Related papers: Continuous-time incentives in hierarchies
Strongly contracting dynamical systems have numerous properties (e.g., incremental ISS), find widespread applications (e.g., in controls and learning), and their study is receiving increasing attention. This work starts with the simple…
In a multi-agent system, an agent's optimal policy will typically depend on the policies chosen by others. Therefore, a key issue in multi-agent systems research is that of predicting the behaviours of others, and responding promptly to…
This paper deals with a stochastic recursive optimal control problem, where the diffusion coefficient depends on the control variable and the control domain is not necessarily convex. We focus on the connection between the general maximum…
In this paper, which is a continuation of the previously published discrete time paper we develop a theory for continuous time stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a…
This work considers a repeated principal-agent bandit game, where the principal can only interact with her environment through the agent. The principal and the agent have misaligned objectives and the choice of action is only left to the…
In this paper, we consider the classic stochastic (dynamic) knapsack problem, a fundamental mathematical model in revenue management, with general time-varying random demand. Our main goal is to study the optimal policies, which can be…
In a continuous-time setting where a risk-averse agent controls the drift of an output process driven by a Brownian motion, optimal contracts are linear in the terminal output; this result is well-known in a setting with moral hazard and…
This paper studies the problem of optimal flow control in dynamic inventory systems. A dynamic optimal distribution problem, including time-varying supply and demand, capacity constraints on the transportation lines, and convex flow cost…
This paper is concerned with a three-level multi-leader-follower incentive Stackelberg game with $H_\infty$ constraint. Based on $H_2/H_\infty$ control theory, we firstly obtain the worst-case disturbance and the team-optimal strategy by…
We consider a deterministic continuous time model of monopolistic firm, which chooses production and pricing strategies of a single good. Firm's goal is to maximize the discounted profit over infinite time horizon. The no-backlogging…
Risk measures are commonly used to capture the risk preferences of decision-makers (DMs). The decisions of DMs can be nudged or manipulated when their risk preferences are influenced by factors such as the availability of information about…
We study high-dimensional stochastic optimal control problems in which many agents cooperate to minimize a convex cost functional. We consider both the full-information problem, in which each agent observes the states of all other agents,…
In this paper, we investigate a moral hazard problem in finite time with lump$-$sum and continuous payments, involving infinitely many Agents with mean field type interactions, hired by one Principal. By reinterpreting the mean$-$field game…
In this work we study a multi-agent coordination problem in which agents are only able to communicate with each other intermittently through a cloud server. To reduce the amount of required communication, we develop a self-triggered…
Recently, there has been a growing interest in developing inventory control policies which are robust to model misspecification. One approach is to posit that nature selects a worst-case distribution for any stochastic primitives from some…
This paper studies algorithmic decision-making under human's strategic behavior, where a decision maker uses an algorithm to make decisions about human agents, and the latter with information about the algorithm may exert effort…
Automated decision-making tools increasingly assess individuals to determine if they qualify for high-stakes opportunities. A recent line of research investigates how strategic agents may respond to such scoring tools to receive favorable…
In the combinatorial-action contract model (D\"utting et al., FOCS'21) a principal delegates the execution of a complex project to an agent, who can choose any subset from a given set of actions. Each set of actions incurs a cost to the…
We study a decision-maker's problem of finding optimal monetary incentive schemes for retention when faced with agents whose participation decisions (stochastically) depend on the incentive they receive. Our focus is on policies constrained…
Optimization of decision problems in stochastic environments is usually concerned with maximizing the probability of achieving the goal and minimizing the expected episode length. For interacting agents in time-critical applications,…