Related papers: Prices vs. Quantities: Robust Regulation
Renewable energy brings huge uncertainties to the power system, which challenges the traditional power system operation with limited flexible resources. One promising solution is to introduce dynamic pricing to more consumers, which, if…
While $\mathcal{H}_\infty$ methods can introduce robustness against worst-case perturbations, their nominal performance under conventional stochastic disturbances is often drastically reduced. Though this fundamental tradeoff between…
We study a participatory budgeting problem of aggregating the preferences of agents and dividing a budget over the projects. A budget division solution is a probability distribution over the projects. The main purpose of our study concerns…
We introduce an agent-based model, in which agents set their prices to maximize profit. At steady state the market self-organizes into three groups: excess producers, consumers and balanced agents, with prices determined by their own…
We formulate conditions for the solvability of the problem of robust utility maximization from final wealth in continuous time financial markets, without assuming weak compactness of the densities of the uncertainty set, as customary in the…
We investigate the probabilistic feasibility of randomized solutions to two distinct classes of uncertain multi-agent optimization programs. We first assume that only the constraints of the program are affected by uncertainty, while the…
We characterize optimal monetary policy when policy endogenously moves risk premia through redistribution across agents who differ in their willingness to bear risk. The analytical core is Marginal Risk Capacity, the covariance of monetary…
This paper deals with a problem of production planning, which is a version of the capacitated single-item lot sizing problem with backordering under demand uncertainty, modeled by uncertain cumulative demands. The well-known interval…
Funding is a cost to trading desks that they see as an input. Current FVA-related literature reflects this by also taking funding costs as an input, usually constant, and always risk-neutral. However, this funding curve is the output from a…
Motivated by the widespread adoption of large-scale A/B testing in industry, we propose a new experimentation framework for the setting where potential experiments are abundant (i.e., many hypotheses are available to test), and observations…
This paper studies an $\alpha$-robust utility maximization problem where an investor faces an intractable claim -- an exogenous contingent claim with known marginal distribution but unspecified dependence structure with financial market…
A decision maker typically (i) incorporates training data to learn about the relative effectiveness of treatments, and (ii) chooses an implementation mechanism that implies an ``optimal'' predicted outcome distribution according to some…
The problems of optimizing the value of an arbitrary observable of the two-level system at both a fixed time and the shortest possible time is theoretically explored. Complete identification and classification along with comprehensive…
This paper studies a {\it reversible} investment problem where a social planner aims to control its capacity production in order to fit optimally the random demand of a good. Our model allows for general diffusion dynamics on the demand as…
Traditional competitive markets do not account for negative externalities; indirect costs that some participants impose on others, such as the cost of over-appropriating a common-pool resource (which diminishes future stock, and thus…
A canonical setting for non-monetary online resource allocation is one where agents compete over multiple rounds for a single item per round, with i.i.d. valuations and additive utilities across rounds. With $n$ symmetric agents, a natural…
We study allocation mechanisms that utilize costly signaling as a screening tool. A social planner aims to maximize social welfare, defined as the weighted sum of agents' utilities, while implementing a specific allocation rule. Within a…
Norms have been extensively proposed as coordination mechanisms for both agent and human societies. Nevertheless, choosing the norms to regulate a society is by no means straightforward. The reasons are twofold. First, the norms to choose…
We study the mechanism design problem of selling $k$ items to unit-demand buyers with private valuations for the items. A buyer either participates directly in the auction or is represented by an intermediary, who represents a subset of…
Model-based policy optimization is a well-established framework for designing reliable and high-performance controllers across a wide range of control applications. Recently, this approach has been extended to model predictive control…