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We investigate the problem of gambling with uncertainty in outcome probabilities. Stochastic optimization models are proposed for optimal investing on events with mutually exclusive outcomes when probabilities are estimated using…
In this paper, we investigate a largely extended version of classical MAB problem, called networked combinatorial bandit problems. In particular, we consider the setting of a decision maker over a networked bandits as follows: each time a…
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…
Matrix games constitute a fundamental problem of game theory and describe a situation of two players with completely conflicting interests. We show how methods from statistical mechanics can be used to investigate the statistical properties…
This paper designs a distributed stochastic annealing algorithm for non-convex cooperative aggregative games, whose agents' cost functions not only depend on agents' own decision variables but also rely on the sum of agents' decision…
Models in which the number of goals scored by a team in a soccer match follow a Poisson distribution, or a closely related one, have been widely discussed. We here consider a soccer match as an experiment to assess which of two teams is…
Simultaneous ascending auctions present agents with the exposure problem: bidding to acquire a bundle risks the possibility of obtaining an undesired subset of the goods. Auction theory provides little guidance for dealing with this…
This work proposes a unified framework for portfolio allocation, covering both asset selection and optimization, based on a multiple-hypothesis predict-then-optimize approach. The portfolio is modeled as a structured ensemble, where each…
The Estimation of Distribution Algorithm is a new class of population based search methods in that a probabilistic model of individuals is estimated based on the high quality individuals and used to generate the new individuals. In this…
The forecasting of sports events is of broad interest from the applied but also from the theoretical perspective. In this work the question is addressed for the example of the German soccer Bundesliga how a theoretically optimum forecast of…
The accumulation of individual fitness or wealth is modelled as a population game in which pairs of individuals are recurrently and randomly matched to play a game over a resource. In addition, all individuals have random access to a…
Opportunities for stochastic arbitrage in an options market arise when it is possible to construct a portfolio of options which provides a positive option premium and which, when combined with a direct investment in the underlying asset,…
We report a new result on lotteries --- that a well-funded syndicate has a purely mechanical strategy to achieve expected returns of 10\% to 25\% in an equiprobable lottery with no take and no carryover pool. We prove that an optimal…
This note proposes a procedure for enhancing the quality of probabilistic prediction algorithms via betting against their predictions. It is inspired by the success of the conformal test martingales that have been developed recently.
Game theory serves as a powerful tool for distributed optimization in multi-agent systems in different applications. In this paper we consider multi-agent systems that can be modeled by means of potential games whose potential function…
The basic social dilemma is frequently captured by a public goods game where participants decide simultaneously whether to support a common pool or not and after the enhanced contributions are distributed uniformly among all competitors.…
Combinatorial optimization can be described as the problem of finding a feasible subset that maximizes a objective function. The paper discusses combinatorial optimization problems, where for each dimension the set of feasible subsets is…
Financial options are contracts that specify the right to buy or sell an underlying asset at a strike price by an expiration date. Standard exchanges offer options of predetermined strike values and trade options of different strikes…
We introduce a "high probability" framework for repeated games with incomplete information. In our non-equilibrium setting, players aim to guarantee a certain payoff with high probability, rather than in expected value. We provide a high…
Converting betting odds into accurate outcome probabilities is a fundamental challenge in order to use betting odds as a benchmark for sports forecasting and market efficiency analysis. In this study, we propose two methods to overcome the…