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Entropic risk (ERisk) is an established risk measure in finance, quantifying risk by an exponential re-weighting of rewards. We study ERisk for the first time in the context of turn-based stochastic games with the total reward objective.…
In an incomplete market setting, we consider two financial agents, who wish to price and trade a non-replicable contingent claim. Assuming that the agents are utility maximizers, we propose a transaction price which is a result of the…
We consider the problem of a revenue-maximizing seller with m items for sale to n additive bidders with hard budget constraints, assuming that the seller has some prior distribution over bidder values and budgets. The prior may be…
For effective decision support in scenarios with conflicting objectives, sets of potentially optimal solutions can be presented to the decision maker. We explore both what policies these sets should contain and how such sets can be computed…
We study the switch distribution, introduced by Van Erven et al. (2012), applied to model selection and subsequent estimation. While switching was known to be strongly consistent, here we show that it achieves minimax optimal parametric…
We study the mechanism design problem of allocating a set of indivisible items without monetary transfers. Despite the vast literature on this very standard model, it still remains unclear how do truthful mechanisms look like. We focus on…
Despite many distributed resource allocation (DRA) algorithms have been reported in literature, it is still unknown how to allocate the resource optimally over multiple interacting coalitions. One major challenge in solving such a problem…
This paper presents karma mechanisms, a novel approach to the repeated allocation of a scarce resource among competing agents over an infinite time. Examples include deciding which ride hailing trip requests to serve during peak demand,…
We consider the problem of an agent who faces losses in continuous time over a finite time horizon and may choose to share some of these losses with a counterparty. The agent is uncertain about the true loss distribution and has multiple…
With the advent of prosumers, the traditional centralized operation may become impracticable due to computational burden, privacy concerns, and conflicting interests. In this paper, an energy sharing mechanism is proposed to accommodate…
We consider the optimization problem of a multi-resource, multi-unit VCG auction that produces an optimal, i.e., non-approximated, social welfare. We present an algorithm that solves this optimization problem with pseudo-polynomial…
Inspired by Internet ad auction applications, we study the problem of allocating a single item via an auction when bidders place very different values on the item. We formulate this as the problem of prior-free auction and focus on…
We introduce a new measure of the discrepancy in strategic games between the social welfare in a Nash equilibrium and in a social optimum, that we call selfishness level. It is the smallest fraction of the social welfare that needs to be…
It is often beneficial for agents to pool their resources in order to better accommodate fluctuations in individual demand. Many multi-round resource allocation mechanisms operate in an online manner: in each round, the agents specify their…
Envy-freeness up to any good (EFX) provides a strong and intuitive guarantee of fairness in the allocation of indivisible goods. But whether such allocations always exist or whether they can be efficiently computed remains an important open…
Sequential allocation is a simple mechanism for sharing multiple indivisible items. We study strategic behavior in sequential allocation. In particular, we consider Nash dynamics, as well as the computation and Pareto optimality of pure…
Although resource allocation is a well studied problem in computer science, until the prevalence of distributed systems, such as computing clouds and data centres, the question had been addressed predominantly for single resource type…
Motivated by applications such as viral marketing, the problem of influence maximization (IM) has been extensively studied in the literature. The goal is to select a small number of users to adopt an item such that it results in a large…
We study fair allocation of indivisible chores (i.e., items with non-positive value) among agents with additive valuations. An allocation is deemed fair if it is (approximately) equitable, which means that the disutilities of the agents are…
We are interested in the problem of optimal commitments in rank-and-bid based auctions, a general class of auctions that include first price and all-pay auctions as special cases. Our main contribution is a novel approach to solve for…