Related papers: Optimal Investment under Mutual Strategy Influence…
We consider infinite horizon dynamic programming problems, where the control at each stage consists of several distinct decisions, each one made by one of several agents. In an earlier work we introduced a policy iteration algorithm, where…
We consider the problem of optimal investment with random endowment in a Black--Scholes market for an agent with constant relative risk aversion. Using duality arguments, we derive an explicit expression for the optimal trading strategy,…
Research on promoting cooperation among autonomous, self-regarding agents has often focused on the bi-objective optimisation problem: minimising the total incentive cost while maximising the frequency of cooperation. However, the optimal…
In this paper, we consider a robust action selection problem in multi-agent systems where performance must be guaranteed when the system suffers a worst-case attack on its agents. Specifically, agents are tasked with selecting actions from…
We study optimal contract design for large populations of heterogeneous agents whose actions generate network spillovers represented by an interaction function. In a linear-quadratic framework, we solve the finite-agent problem and its…
Interaction strategies for reward in competitive environments are significantly influenced by the nature and extent of available information. In financial markets, particularly foreign exchange (forex), traders operate independently with…
Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution…
As AI usage becomes more prevalent in social contexts, understanding agent-user interaction is critical to designing systems that improve both individual and group outcomes. We present an online behavioral experiment (N = 243) in which…
Many robotic applications involve interactions between multiple agents where an agent's decisions affect the behavior of other agents. Such behaviors can be captured by the equilibria of differential games which provide an expressive…
The central result of this paper is the analysis of an optimization problem which allows one to assess the limiting performance of a team of two agents who coordinate their actions. One agent is fully informed about the past and future…
Two major financial market complexities are transaction costs and uncertain volatility, and we analyze their joint impact on the problem of portfolio optimization. When volatility is constant, the transaction costs optimal investment…
We consider a multi-agent optimal resource sharing problem that is represented by a linear program. The amount of resource to be shared is fixed, and agents belong to a population that is characterized probabilistically so as to allow…
While many multiagent algorithms are designed for homogeneous systems (i.e. all agents are identical), there are important applications which require an agent to coordinate its actions without knowing a priori how the other agents behave.…
Consider a multi-agent system in a dynamic and uncertain environment. Each agent's local decision problem is modeled as a Markov decision process (MDP) and agents must coordinate on a joint action in each period, which provides a reward to…
The rapid growth of crypto markets has opened new opportunities for investors, but at the same time exposed them to high volatility. To address the challenge of managing dynamic portfolios in such an environment, this paper presents a…
Planning for ad hoc teamwork is challenging because it involves agents collaborating without any prior coordination or communication. The focus is on principled methods for a single agent to cooperate with others. This motivates…
We consider the learning dynamics of a single reinforcement learning optimal execution trading agent when it interacts with an event driven agent-based financial market model. Trading takes place asynchronously through a matching engine in…
We examine the dynamics of informational efficiency in a market with asymmetrically informed, boundedly rational traders who adaptively learn optimal strategies using simple multiarmed bandit (MAB) algorithms. The strategies available to…
Two-sided matchings are an important theoretical tool used to model markets and social interactions. In many real life problems the utility of an agent is influenced not only by their own choices, but also by the choices that other agents…
Multi-agent systems are designed to concurrently accomplish a diverse set of tasks at unprecedented scale. Here, the central problems faced by a system operator are to decide (i) how to divide available resources amongst the agents assigned…