Related papers: Optimal Dynamic Mechanism Design with Stochastic S…

This paper considers a problem where multiple users make repeated decisions based on their own observed events. The events and decisions at each time step determine the values of a utility function and a collection of penalty functions. The…

We study a classic Bayesian mechanism design setting of monopoly problem for an additive buyer in the presence of budgets. In this setting a monopolist seller with $m$ heterogeneous items faces a single buyer and seeks to maximize her…

We consider a bilevel continuous knapsack problem where the leader controls the capacity of the knapsack, while the follower chooses a feasible packing maximizing his own profit. The leader's aim is to optimize a linear objective function…

In this work, we use a Stackelberg infinite discrete-time dynamic game model to study the optimal supply schedule and the optimal demand response under a market-driven dynamic price. A two-layer optimization framework is established. At the…

We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By…

Demand response (DR) programs play a crucial role in improving system reliability and mitigating price volatility by altering the core profile of electricity consumption. This paper proposes a game-theoretical model that captures the…

The assortment problem in revenue management is the problem of deciding which subset of products to offer to consumers in order to maximise revenue. A simple and natural strategy is to select the best assortment out of all those that are…

Dynamic pricing schemes were introduced as an alternative to posted-price mechanisms. In contrast to static models, the dynamic setting allows to update the prices between buyer-arrivals based on the remaining sets of items and buyers, and…

We consider a fundamental dynamic allocation problem motivated by the problem of $\textit{securities lending}$ in financial markets, the mechanism underlying the short selling of stocks. A lender would like to distribute a finite number of…

We study the classic divide-and-choose method for equitably allocating divisible goods between two players who are rational, self-interested Bayesian agents. The players have additive values for the goods. The prior distributions on those…

We consider a finite-horizon discrete-time dynamic system jointly controlled by a designer and one or more agents, where the designer can influence the agents' actions through selective information disclosure. At each time step, the…

We are interested in the setting where a seller sells sequentially arriving items, one per period, via a dynamic auction. At the beginning of each period, each buyer draws a private valuation for the item to be sold in that period and this…

Selling a single item to $n$ self-interested buyers is a fundamental problem in economics, where the two objectives typically considered are welfare maximization and revenue maximization. Since the optimal mechanisms are often impractical…

In multi-period stochastic optimization problems, the future optimal decision is a random variable whose distribution depends on the parameters of the optimization problem. We analyze how the expected value of this random variable changes…

Optimal inventory leads to stochastic optimization problems where deterministic delivery decisions have to be made in advance of stochastic demand realizations. Similarly, risk deposits have to be given before the random outcomes of…

Distribution shifts have long been regarded as troublesome external forces that a decision-maker should either counteract or conform to. An intriguing feedback phenomenon termed decision dependence arises when the deployed decision affects…

We show that the Revenue-Optimal Deterministic Mechanism Design problem for a single additive buyer is #P-hard, even when the distributions have support size 2 for each item and, more importantly, even when the optimal solution is…

We study the problem of modeling purchase of multiple products and utilizing it to display optimized recommendations for online retailers and e-commerce platforms. We present a parsimonious multi-purchase family of choice models called the…

This paper focuses on the problem of finding a particular data recommendation strategy based on the user preferences and a system expected revenue. To this end, we formulate this problem as an optimization by designing the recommendation…

We consider a multi-stage stochastic lot-sizing problem with service level constraints and supplier-driven product substitution. A firm has multiple products and it has the option to meet demand from substitutable products at a cost.…