Stochastic Price Adaptation, Waiting Lists, and Stochastic Gradient Descent

Miscellaneous Talk
Speaker Name
Itai Ashlagi
Date and Time
-
Location
The talk will be virtual on Zoom.
Notes
The Zoom link will be emailed to CS faculty/grad students, or contact Jennifer Schmidt (jschmidt at cs.duke.edu) to request it.
Abstract

DUKE-FUQUA DECISION SCIENCES SEMINAR

Waiting lists allocate items by offering agents a choice among items with associated waiting times. These waiting times serve as prices that are determined endogenously and adjust according to the stochastic arrivals and departures of agents. We study the allocative efficiency under such dynamically adjusting prices by drawing a connection between this price adjustment process and the stochastic gradient descent optimization algorithm. We show that the loss due to price fluctuations is bounded by the granularity of price changes. Additional conditions allow us to identify markets where the loss is close to the bound or exponentially small. Our results show that a simple price adjustment heuristic can perform well, but may be slow to adjust to changes in demand because of a trade-off between the speed of adaptation and loss from price fluctuations.

Short Biography

Associate Professor of Management Science and Engineering, Stanford University. Research interests: market and mechanisms design, matching, and more broadly game theory.

Host
Duke Fuqua School of Business