相关论文: Fisher Markets with Linear Constraints: Equilibriu…

Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution…

We present a market-based approach to the Air Traffic Flow Management (ATFM) problem. The goods in our market are delays and buyers are airline companies; the latter pay money to the FAA to buy away the desired amount of delay on a per…

Building on ideas from online convex optimization, we propose a general framework for the design of efficient securities markets over very large outcome spaces. The challenge here is computational. In a complete market, in which one…

We address the problem of maximizing Gain from Trade (GFT) in repeated buyer-seller exchanges subject to global budget balance constraints. While this problem is well-understood in purely adversarial and stochastic settings, these…

The paper develops a decentralized resource allocation mechanism for allocating divisible goods with capacity constraints to non-price-taking agents with general concave utilities. The proposed mechanism is always budget balanced,…

We consider a periodical equilibrium pricing problem for multiple firms over a planning horizon of T periods. At each period, firms set their selling prices and receive stochastic demand from consumers. Firms do not know their underlying…

We present the following results pertaining to Fisher's market model: -We give two natural generalizations of Fisher's market model: In model M_1, sellers can declare an upper bound on the money they wish to earn (and take back their unsold…

We study a market mechanism that sets edge prices to incentivize strategic agents to efficiently share limited network capacity. In this market, agents form coalitions, with each coalition sharing a unit capacity of a selected route and…

We consider the problem of a firm seeking to use personalized pricing to sell an exogenously given stock of a product over a finite selling horizon to different consumer types. We assume that the type of an arriving consumer can be observed…

Multidimensional population balance models (PBMs) describe chemical and biological processes having a distribution over two or more intrinsic properties (such as size and age, or two independent spatial variables). The incorporation of…

Assortment optimization concerns the problem of selling items with fixed prices to a buyer who will purchase at most one. Typically, retailers select a subset of items, corresponding to an "assortment" of brands to carry, and make each…

The supply function equilibrium (SFE) is a model for competition in markets where each firm offers a schedule of prices and quantities to face demand uncertainty, and has been successfully applied to wholesale electricity markets. However,…

We present an Alternating Direction Method of Multipliers (ADMM) algorithm for solving optimization problems with an l_1 regularized least-squares cost function subject to recursive equality constraints. The considered optimization problem…

A prevalent theme in the economics and computation literature is to identify natural price-adjustment processes by which sellers and buyers in a market can discover equilibrium prices. An example of such a process is t\^atonnement, an…

In this paper, the distributed resource allocation optimization problem is investigated. The allocation decisions are made to minimize the sum of all the agents' local objective functions while satisfying both the global network resource…

Decentralised automated market makers (AMMs) have gained significant attention recently. We propose an adaptive and automated Dynamic Function Market Maker (DFMM) that addresses challenges in this space. Our DFMM protocol includes a data…

In this paper, the distributed strongly convex optimization problem is studied with spatio-temporal compressed communication and equality constraints. For the case where each agent holds an distributed local equality constraint, a…

In this paper, we consider dynamic multi-agent systems (MAS) for decentralized resource allocation. The MAS operates at a competitive equilibrium to ensure supply and demand are balanced. First, we investigate the MAS over a finite horizon.…

We show that, in a resource allocation problem, the ex ante aggregate utility of players with cumulative-prospect-theoretic preferences can be increased over deterministic allocations by implementing lotteries. We formulate an optimization…

Budget-feasible procurement has been a major paradigm in mechanism design since its introduction by Singer (2010). An auctioneer (buyer) with a strict budget constraint is interested in buying goods or services from a group of strategic…