Related papers: Fisher Markets with Linear Constraints: Equilibriu…

This paper describes a method for computing price signals for prosumers, incentivizing them to adjust their consumption according to the constraints of the distribution grids to which they are connected, thereby preventing voltage…

We consider combinatorial multi-item markets and propose the notion of a $\Delta$-regret Walras equilibrium, which is an allocation of items to players and a set of item prices that achieve the following goals: prices clear the market, the…

We study optimization algorithms for the finite sum problems frequently arising in machine learning applications. First, we propose novel variants of stochastic gradient descent with a variance reduction property that enables linear…

We consider the classical linear assignment problem, and we introduce new auction algorithms for its optimal and suboptimal solution. The algorithms are founded on duality theory, and are related to ideas of competitive bidding by persons…

Proportional response is a well-established distributed algorithm which has been shown to converge to competitive equilibria in both Fisher and Arrow-Debreu markets, for various sub-families of homogeneous utilities, including linear and…

Ensuring sufficient liquidity is one of the key challenges for designers of prediction markets. Various market making algorithms have been proposed in the literature and deployed in practice, but there has been little effort to evaluate…

We study the problem of computing approximate market equilibria in Fisher markets with separable piecewise-linear concave (SPLC) utility functions. In this setting, the problem was only known to be PPAD-complete for inverse-polynomial…

We revisit the problem of designing strategyproof mechanisms for allocating divisible items among two agents who have linear utilities, where payments are disallowed and there is no prior information on the agents' preferences. The…

This paper introduces a new representation for the actions of a market maker in an order-driven market. This representation uses scaled beta distributions, and generalises three approaches taken in the artificial intelligence for market…

We consider the budget optimization problem faced by an advertiser participating in repeated sponsored search auctions, seeking to maximize the number of clicks attained under that budget. We cast the budget optimization problem as a Markov…

The computation of equilibrium prices at which the supply of goods matches their demand typically relies on complete information on agents' private attributes, e.g., suppliers' cost functions, which are often unavailable in practice.…

Budget allocation of marketplace levers, such as incentives for drivers and promotions for riders, has long been a technical and business challenge at Uber; understanding lever budget changes' impact and estimating cost efficiency to…

Computing market equilibria is a problem of both theoretical and applied interest. Much research to date focuses on the case of static Fisher markets with full information on buyers' utility functions and item supplies. Motivated by…

According to the fundamental theorems of welfare economics, any competitive equilibrium is Pareto efficient. Unfortunately, competitive equilibrium prices only exist under strong assumptions such as perfectly divisible goods and convex…

This paper proposes a novel numerical method for solving the problem of decision making under cumulative prospect theory (CPT), where the goal is to maximize utility subject to practical constraints, assuming only finite realizations of the…

Budgets play a significant role in real-world sequential auction markets such as those implemented by internet companies. To maximize the value provided to auction participants, spending is smoothed across auctions so budgets are used for…

We provide an explicit characterization of the optimal market making strategy in a discrete-time Limit Order Book (LOB). In our model, the number of filled orders during each period depends linearly on the distance between the fundamental…

We study the problem of optimal trading using general alpha predictors with linear costs and temporary impact. We do this within the framework of stochastic optimization with finite horizon using both limit and market orders. Consistently…

Wireless networks are evolving from radio resource providers to complex systems that also involve computing, with the latter being distributed across edge and cloud facilities. Also, their optimization is shifting more and more from a…

The global ambitions of a carbon-neutral society necessitate a stable and robust smart grid that capitalises on frequency reserves of renewable energy. Frequency reserves are resources that adjust power production or consumption in real…