arXiv subjects

Yonatan Gur

Publications and source records attributed to Yonatan Gur.

7 recordsLinked to original sources

arXiv2025

Equilibria under Dynamic Benchmark Consistency in Non-Stationary Multi-Agent Systems

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 in online advertising and retail marketplaces, where agents and platform designers optimize algorithmic decision-making in dynamic competitive settings. In these systems, no-regret algorithms that provide guarantees relative to \emph{static} benchmarks can perform poorly and the distributions of play that emerge from their interaction do not correspond anymore to static solution concepts such as coarse correlated equilibria. Instead, we analyze the interaction of \textit{dynamic benchmark} consistent policies that have performance guarantees relative to \emph{dynamic} sequences of actions, and through a novel \textit{tracking error} notion we delineate when their empirical joint distribution of play can approximate an evolving sequence of static equilibria. In systems that change sufficiently slowly (sub-linearly in the horizon length), we show that the resulting distributions of play approximate the sequence of coarse correlated equilibria, and apply this result to establish improved welfare bounds for smooth games. On a similar vein, we formulate internal dynamic benchmark consistent policies and establish that they approximate sequences of correlated equilibria. Our findings therefore suggest that in a broad range of multi-agent systems where non-stationarity is prevalent, algorithms designed to compete with dynamic benchmarks can improve both individual and welfare guarantees, and their emerging dynamics approximate a sequence of static equilibrium outcomes.

cs.GT↗

arXiv2025

Equilibria in Repeated Games under No-Regret with Dynamic Benchmarks

In repeated games, strategies are often evaluated by their ability to guarantee the performance of the single best action that is selected in hindsight, a property referred to as \emph{Hannan consistency}, or \emph{no-regret}. However, the effectiveness of the single best action as a yardstick to evaluate strategies is limited, as any static action may perform poorly in common dynamic settings. Our work therefore turns to a more ambitious notion of \emph{dynamic benchmark consistency}, which guarantees the performance of the best \emph{dynamic} sequence of actions, selected in hindsight subject to a constraint on the allowable number of action changes. Our main result establishes that for any joint empirical distribution of play that may arise when all players deploy no-regret strategies, there exist dynamic benchmark consistent strategies such that if all players deploy these strategies the same empirical distribution emerges when the horizon is large enough. This result demonstrates that although dynamic benchmark consistent strategies have a different algorithmic structure and provide significantly enhanced individual assurances, they lead to the same equilibrium set as no-regret strategies. Moreover, the proof of our main result uncovers the capacity of independent algorithms with strong individual guarantees to foster a strong form of coordination.

cs.GT↗

arXiv2024

Incentivized Exploration via Filtered Posterior Sampling

We study "incentivized exploration" (IE) in social learning problems where the principal (a recommendation algorithm) can leverage information asymmetry to incentivize sequentially-arriving agents to take exploratory actions. We identify posterior sampling, an algorithmic approach that is well known in the multi-armed bandits literature, as a general-purpose solution for IE. In particular, we expand the existing scope of IE in several practically-relevant dimensions, from private agent types to informative recommendations to correlated Bayesian priors. We obtain a general analysis of posterior sampling in IE which allows us to subsume these extended settings as corollaries, while also recovering existing results as special cases.

cs.LG↗

arXiv2022

Information Disclosure and Promotion Policy Design for Platforms

We consider a platform facilitating trade between sellers and buyers with the objective of maximizing consumer surplus. Even though in many such marketplaces prices are set by revenue-maximizing sellers, platforms can influence prices through (i) price-dependent promotion policies that can increase demand for a product by featuring it in a prominent position on the webpage and (ii) the information revealed to sellers about the value of being promoted. Identifying effective joint information design and promotion policies is a challenging dynamic problem as sellers can sequentially learn the promotion value from sales observations and update prices accordingly. We introduce the notion of confounding promotion policies, which are designed to prevent a Bayesian seller from learning the promotion value (at the expense of the short-run loss of diverting some consumers from the best product offering). Leveraging these policies, we characterize the maximum long-run average consumer surplus that is achievable through joint information design and promotion policies when the seller sets prices myopically. We then construct a Bayesian Nash equilibrium in which the seller's best response to the platform's optimal policy is to price myopically in every period. Moreover, the equilibrium we identify is platform-optimal within the class of horizon-maximin equilibria, in which strategies are not predicated on precise knowledge of the horizon length, and are designed to maximize payoff over the worst-case horizon. Our analysis allows one to identify practical long-run average optimal platform policies in a broad range of demand models.

