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Stochastic games with discounted payoff, introduced by Shapley, model adversarial interactions in stochastic environments where two players try to optimize a discounted sum of rewards. In this model, long-term weights are geometrically…
Market-based mechanisms such as auctions are being studied as an appropriate means for resource allocation in distributed and mulitagent decision problems. When agents value resources in combination rather than in isolation, they must often…
In optimization routines used for on-line Model Predictive Control (MPC), linear systems of equations are usually solved in each iteration. This is true both for Active Set (AS) methods as well as for Interior Point (IP) methods, and for…
Cross-group externalities and network effects in two-sided platform markets shape market structure and competition policy, and are the subject of extensive study. Less understood are the within-group externalities that arise when the…
Multi-agent learning is a challenging problem in machine learning that has applications in different domains such as distributed control, robotics, and economics. We develop a prescriptive model of multi-agent behavior using Markov games.…
This paper investigates design of noncooperative games from an optimization and control theoretic perspective. Pricing mechanisms are used as a design tool to ensure that the Nash equilibrium of a fairly general class of noncooperative…
This article introduces a novel mean-field game model for multi-sector economic growth in which a dynamically evolving externality, influenced by the collective actions of agents, plays a central role. Building on classical growth theories…
Game-theoretic concepts have been extensively studied in economics to provide insight into competitive behaviour and strategic decision making. As computing systems increasingly involve concurrently acting autonomous agents, game-theoretic…
We compute equilibrium strategies in multi-stage games with continuous signal and action spaces as they are widely used in the management sciences and economics. Examples include sequential sales via auctions, multi-stage elimination…
We introduce a class of learning problems where the agent is presented with a series of tasks. Intuitively, if there is relation among those tasks, then the information gained during execution of one task has value for the execution of…
In most OTC markets, a small number of market makers provide liquidity to other market participants. More precisely, for a list of assets, they set prices at which they agree to buy and sell. Market makers face therefore an interesting…
This paper develops a mathematical framework for building a position in a stock over a fixed period of time while in competition with one or more other traders doing the same thing. We develop a game-theoretic framework that takes place in…
We discuss a class of explicitly solvable mean field type control problems/mean field games with a clear economic interpretation. More precisely, we consider long term average impulse control problems with underlying general one-dimensional…
We introduce a microscopic model of interacting financial agents, where each agent is characterized by two portfolios; money invested in bonds and money invested in stocks. Furthermore, each agent is faced with an optimization problem in…
An important challenge in non-cooperative game theory is coordinating on a single (approximate) equilibrium from many possibilities - a challenge that becomes even more complex when players hold private information. Recommender mechanisms…
Financial markets are often driven by latent factors which traders cannot observe. Here, we address an algorithmic trading problem with collections of heterogeneous agents who aim to perform optimal execution or statistical arbitrage, where…
This study addresses primal-dual dynamics for a stochastic programming problem for capacity network design. It is proven that consensus can be achieved on the \textit{here and now} variables which represent the capacity of the network. The…
Agents attempt to maximize expected profits earned by selling multiple units of a perishable product where their revenue streams are affected by the prices they quote as well as the distribution of other prices quoted in the market by other…
This paper proposes a computationally efficient mechanism for multi-dimensional matching markets where agents report preferences over object features rather than complete utility assessments. We use Singular Value Decomposition (SVD) to…
Hanson's market scoring rules allow us to design a prediction market that still gives useful information even if we have an illiquid market with a limited number of budget-constrained agents. Each agent can "move" the current price of a…