Convergence of incentive-driven dynamics in Fisher markets

Dvijotham, Krishnamurthy; Rabani, Yuval; Schulman, Leonard J.

doi:10.1016/j.geb.2020.11.005

Cited by 5 publications

(4 citation statements)

References 45 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The market that we consider in this paper is a special case of the Arrow-Debreu model, due to Fisher [9], where the market participants are divided into buyers and sellers, and buyers do not have intrinsic value for money, but rather use money as a means of facilitating the trade. This so-called "Fisher market" model has been extensively studied in economics but also in computer science, in terms of computation and convergence to equilibria [33,7,14,63,25,18]. We chose the (linear) Fisher market as our benchmark because contrary to the case of general Arrow-Debreu markets, computing a market equilibrium for this market can be done in polynomial time via convex programming (see Section 2.2 for the details).…”

Section: Discussion and Related Workmentioning

confidence: 99%

AI-driven Prices for Externalities and Sustainability in Production Markets

Danassis¹,

Filos-Ratsikas²,

Faltings³

2021

Preprint

View full text Add to dashboard Cite

We propose a practical approach to computing market prices and allocations via a deep reinforcement learning policymaker agent, operating in an environment of other learning agents. Compared to the idealized market equilibrium outcomewhich we use as a benchmark -our policymaker is much more flexible, allowing us to tune the prices with regard to diverse objectives such as sustainability and resource wastefulness, fairness, buyers' and sellers' welfare, etc. To evaluate our approach, we design a realistic market with multiple and diverse buyers and sellers. Additionally, the sellers, which are deep learning agents themselves, compete for resources in a common-pool appropriation environment based on bio-economic models of commercial fisheries. We demonstrate that: (a) The introduced policymaker is able to achieve comparable performance to the market equilibrium, showcasing the potential of such approaches in markets where the equilibrium prices can not be efficiently computed. (b) Our policymaker can notably outperform the equilibrium solution on certain metrics, while at the same time maintaining comparable performance for the remaining ones. (c) As a highlight of our findings, our policymaker is significantly more successful in maintaining resource sustainability, compared to the market outcome, in scarce resource environments.Preprint. Under review.

show abstract

Section: Discussion and Related Workmentioning

confidence: 99%

AI-driven Prices for Externalities and Sustainability in Production Markets

Danassis¹,

Filos-Ratsikas²,

Faltings³

2021

Preprint

View full text Add to dashboard Cite

show abstract

“…Other dynamics have been considered. In particular, Dvijotham et al [24] study sellers best responding in a setting in which they form beliefs about other sellers' strategies. They obtain linear convergence in Fisher markets for most of the CES domain, but not for linear utilities.…”

Section: Related Workmentioning

confidence: 99%

Dynamics of Distributed Updating in Fisher Markets

Cheung

Cole

Tao

2018

Proceedings of the 2018 ACM Conference on Economics and Computation

View full text Add to dashboard Cite

A major goal in Algorithmic Game Theory is to justify equilibrium concepts from an algorithmic and complexity perspective. One appealing approach is to identify natural distributed algorithms that converge quickly to an equilibrium. This paper established new convergence results for two generalizations of Proportional Response in Fisher markets with buyers having CES utility functions. The starting points are respectively a new convex and a new convexconcave formulation of such markets. The two generalizations correspond to suitable mirror descent algorithms applied to these formulations. Several of our new results are a consequence of new notions of strong Bregman convexity and of strong Bregman convex-concave functions, and associated linear rates of convergence, which may be of independent interest.Among other results, we analyze a damped generalized Proportional Response and show a linear rate of convergence in a Fisher market with buyers whose utility functions cover the full spectrum of CES utilities aside the extremes of linear and Leontief utilities; when these utilities are included, we obtain an empirical O(1/T ) rate of convergence.

show abstract

“…In a recent work, Dvijotham et al [26] study a different asynchronous dynamics. In their setting sellers are boundedly rational and buyers are myopic (i.e., best responding).…”

Section: Technique Of Analysis and Comparison With The Companion Papermentioning

confidence: 99%

Amortized Analysis of Asynchronous Price Dynamics

Cheung,

Cole

2018

Preprint

View full text Add to dashboard Cite

show abstract

Convergence of incentive-driven dynamics in Fisher markets

Cited by 5 publications

References 45 publications

AI-driven Prices for Externalities and Sustainability in Production Markets

AI-driven Prices for Externalities and Sustainability in Production Markets

Dynamics of Distributed Updating in Fisher Markets

Amortized Analysis of Asynchronous Price Dynamics

Contact Info

Product

Resources

About