Related papers: A Stochastic Knapsack Game: Revenue Management in …
We consider the problem of using logged data to make predictions about what would happen if we changed the `rules of the game' in a multi-agent system. This task is difficult because in many cases we observe actions individuals take but not…
We introduce a system of kinetic equations describing an exchange market consisting of two populations of agents (dealers and speculators) expressing the same preferences for two goods, but applying different strategies in their exchanges.…
In recent years, there has been a proliferation of online gambling sites, which made gambling more accessible with a consequent rise in related problems, such as addiction. Hence, the analysis of the gambling behaviour at both the…
Stackelberg games are a classic example of bilevel optimization problems, which are often encountered in game theory and economics. These are complex problems with a hierarchical structure, where one optimization task is nested within the…
In this paper, we study twelve stochastic input models for online problems and reveal the relationships among the competitive ratios for the models. The competitive ratio is defined as the worst ratio between the expected optimal value and…
The design of revenue-maximizing combinatorial auctions, i.e. multi-item auctions over bundles of goods, is one of the most fundamental problems in computational economics, unsolved even for two bidders and two items for sale. In the…
Game logic is a dynamic modal logic which models strategic two person games; it contains propositional dynamic logic (PDL) as a fragment. We propose an interpretation of game logic based on stochastic effectivity functions. A definition of…
The fractional knapsack problem is one of the classical problems in combinatorial optimization, which is well understood in the offline setting. However, the corresponding online setting has been handled only briefly in the theoretical…
We present a computational model of mathematical reasoning according to which mathematics is a fundamentally stochastic process. That is, on our model, whether or not a given formula is deemed a theorem in some axiomatic system is not a…
This paper examines a trade execution game for two large traders in a generalized price impact model. We incorporate a stochastic and sequentially dependent factor that exogenously affects the market price into financial markets. Our model…
Unlike the classical kinetic theory of rarefied gases, where microscopic interactions among gas molecules are described as binary collisions, the modelling of socio-economic phenomena in a multi-agent system naturally requires to consider,…
Online decision-making can be formulated as the popular stochastic multi-armed bandit problem where a learner makes decisions (or takes actions) to maximize cumulative rewards collected from an unknown environment. This paper proposes to…
Group-buying auction has become a popular marketing strategy in the last decade. In this paper, a stochastic model is developed for an inventory system subjects to demands from group-buying auctions. The model discussed here takes into the…
We consider the problem of supply and demand balancing that is stated as a minimization problem for the total expected revenue function describing the behavior of both consumers and suppliers. In the considered market model we assume that…
Supermarket models with different servers become a key in modeling resource management of stochastic networks, such as, computer networks, manufacturing systems and transportation networks. While these different servers always make analysis…
We introduce a class of robust control problems formulated in min-max form, in which the principal agent is viewed as a central planner facing Nature. The agent's cost is a nonlinear function of all its possible realizations, encompassing…
We study market making in aggregator-routed RFQ markets where platform routing depends on slowly varying dealer performance scores. We propose a two-tier stochastic control model that separates RFQ-level price competition from a macro…
This paper is devoted to a high-dimensional mixed leadership stochastic differential game on a finite horizon in feedback information mode, where the control variables enter into the diffusion term of state equation. A verification theorem…
A sequence of recent studies show that even in the simple setting of a single seller and a single buyer with additive, independent valuations over $m$ items, the revenue-maximizing mechanism is prohibitively complex. This problem has been…
We develop an approach for two player constraint zero-sum and nonzero-sum stochastic differential games, which are modeled by Markov regime-switching jump-diffusion processes. We provide the relations between a usual stochastic optimal…