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Incentive Compatibility in Stochastic Dynamic Systems
IEEE Transactions on Automatic Control ( IF 6.8 ) Pub Date : 2021-02-01 , DOI: 10.1109/tac.2020.2987802 Ke Ma , P. R. Kumar
IEEE Transactions on Automatic Control ( IF 6.8 ) Pub Date : 2021-02-01 , DOI: 10.1109/tac.2020.2987802 Ke Ma , P. R. Kumar
While the classic Vickrey-Clarke-Groves mechanism ensures incentive compatibility for a static one-shot game, it does not appear to be feasible to construct a dominant truth-telling mechanism for agents that are stochastic dynamic systems. The contribution of this paper is to show that for a set of LQG agents a mechanism consisting of a sequence of layered payments over time decouples the intertemporal effect of current bids on future payoffs and ensures truth-telling of dynamic states by their agents, if system parameters are known and agents are rational. Additionally, it is shown that there is a "Scaled" VCG mechanism that simultaneously satisfies incentive compatibility, social efficiency, budget balance as well as individual rationality under a certain "market power balance" condition where no agent is too negligible or too dominant. A further desirable property is that the SVCG payments converge to the Lagrange payments, the payments corresponding to the true price in the absence of strategic considerations, as the number of agents in the market increases. For LQ but non-Gaussian agents the optimal social welfare over the class of linear control laws is achieved.
中文翻译:
随机动态系统中的激励兼容性
虽然经典的 Vickrey-Clarke-Groves 机制确保了静态一次性游戏的激励兼容性,但为随机动态系统的代理构建占主导地位的说真话机制似乎并不可行。本文的贡献是表明,对于一组 LQG 代理,由随时间推移的分层支付序列组成的机制将当前出价对未来收益的跨期影响解耦,并确保其代理对动态状态的真实讲述,如果系统参数是已知的,代理是理性的。此外,研究表明,在一定的“市场力量平衡”下,存在同时满足激励相容、社会效率、预算平衡以及个体理性的“Scaled”VCG机制。没有代理太微不足道或太占主导地位的条件。另一个可取的特性是 SVCG 支付收敛到拉格朗日支付,随着市场上代理数量的增加,在没有战略考虑的情况下,支付对应于真实价格。对于 LQ 但非高斯代理,实现了线性控制律类的最佳社会福利。
更新日期:2021-02-01
中文翻译:
随机动态系统中的激励兼容性
虽然经典的 Vickrey-Clarke-Groves 机制确保了静态一次性游戏的激励兼容性,但为随机动态系统的代理构建占主导地位的说真话机制似乎并不可行。本文的贡献是表明,对于一组 LQG 代理,由随时间推移的分层支付序列组成的机制将当前出价对未来收益的跨期影响解耦,并确保其代理对动态状态的真实讲述,如果系统参数是已知的,代理是理性的。此外,研究表明,在一定的“市场力量平衡”下,存在同时满足激励相容、社会效率、预算平衡以及个体理性的“Scaled”VCG机制。没有代理太微不足道或太占主导地位的条件。另一个可取的特性是 SVCG 支付收敛到拉格朗日支付,随着市场上代理数量的增加,在没有战略考虑的情况下,支付对应于真实价格。对于 LQ 但非高斯代理,实现了线性控制律类的最佳社会福利。