7 papers
Computing Stationary Equilibria in Measure-Dependent Markov Systems
Jing Dong, Bar Light, Xin Tong
Many stochastic systems in operations and economics exhibit feedback between their long-run state distribution and the transition law governing their dynamics. In this paper, we de…
Tractable Relaxations of Multivariate Stochastic Dominance via Optimal Transport and CVaR
Bar Light
Many operational decisions involve alternatives with several uncertain attributes. When comparing such alternatives, stochastic dominance requires every decision maker in a prescri…
Equilibrium in Multi-Agent Reinforcement Learning
Maurizio D'Andrea, Bar Light
Standard solution concepts for stochastic games, such as Markov perfect equilibrium and Markov coarse correlated equilibrium, are computationally difficult, and thus, standard dece…
Bounded Foresight Equilibrium in Large Dynamic Economies with Heterogeneous Agents and Aggregate Shocks
Bilal Islah, Bar Light
Large dynamic economies with heterogeneous agents and aggregate shocks are central to many important applications, yet their equilibrium analysis remains computationally challengin…
Computing and Learning Stationary Mean Field Equilibria with Low-Dimensional Interactions: Algorithms and Applications
Bar Light
Mean field equilibrium (MFE) has emerged as a computationally tractable solution concept for large dynamic games. However, computing MFE remains challenging due to nonlinearities a…
Equilibria under Dynamic Benchmark Consistency in Non-Stationary Multi-Agent Systems
Ludovico Crippa, Yonatan Gur, Bar Light
We formulate and study a general time-varying multi-agent system where players repeatedly compete under incomplete information. Our work is motivated by scenarios commonly observed…
A Course in Dynamic Optimization
Bar Light
These lecture notes are derived from a graduate-level course in dynamic optimization, offering an introduction to techniques and models extensively used in management science, econ…