Related papers: Dynamic Inventory Management with Mean-Field Compe…
Existing multi-agent reinforcement learning methods are limited typically to a small number of agents. When the agent number increases largely, the learning becomes intractable due to the curse of the dimensionality and the exponential…
In this paper, we study a class of discrete-time mean-field games under the infinite-horizon risk-sensitive discounted-cost optimality criterion. Risk-sensitivity is introduced for each agent (player) via an exponential utility function. In…
This paper investigates the efficiency loss in social cost caused by strategic bidding behavior of individual participants in a supply-demand balancing market, and proposes a mechanism to fully recover equilibrium social optimum via…
This paper studies mean field games for multi-agent systems with control-dependent multiplicative noises. For the general systems with nonuniform agents, we obtain a set of decentralized strategies by solving an auxiliary limiting optimal…
We study Nash equilibria for inventory-averse high-frequency traders (HFTs), who trade to exploit information about future price changes. For discrete trading rounds, the HFTs' optimal trading strategies and their equilibrium price impact…
We develop a tractable equilibrium model for price formation in intraday electricity markets in the presence of intermittent renewable generation. Using stochastic control theory, we identify the optimal strategies of agents with market…
In this tutorial, we provide an introduction to machine learning methods for finding Nash equilibria in games with large number of agents. These types of problems are important for the operations research community because of their…
In this paper, we study the Nash dynamics of strategic interplays of n buyers in a matching market setup by a seller, the market maker. Taking the standard market equilibrium approach, upon receiving submitted bid vectors from the buyers,…
We study discrete-time, finite-state mean-field games (MFGs) under model uncertainty, where agents face ambiguity about the state transition probabilities. Each agent maximizes its expected payoff against the worst-case transitions within…
Having fixed capacities, homogeneous products and price sensitive customer purchase decision are primary distinguishing characteristics of numerous revenue management systems. Even with two or three rivals, competition is still highly…
Motivated by the emergence of local groundwater exchanges, we construct and analyze stochastic models of dynamic groundwater markets. Our primary focus is endogenizing the price formation and groundwater pumping strategies in a closed…
In uniform-price markets, suppliers compete to supply a resource to consumers, resulting in a single market price determined by their competition. For sufficient flexibility, producers and consumers prefer to commit to a function as their…
In this paper we study a continuous time equilibrium model of limit order book (LOB) in which the liquidity dynamics follows a non-local, reflected mean-field stochastic differential equation (SDE) with evolving intensity. Generalizing the…
Mean field games are studied by means of the weak formulation of stochastic optimal control. This approach allows the mean field interactions to enter through both state and control processes and take a form which is general enough to…
This paper investigates inventory management in a multi channel distribution system consisting of one manufacturer and an arbitrary number of retailers that face stochastic demand. Existence of the pure Nash equilibrium is proved and…
We propose a decentralized market model in which agents can negotiate bilateral contracts. This builds on a similar, but centralized, model of trading networks introduced by Hatfield et al. in 2013. Prior work has established that…
We study discrete-time mean-field Markov games with infinite numbers of agents where each agent aims to minimize its ergodic cost. We consider the setting where the agents have identical linear state transitions and quadratic cost…
We investigate stochastic differential games of optimal trading comprising a finite population. There are market frictions in the present framework, which take the form of stochastic permanent and temporary price impacts. Moreover,…
Establishing the existence of Nash equilibria for partially observed stochastic dynamic games is known to be quite challenging, with the difficulties stemming from the noisy nature of the measurements available to individual players…
We study the problem of pricing under a Multinomial Logit model where we incorporate network effects over the consumer's decisions. We analyse both cases, when sellers compete or collaborate. In particular, we pay special attention to the…