Related papers: Applying the Nash Bargaining Solution for a Reason…
Despite a substantial body of theoretical and empirical research in the fields of conjoint and discrete choice analysis as well as product line optimization, relatively few papers focused on the simulation of subsequent competitive dynamics…
We develop a general game-theoretic framework for reasoning about strategic agents performing possibly costly computation. In this framework, many traditional game-theoretic results (such as the existence of a Nash equilibrium) no longer…
Generalized Nash equilibrium problems with mixed-integer variables constitute an important class of games in which each player solves a mixed-integer optimization problem, where both the objective and the feasible set is parameterized by…
We study the range of prices at which a rational agent should contemplate transacting a financial contract outside a given securities market. Trading is subject to nonproportional transaction costs and portfolio constraints and full…
It is often of interest to estimate regression functions non-parametrically. Penalized regression (PR) is one statistically-effective, well-studied solution to this problem. Unfortunately, in many cases, finding exact solutions to PR…
We generalize the classic problem of fairly allocating indivisible goods to the problem of \emph{fair public decision making}, in which a decision must be made on several social issues simultaneously, and, unlike the classic setting, a…
This paper is merged with arXiv:2107.08965v2. We refer the reader to the full and updated version. We study the problem of allocating a set of indivisible goods among agents with 2-value additive valuations. Our goal is to find an…
The solution to a Nash or a nonsymmetric bargaining game is obtained by maximizing a concave function over a convex set, i.e., it is the solution to a convex program. We show that each 2-player game whose convex program has linear…
The Colonel Blotto game, formulated by Emile Borel, involves players allocating limited resources to multiple battlefields simultaneously, with the winner being the one who allocates more resources to each battlefield. Computation of the…
We study the deterministic and randomized query complexity of finding approximate equilibria in bimatrix games. We show that the deterministic query complexity of finding an $\epsilon$-Nash equilibrium when $\epsilon < \frac{1}{2}$ is…
We present a new algorithm for computing pure-strategy $\varepsilon$-Bayes-Nash equilibria ($\varepsilon$-BNEs) in combinatorial auctions with continuous value and action spaces. An essential innovation of our algorithm is to separate the…
We address the question of whether price of stability results (existence of equilibria with low social cost) are robust to incomplete information. We show that this is the case in potential games, if the underlying algorithmic social cost…
A fair gambling is hard to be made between two spatially separated parties without introducing a trusted third party. Here we propose a novel gambling protocol, which enables fair gambling between two distant parties without the help of a…
This paper studies the utility maximization on the terminal wealth with random endowments and proportional transaction costs. To deal with unbounded random payoffs from some illiquid claims, we propose to work with the acceptable portfolios…
We consider a class of Wasserstein distributionally robust Nash equilibrium problems, where agents construct heterogeneous data-driven Wasserstein ambiguity sets using private samples and radii, in line with their individual risk-averse…
The main result of this paper is a probabilistic proof of the penalty method for approximating the price of an American put in the Black-Scholes market. The method gives a parametrized family of partial differential equations, and by…
We introduce a strategic behavior in reinsurance bilateral transactions, where agents choose the risk preferences they will appear to have in the transaction. Within a wide class of risk measures, we identify agents' strategic choices to a…
Nash equilibrium is a common solution concept that captures strategic interaction in electricity market analysis. However, it requires a fundamental but impractical assumption that all market participants are fully rational, implying…
We propose a stochastic first-order algorithm to learn the rationality parameters of simultaneous and non-cooperative potential games, i.e., the parameters of the agents' optimization problems. Our technique combines (i.) an active-set step…
We study optimal transport-based distributionally robust optimization problems where a fictitious adversary, often envisioned as nature, can choose the distribution of the uncertain problem parameters by reshaping a prescribed reference…