Related papers: Optimal, Truthful, and Private Securities Lending
We consider the problem of dynamic buying and selling of shares from a collection of $N$ stocks with random price fluctuations. To limit investment risk, we place an upper bound on the total number of shares kept at any time. Assuming that…
In this paper we formulate the fixed budget resource allocation game to understand the performance of a distributed market-based resource allocation system. Multiple users decide how to distribute their budget (bids) among multiple machines…
We study revenue optimization pricing algorithms for repeated posted-price auctions where a seller interacts with a single strategic buyer that holds a fixed private valuation. We show that, in the case when both the seller and the buyer…
The problem of sequentially maximizing the expectation of a function seeks to maximize the expected value of a function of interest without having direct control on its features. Instead, the distribution of such features depends on a given…
This paper studies Social Law Synthesis (SLS) in strategic multi-agent environments as a new multi-unit mechanism design problem. We model SLS as a Bayesian single-parameter procurement auction based on Alternating-time Temporal Logic (ATL)…
This paper studies some basic problems in a multiple-object auction model using methodologies from theoretical computer science. We are especially concerned with situations where an adversary bidder knows the bidding algorithms of all the…
We consider an optimal stopping problem with n correlated offers where the goal is to design a (randomized) stopping strategy that maximizes the expected value of the offer in the sequence at which we stop. Instead of assuming to know the…
Motivated by the applications of rental services in e-commerce, we consider revenue maximization in online assortment of reusable resources for a stream of arriving consumers with different types. We design competitive online algorithms…
Fairness and privacy are two important concerns in social decision-making processes such as resource allocation. We study privacy in the fair allocation of indivisible resources using the well-established framework of differential privacy.…
We study the problem of decision-making in the setting of a scarcity of shared resources when the preferences of agents are unknown a priori and must be learned from data. Taking the two-sided matching market as a running example, we focus…
Online Resource Allocation problem is a central problem in many areas of Computer Science, Operations Research, and Economics. In this problem, we sequentially receive $n$ stochastic requests for $m$ kinds of shared resources, where each…
Traditional user profiling techniques rely on browsing history or purchase records to identify users' willingness to pay. This enables sellers to offer personalized prices to profiled users while charging only a uniform price to…
We consider the problem of a single seller repeatedly selling a single item to a single buyer (specifically, the buyer has a value drawn fresh from known distribution $D$ in every round). Prior work assumes that the buyer is fully rational…
The problem of optimal allocation of monitoring resources for tracking transactions progressing through a distributed system, modeled as a queueing network, is considered. Two forms of monitoring information are considered, viz., locally…
A multi-product monopolist faces a buyer who is privately informed about his valuations for the goods. As is well-known, optimal mechanisms are in general complicated, while simple mechanisms -- such as pure bundling or separate sales --…
Stochastic optimization is one of the central problems in Machine Learning and Theoretical Computer Science. In the standard model, the algorithm is given a fixed distribution known in advance. In practice though, one may acquire at a cost…
This thesis mainly focuses on two problems in capital structure and individual's life-cycle portfolio choice. In the first problem, we derive a stochastic control model to optimize banks' dividend and recapitalization policies and calibrate…
Online allocation problems with resource constraints have a rich history in operations research. In this paper, we introduce the \emph{regularized online allocation problem}, a variant that includes a non-linear regularizer acting on the…
In this paper, we study a general online linear programming problem whose formulation encompasses many practical dynamic resource allocation problems, including internet advertising display applications, revenue management, various routing,…
A rapidly growing literature on lying in behavioral economics and psychology shows that individuals often do not lie even when lying maximizes their utility. In this work, we attempt to incorporate these findings into the theory of…