Related papers: The Price of Anarchy for Instantaneous Dynamic Equ…
This paper derives a diffusion approximation for a sequence of discrete-time one-sided limit order book models with non-linear state dependent order arrival and cancellation dynamics. The discrete time sequences are specified in terms of an…
The price of anarchy and price of stability are three well-studied performance metrics that seek to characterize the inefficiency of equilibria in distributed systems. The distinction between these two performance metrics centers on the…
In this work, we study a single-machine scheduling problem that aims at minimizing the total cost of a schedule subject to start-time dependent costs. This framework naturally captures scenarios where costs fluctuate throughout the day,…
Vickrey's classic single-bottleneck departure time choice equilibrium model exhibits instability under many plausible day-to-day learning dynamics. Such instability is not observed in reality -- does this difference stem from the day-to-day…
In this paper, we consider a dynamic equilibrium transportation problem. There is a fixed number of cars moving from origin to destination areas. Preferences for arrival times are expressed as a cost of arriving before or after the…
We consider "time-of-use" pricing as a technique for matching supply and demand of temporal resources with the goal of maximizing social welfare. Relevant examples include energy, computing resources on a cloud computing platform, and…
We consider the problem of scheduling a queueing system in which many statistically identical servers cater to several classes of impatient customers. Service times and impatience clocks are exponential while arrival processes are renewal.…
As is well known, average-cost optimality inequalities imply the existence of stationary optimal policies for Markov Decision Processes with average costs per unit time, and these inequalities hold under broad natural conditions. This paper…
Several works have recently suggested to model the problem of coordinating the charging needs of a fleet of electric vehicles as a game, and have proposed distributed algorithms to coordinate the vehicles towards a Nash equilibrium of such…
Most of the early input-queued switch research focused on establishing throughput optimality of the max-weight scheduling policy, with some recent research showing that max-weight scheduling is optimal with respect to total expected delay…
We introduce the Estimated Dynamic Equilibrium Model (EDEM), an agent-based framework that treats supply and demand as a coupled stochastic process driven by heterogeneous, noisy agent valuations. The model's primary technical contribution…
The price of anarchy (PoA) is a popular metric for analyzing the inefficiency of self-interested decision making. Although its study is widespread, characterizing the PoA can be challenging. A commonly employed approach is based on the…
We study single commodity network flows with suitable robustness and efficiency specs. An original use of a maximum entropy problem for distributions on the paths of the graph turns this problem into a steering problem for Markov chains…
At the ultra high frequency level, the notion of price of an asset is very ambiguous. Indeed, many different prices can be defined (last traded price, best bid price, mid price,...). Thus, in practice, market participants face the problem…
We study a double-ended queue where buyers and sellers arrive to conduct trades. When there is a pair of buyer and seller in the system, they immediately transact a trade and leave. Thus there cannot be non-zero number of buyers and sellers…
Dynamic user equilibrium (DUE) is a Nash-like solution concept describing an equilibrium in dynamic traffic systems over a fixed planning period. DUE is a challenging class of equilibrium problems, connecting network loading models and…
We extend stochastic network optimization theory to treat networks with arbitrary sample paths for arrivals, channels, and mobility. The network can experience unexpected link or node failures, traffic bursts, and topology changes, and…
Stochastic differential equations have proved to be a valuable governing framework for many real-world systems which exhibit ``noise'' or randomness in their evolution. One quality of interest in such systems is the shape of their…
In this paper we present a stable day-to-day dynamical system for drivers' departure time choice at a single bottleneck. We first define within-day traffic dynamics with the point queue model, costs, the departure time user equilibrium…
Executing even moderately large derivatives orders can be expensive and risky; it's hard to balance the uncertainty of working an order over time versus paying a liquidity premium for immediate execution. Here, we introduce the Time Is…