相关论文: Agency Problems and Adversarial Bilevel Optimizati…

This paper studies the stochastic optimal control of jump-diffusion processes and the associated fully nonlinear backward stochastic Hamilton--Jacobi--Bellman (BSHJB) equations. We establish the dynamic programming principle (DPP) via…

In this paper we provide an alternative framework to tackle the first-best Principal-Agent problem under CARA utilities. This framework leads to both a proof of existence and uniqueness of the solution to the Risk-Sharing problem under very…

We study a bilevel optimization problem which is a zero-sum Stackelberg game. In this problem, there are two players, a leader and a follower, who pick items from a common set. Both the leader and the follower have their own…

This paper studies how uncertainty about problem difficulty shapes problem-solving strategies. I develop a dynamic model where an agent solves a problem by brainstorming approaches of unknown quality and allocating a fixed effort budget…

Partially observable stochastic games provide a rich mathematical paradigm for modeling multi-agent dynamic decision making under uncertainty and partial information. However, they generally do not admit closed-form solutions and are…

A wide range of decision problems can be formulated as bilevel programs with independent followers, which as a special case include two-stage stochastic programs. These problems are notoriously difficult to solve especially when a large…

Consider a multi-agent systems setup in which a principal (a supervisor agent) assigns subtasks to specialized agents and aggregates their responses into a single system-level output. A core property of such systems is information…

In this paper, further extensions of the result of the paper "A successive approximation method in functional spaces for hierarchical optimal control problems and its application to learning, arXiv:2410.20617 [math.OC], 2024" concerning a…

We study a robust contract design problem with deferred inspection, in which a principal allocates a scarce resource to an agent, observes the agent's realized outcome ex post at negligible cost, and conditions transfers on this information…

This paper studies the problem of safe and optimal continuum deformation of a large-scale multi-agent system (MAS). We present a novel approach for MAS continuum deformation coordination that aims to achieve safe and efficient agent…

Many strategic decision-making problems, such as environment design for warehouse robots, can be naturally formulated as bi-level reinforcement learning (RL), where a leader agent optimizes its objective while a follower solves a Markov…

This paper considers a class of distributed bilevel optimization (DBO) problems with a coupled inner-level subproblem. Existing approaches typically rely on hypergradient estimations involving computationally expensive Hessian evaluation.…

Bilevel optimization deals with nested problems in which a leader takes the first decision to minimize their objective function while accounting for a follower's best-response reaction. Constrained bilevel problems with integer variables…

We consider a scenario in which an autonomous agent carries out a mission in a stochastic environment while passively observed by an adversary. For the agent, minimizing the information leaked to the adversary regarding its high-level…

We study principal-agent problems in which a principal commits to an outcome-dependent payment scheme (a.k.a. contract) so as to induce an agent to take a costly, unobservable action. We relax the assumption that the principal perfectly…

We address the problem of combined stochastic and impulse control for a market maker operating in a limit order book. The problem is formulated as a Hamilton-Jacobi-Bellman quasi-variational inequality (HJBQVI). We propose an implicit…

We primarily consider bilevel programs where the lower level is a convex quadratic minimization problem under integer constraints. We show that it is $\Sigma_2^p$-hard to decide if the optimal objective for the leader is lesser than a given…

This paper tackles a multi-agent bandit setting where $M$ agents cooperate together to solve the same instance of a $K$-armed stochastic bandit problem. The agents are \textit{heterogeneous}: each agent has limited access to a local subset…

We consider the problem of controlling the movement of multiple cooperating agents so as to minimize an uncertainty metric associated with a finite number of targets. In a one-dimensional mission space, we adopt an optimal control framework…

We introduce a novel model of contracts with combinatorial actions that accounts for sequential and adaptive agent behavior. As in the standard model, a principal delegates the execution of a costly project to an agent. There are $n$…