Related papers: Agency Problems and Adversarial Bilevel Optimizati…
We study the classic principal-agent model when the signal observed by the principal is chosen by the agent. We fully characterize the optimal information structure from an agent's perspective in a general moral hazard setting with limited…
The paper provides a framework for the assessment and optimization of the total risk of complex distributed systems. The framework takes into account the risk of each agent, which may arise from heterogeneous sources, as well as the risk…
We extend the stochastic Perron method to analyze the framework of stochastic target games, in which one player tries to find a strategy such that the state process almost surely reaches a given target no matter which action is chosen by…
We study linear bilevel programming problems whose lower-level objective is given by a random cost vector with known distribution. We consider the case where this distribution is nonatomic, allowing to reformulate the problem of the leader…
We study Bayesian automated mechanism design in unstructured dynamic environments, where a principal repeatedly interacts with an agent, and takes actions based on the strategic agent's report of the current state of the world. Both the…
The paper studies a system of Hamilton-Jacobi equations, arising from a stochastic optimal debt management problem in an infinite time horizon with exponential discount, modeled as a noncooperative interaction between a borrower and a pool…
We show that, in many settings, the worst-case performance of a distributed optimization algorithm is independent of the number of agents in the system, and can thus be computed in the fundamental case with just two agents. This result…
We study a problem of optimal investment/consumption over an infinite horizon in a market consisting of a liquid and an illiquid asset. The liquid asset is observed and can be traded continuously, while the illiquid one can only be traded…
We study high-dimensional stochastic optimal control problems in which many agents cooperate to minimize a convex cost functional. We consider both the full-information problem, in which each agent observes the states of all other agents,…
We study a family of optimal control problems under a set of controlled-loss constraints holding at different deterministic dates. The characterization of the associated value function by a Hamilton-Jacobi-Bellman equation usually calls for…
This paper analyzes a two-timescale stochastic algorithm framework for bilevel optimization. Bilevel optimization is a class of problems which exhibit a two-level structure, and its goal is to minimize an outer objective function with…
Correlated equilibria enable a coordinator to influence the self-interested agents by recommending actions that no player has an incentive to deviate from. However, the effectiveness of this mechanism relies on accurate knowledge of the…
When multiple informative equilibria are possible in a general cheap talk game, how much information can a principal guarantee herself? To answer this question, I define the notion of worst-case implementation-implementation via the worst…
We consider a risk-averse stochastic capacity planning problem under uncertain demand in each period. Using a scenario tree representation of the uncertainty, we formulate a multistage stochastic integer program to adjust the capacity…
This paper deals with numerical solutions of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked point process. The problem of the agent is…
We address the issue of identifying conditions under which the centralized solution to the optimal multi-agent persistent monitoring problem can be recovered in a decentralized event-driven manner. In this problem, multiple agents interact…
Multiagent planning and coordination problems are common and known to be computationally hard. We show that a wide range of two-agent problems can be formulated as bilinear programs. We present a successive approximation algorithm that…
The problem of coverage control, i.e., of coordinating multiple agents to optimally cover an area, arises in various applications. However, coverage applications face two major challenges: (1) dealing with nonlinear dynamics while…
An important aspect in jointly analysing networked control systems and their communication is to model the networking in a sufficiently rich but at the same time mathematically tractable way. As such, this paper improves on a recently…
In this paper, we study moral hazard problems in contract theory by adding an exogenous Planner to manage the actions of Agents hired by a Principal. We provide conditions ensuring that Pareto optima exist for the Agents using the…