econ.TH↗

arXiv2021

Smoothness-Adaptive Contextual Bandits

We study a non-parametric multi-armed bandit problem with stochastic covariates, where a key complexity driver is the smoothness of payoff functions with respect to covariates. Previous studies have focused on deriving minimax-optimal algorithms in cases where it is a priori known how smooth the payoff functions are. In practice, however, the smoothness of payoff functions is typically not known in advance, and misspecification of smoothness may severely deteriorate the performance of existing methods. In this work, we consider a framework where the smoothness of payoff functions is not known, and study when and how algorithms may adapt to unknown smoothness. First, we establish that designing algorithms that adapt to unknown smoothness of payoff functions is, in general, impossible. However, under a self-similarity condition (which does not reduce the minimax complexity of the dynamic optimization problem at hand), we establish that adapting to unknown smoothness is possible, and further devise a general policy for achieving smoothness-adaptive performance. Our policy infers the smoothness of payoffs throughout the decision-making process, while leveraging the structure of off-the-shelf non-adaptive policies. We establish that for problem settings with either differentiable or non-differentiable payoff functions, this policy matches (up to a logarithmic scale) the regret rate that is achievable when the smoothness of payoffs is known a priori.

cs.LG↗

arXiv2020

Adaptive Sequential Experiments with Unknown Information Arrival Processes

Sequential experiments are often characterized by an exploration-exploitation tradeoff that is captured by the multi-armed bandit (MAB) framework. This framework has been studied and applied, typically when at each time period feedback is received only on the action that was selected at that period. However, in many practical settings additional data may become available between decision epochs. We introduce a generalized MAB formulation, which considers a broad class of distributions that are informative about mean rewards, and allows observations from these distributions to arrive according to an arbitrary and a priori unknown arrival process. When it is known how to map auxiliary data to reward estimates, by obtaining matching lower and upper bounds we characterize a spectrum of minimax complexities for this class of problems as a function of the information arrival process, which captures how salient characteristics of this process impact achievable performance. In terms of achieving optimal performance, we establish that upper confidence bound and posterior sampling policies possess natural robustness with respect to the information arrival process without any adjustments, which uncovers a novel property of these popular policies and further lends credence to their appeal. When the mappings connecting auxiliary data and rewards are a priori unknown, we characterize necessary and sufficient conditions under which auxiliary information allows performance improvement. We devise a new policy that is based on two different upper confidence bounds (one that accounts for auxiliary observation and one that does not) and establish the near-optimality of this policy. We use data from a large media site to analyze the value that may be captured in practice by leveraging auxiliary data for designing content recommendations.

cs.LG↗

arXiv2019

Optimal Exploration-Exploitation in a Multi-Armed-Bandit Problem with Non-stationary Rewards

In a multi-armed bandit (MAB) problem a gambler needs to choose at each round of play one of K arms, each characterized by an unknown reward distribution. Reward realizations are only observed when an arm is selected, and the gambler's objective is to maximize his cumulative expected earnings over some given horizon of play T. To do this, the gambler needs to acquire information about arms (exploration) while simultaneously optimizing immediate rewards (exploitation); the price paid due to this trade off is often referred to as the regret, and the main question is how small can this price be as a function of the horizon length T. This problem has been studied extensively when the reward distributions do not change over time; an assumption that supports a sharp characterization of the regret, yet is often violated in practical settings. In this paper, we focus on a MAB formulation which allows for a broad range of temporal uncertainties in the rewards, while still maintaining mathematical tractability. We fully characterize the (regret) complexity of this class of MAB problems by establishing a direct link between the extent of allowable reward "variation" and the minimal achievable regret. Our analysis draws some connections between two rather disparate strands of literature: the adversarial and the stochastic MAB frameworks.

cs.LG↗