Related papers: Randomization in Optimal Execution Games
A fundamental open problem in monotone game theory is the computation of a specific generalized Nash equilibrium (GNE) among all the available ones, e.g. the optimal equilibrium with respect to a system-level objective. The existing GNE…
The efficient market hypothesis (EMH) famously stated that prices fully reflect the information available to traders. This critically depends on the transfer of information into prices through trading strategies. Traders optimise their…
Chance-constrained correlated equilibrium enables coordination of noncooperative agents under cost uncertainty through probabilistic incentive-compatibility guarantees. However, computing such equilibria becomes intractable in large-scale…
We consider a repeated Matching Pennies game in which players have limited access to randomness. Playing the (unique) Nash equilibrium in this n-stage game requires n random bits. Can there be Nash equilibria that use less than n random…
We study strategic games on weighted directed graphs, where the payoff of a player is defined as the sum of the weights on the edges from players who chose the same strategy augmented by a fixed non-negative bonus for picking a given…
Zero-sum stochastic games have found important applications in a variety of fields, from machine learning to economics. Work on this model has primarily focused on the computation of Nash equilibrium due to its effectiveness in solving…
Randomized mechanisms can have good normative properties compared to their deterministic counterparts. However, randomized mechanisms are problematic in several ways such as in their verifiability. We propose here to derandomize such…
We consider a game of decentralized timing of jobs to a single server (machine) with a penalty for deviation from a due date, and no delay costs. The jobs' sizes are homogeneous and deterministic. Each job belongs to a single decision…
We introduce a new algorithm for the numerical computation of Nash equilibria of competitive two-player games. Our method is a natural generalization of gradient descent to the two-player setting where the update is given by the Nash…
We consider a class of multi-robot motion planning problems where each robot is associated with multiple objectives and decoupled task specifications. The problems are formulated as an open-loop non-cooperative differential game. A…
We study the effectiveness of iterated elimination of strictly-dominated actions in random games. We show that dominance solvability of games is vanishingly small as the number of at least one player's actions grows. Furthermore,…
We investigate the well-posedness in the Hadamard sense and the absence of price manipulation in the optimal execution problem within the Almgren-Chriss framework, where the temporary and permanent impact parameters vary deterministically…
We study the computation of equilibria of anonymous games, via algorithms that may proceed via a sequence of adaptive queries to the game's payoff function, assumed to be unknown initially. The general topic we consider is \emph{query…
Congestion games offer a primary model in the study of pure Nash equilibria in non-cooperative games, and a number of generalized models have been proposed in the literature. One line of generalization includes weighted congestion games, in…
Nash equilibrium is a solution concept in non-strictly competitive, non-cooperative game theory that finds applications in various scientific and engineering disciplines. A non-strictly competitive, non-cooperative game model is presented…
The Nash equilibrium problem is a widely used tool to model non-cooperative games. Many solution methods have been proposed in the literature to compute solutions of Nash equilibrium problems with continuous strategy sets, but, besides some…
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…
Computational aspects of solution notions such as Nash equilibrium have been extensively studied, including settings where the ultimate goal is to find an equilibrium that possesses some additional properties. Furthermore, in order to…
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…
We introduce a new non-zero-sum game of optimal stopping with asymmetric exercise opportunities. Given a stochastic process modelling the value of an asset, one player observes and can act on the process continuously, while the other player…