash equilibria in large random bi-matrix games. Using techniques of disordered systems theory we compute the statistical properties of both, the fixed…
Many important real-world settings contain multiple players interacting over an unknown duration with probabilistic state transitions, and are naturally modeled as stochastic games. Prior research on algorithms for stochastic games has…
Power system operators and electric utility companies often impose a coincident peak demand charge on customers when the aggregate system demand reaches its maximum. This charge incentivizes customers to strategically shift their peak usage…
We propose a solution and a mechanism for two-agent social choice problems with large (infinite) policy spaces. Our solution is an efficient compromise rule between the two agents, built on a common cardinalization of their preferences. Our…
We study a class of dynamic decision problems of mean field type with time inconsistent cost functionals, and derive a stochastic maximum principle to characterize subgame perfect Nash equilibrium points. Subsequently, this approach is…
In this contribution, the performance of a multi-user system is analyzed in the context of frequency selective fading channels. Using game theoretic tools, a useful framework is provided in order to determine the optimal power allocation…