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作者：Bielecki, Tomasz R.; Cialenco, Igor; Pitera, Marcin
作者单位：Illinois Institute of Technology; Jagiellonian University
摘要：In this paper, we provide a flexible framework allowing for a unified study of time consistency of risk measures and performance measures (also known as acceptability indices). The proposed framework not only integrates existing forms of time consistency, but also provides a comprehensive toolbox for analysis and synthesis of the concept of time consistency in decision making. In particular, it allows for in-depth comparative analysis of (most of) the existing types of time consistency-a feat ...
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作者：Rujeerapaiboon, Napat; Kuhn, Daniel; Wiesemann, Wolfram
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Imperial College London
摘要：We derive sharp probability bounds on the tails of a product of symmetric nonnegative random variables using only information about their first two moments. If the covariance matrix of the random variables is known exactly, these bounds can be computed numerically using semidefinite programming. If only an upper bound on the covariance matrix is available, the probability bounds on the right tails can be evaluated analytically. The bounds under precise and imprecise covariance information coin...
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作者：Babichenko, Yakov
作者单位：Technion Israel Institute of Technology
摘要：We consider small-influence aggregative games with a large number of players n. For this class of games we present a best-reply dynamic with the following two properties. First, the dynamic reaches Nash approximate equilibria in quasi-linear (in n) number of steps, and the quasi-linear bound is tight. Second, Nash approximate equilibria are played by the dynamic with a limit frequency that is exponentially (in n) close to 1.
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作者：Feldman, Moran; Svensson, Ola; Zenklusen, Rico
作者单位：Open University Israel; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Federal Institutes of Technology Domain; ETH Zurich
摘要：Only recently, progress has been made in obtaining o(log(rank))-competitive algorithms for the matroid secretary problem. More precisely, Chakraborty and Lachish (2012) presented a O((log(rank))(1/2))-competitive procedure, and Lachish (2014) later presented a O(log log(rank))-competitive algorithm. Both these algorithms and their analyses are very involved, which is also reflected in the extremely high constants in their competitive ratios. Using different tools, we present a considerably sim...
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作者：Carbonell-Nicolau, Oriol; McLean, Richard P.
作者单位：Rutgers University System; Rutgers University New Brunswick
摘要：We furnish conditions on the primitives of a Bayesian game that guarantee the existence of a Bayes-Nash equilibrium. By allowing for payoff discontinuities in actions, we cover various applications that cannot be handled by extant results.
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作者：Berczi, Kristof; Frank, Andras
作者单位：Eotvos Lorand University
摘要：Ryser's max term rank formula with graph theoretic terminology is equivalent to a characterization of degree sequences of simple bipartite graphs with a specific matching number. In a previous paper by the authors, a generalization was developed for the case when the degrees are constrained by upper and lower bounds. Here, two other extensions of Ryser's theorem are discussed. The first one is a matroidal model, while the second one settles the augmentation version. In fact, the two directions...
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作者：Eschenfeldt, Patrick; Gamarnik, David
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：We consider queueing systems with n parallel queues under a Join the Shortest Queue (JSQ) policy in the Halfin-Whitt heavy-traffic regime. We use the martingale method to prove that a scaled process counting the number of idle servers and queues of length exactly two weakly converges to a two-dimensional reflected Ornstein-Uhlenbeck process, while processes counting longer queues converge to a deterministic system decaying to zero in constant time. This limiting system is comparable to that of...
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作者：Basu, Arnab; Ghosh, Mrinal K.
作者单位：Indian Institute of Management (IIM System); Indian Institute of Management Bangalore; Indian Institute of Science (IISC) - Bangalore
摘要：The infinite horizon risk-sensitive discounted-cost and ergodic-cost nonzero-sum stochastic games for controlled Markov chains with countably many states are analyzed. For the discounted-cost game, we prove the existence of Nash equilibrium strategies in the class of Markov strategies under fairly general conditions. Under an additional weak geometric ergodicity condition and a small cost criterion, the existence of Nash equilibrium strategies in the class of stationary Markov strategies is pr...
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作者：Sandholm, William H.; Staudigl, Mathias
作者单位：University of Wisconsin System; University of Wisconsin Madison; Maastricht University
摘要：We study a model of stochastic evolutionary game dynamics in which the probabilities that agents choose suboptimal actions are dependent on payoff consequences. We prove a sample path large deviation principle, characterizing the rate of decay of the probability that the sample path of the evolutionary process lies in a prespecified set as the population size approaches infinity. We use these results to describe excursion rates and stationary distribution asymptotics in settings where the mean...
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作者：Garg, Jugal; Mehta, Ruta; Vazirani, Vijay V.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of Illinois System; University of Illinois Urbana-Champaign; University of California System; University of California Irvine
摘要：We introduce new classes of utility functions and production sets, called Leontief-free, which are applicable when goods are substitutes and utilities/ production are subadditive (to model inter-good satiation). When goods are complements, the well studied Leontief utility functions do an adequate job; however, to the best of our knowledge, a similar concept for the case of goods that are substitutes was not known. For markets with these utility functions and production sets, we obtain the fol...
