相关论文: Fixed-Point Approaches to Computing Bertrand-Nash …

In this paper, we revisit the classical problem of solving over-determined systems of nonsmooth equations numerically. We suggest a nonsmooth Levenberg--Marquardt method for its solution which, in contrast to the existing literature, does…

We design a simple ascending-price algorithm to compute a $(1+\varepsilon)$-approximate equilibrium in Arrow-Debreu exchange markets with weak gross substitute (WGS) property, which runs in time polynomial in market parameters and $\log…

This paper presents a new primal-dual method for computing an equilibrium of generalized (continuous) Nash game (referred to as generalized Nash equilibrium problem (GNEP)) where each player's feasible strategy set depends on the other…

Many models from a variety of areas involve the computation of an equilibrium or fixed point of some kind. Examples include Nash equilibria in games; market equilibria; computing optimal strategies and the values of competitive games…

We consider generalized Nash equilibrium problems (GNEPs) with linear coupling constraints affected by both local (i.e., agent-wise) and global (i.e., shared resources) disturbances taking values in polyhedral uncertainty sets. By making…

We study a mean field game problem arising from the production control for multiple firms with price stickiness in the commodity market. The price dynamics for each firm is described as a (controlled) jump-diffusion process with mean-field…

We study robust versions of pricing problems where customers choose products according to a generalized extreme value (GEV) choice model, and the choice parameters are not known exactly but lie in an uncertainty set. We show that, when the…

Projected gradient ascent is known to satisfy no-external regret as a learning algorithm. However, recent empirical work shows that projected gradient ascent often finds the Nash equilibrium in settings beyond two-player zero-sum…

Our paper concerns the computation of Nash equilibria of first-price auctions with correlated values. While there exist several equilibrium computation methods for auctions with independent values, the correlation of the bidders' values…

Locational marginal pricing (LMP) is a widely employed method for pricing electricity in the wholesale electricity market. Although it is well known that the LMP mechanism is vulnerable to market manipulation, there is little literature…

We formulate for the first time the economic dispatch problem in an integrated electrical and gas distribution system as a game equilibrium problem between distributed prosumers. Specifically, by approximating the non-linear gas-flow…

Resolvent analysis is a powerful tool for modeling and analyzing turbulent flows and in particular provides an approximation of coherent flow structures. Despite recent algorithmic advances, computing resolvent modes for flows with more…

The mixed logit model is a flexible and widely used demand model in pricing and revenue management. However, existing work on mixed-logit pricing largely focuses on unconstrained settings, limiting its applicability in practice where prices…

This paper develops a new methodology for studying continuous-time Nash equilibrium in a financial market with asymmetrically informed agents. This approach allows us to lift the restriction of risk neutrality imposed on market makers by…

Electricity markets typically operate in two stages, day-ahead and real-time. Despite best efforts striving efficiency, evidence of price manipulation has called for system-level market power mitigation (MPM) initiatives that substitute…

-In this paper, a novel resource allocation scheme based on discrete Cournot-Nash equilibria and optimal transport theory is proposed. The originality of this framework lies in the joint optimization of downlink bandwidth allocation and…

We develop arbitrarily high-order, stationarity-preserving stabilized finite element methods for multidimensional nonlinear hyperbolic balance laws on Cartesian grids. We aim at approximating all the steady states of the problem at hand,…

Motivated by the emergence of local groundwater exchanges, we construct and analyze stochastic models of dynamic groundwater markets. Our primary focus is endogenizing the price formation and groundwater pumping strategies in a closed…

We consider a market in which both suppliers and consumers compete for a product via scalar-parameterized supply offers and demand bids. Scalar-parameterized offers/bids are appealing due to their modeling simplicity and desirable…

This paper addresses two deficiencies of models in the area of matching-based market design. The first arises from the recent realization that the most prominent solution that uses cardinal utilities, namely the Hylland-Zeckhauser (HZ)…