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摘要翻译：
研究了拟线性马尔可夫环境下的动态机制设计问题，分析了委托-代理框架的直接机制模型，在此模型中，代理人可以在任意阶段退出。我们认为，代理的私人信息，称为状态，随着时间的推移而演变。代理决定是否停止或继续，以及在每个时期报告什么。另一方面，委托人选择由一个分配规则和一组支付规则组成的决策规则来最大化她的事前预期收益。为了影响代理的停止决策，终端支付规则之一是post-price,即它只依赖于代理实现的停止时间。我们用Bellman方程定义了动态环境下的激励相容性，并通过建立一次偏差原理对激励相容性进行了简化。在给定停止规则最优性的情况下，通过构造由分配规则参数化的函数集来构造状态相关的支付规则，得到激励相容的充分条件。从包络定理导出了一个必要条件，将状态依赖的支付规则显式地表述为分配规则。考虑一类单调环境，用阈值规则来刻画最优停止。然后，根据分配规则和阈值函数将张贴价格支付规则固定到一个常数。激励相容约束以一个规律性的条件约束着明码标价支付规则的设计。
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英文标题：
《On Incentive Compatibility in Dynamic Mechanism Design With Exit Option
in a Markovian Environment》
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作者：
Tao Zhang and Quanyan Zhu
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最新提交年份：
2021
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分类信息：
一级分类：Mathematics 数学
二级分类：Dynamical Systems 动力系统
分类描述：Dynamics of differential equations and flows, mechanics, classical few-body problems, iterations, complex dynamics, delayed differential equations
微分方程和流动的动力学，力学，经典的少体问题，迭代，复杂动力学，延迟微分方程
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一级分类：Computer Science 计算机科学
二级分类：Systems and Control 系统与控制
分类描述：cs.SY is an alias for eess.SY. This section includes theoretical and experimental research covering all facets of automatic control systems. The section is focused on methods of control system analysis and design using tools of modeling, simulation and optimization. Specific areas of research include nonlinear, distributed, adaptive, stochastic and robust control in addition to hybrid and discrete event systems. Application areas include automotive and aerospace control systems, network control, biological systems, multiagent and cooperative control, robotics, reinforcement learning, sensor networks, control of cyber-physical and energy-related systems, and control of computing systems.
cs.sy是eess.sy的别名。本部分包括理论和实验研究，涵盖了自动控制系统的各个方面。本节主要介绍利用建模、仿真和优化工具进行控制系统分析和设计的方法。具体研究领域包括非线性、分布式、自适应、随机和鲁棒控制，以及混合和离散事件系统。应用领域包括汽车和航空航天控制系统、网络控制、生物系统、多智能体和协作控制、机器人学、强化学习、传感器网络、信息物理和能源相关系统的控制以及计算系统的控制。
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一级分类：Economics 经济学
二级分类：Theoretical Economics 理论经济学
分类描述：Includes theoretical contributions to Contract Theory, Decision Theory, Game Theory, General Equilibrium, Growth, Learning and Evolution, Macroeconomics, Market and Mechanism Design, and Social Choice.
包括对契约理论、决策理论、博弈论、一般均衡、增长、学习与进化、宏观经济学、市场与机制设计、社会选择的理论贡献。
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一级分类：Electrical Engineering and Systems Science 电气工程与系统科学
二级分类：Systems and Control 系统与控制
分类描述：This section includes theoretical and experimental research covering all facets of automatic control systems. The section is focused on methods of control system analysis and design using tools of modeling, simulation and optimization. Specific areas of research include nonlinear, distributed, adaptive, stochastic and robust control in addition to hybrid and discrete event systems. Application areas include automotive and aerospace control systems, network control, biological systems, multiagent and cooperative control, robotics, reinforcement learning, sensor networks, control of cyber-physical and energy-related systems, and control of computing systems.
本部分包括理论和实验研究，涵盖了自动控制系统的各个方面。本节主要介绍利用建模、仿真和优化工具进行控制系统分析和设计的方法。具体研究领域包括非线性、分布式、自适应、随机和鲁棒控制，以及混合和离散事件系统。应用领域包括汽车和航空航天控制系统、网络控制、生物系统、多智能体和协作控制、机器人学、强化学习、传感器网络、信息物理和能源相关系统的控制以及计算系统的控制。
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英文摘要：
This paper studies dynamic mechanism design in a quasilinear Markovian environment and analyzes a direct mechanism model of a principal-agent framework in which the agent is allowed to exit at any period. We consider that the agent's private information, referred to as state, evolves over time. The agent makes decisions of whether to stop or continue and what to report at each period. The principal, on the other hand, chooses decision rules consisting of an allocation rule and a set of payment rules to maximize her ex-ante expected payoff. In order to influence the agent's stopping decision, one of the terminal payment rules is posted-price, i.e., it depends only on the realized stopping time of the agent. We define the incentive compatibility in this dynamic environment in terms of Bellman equations, which is then simplified by establishing a one-shot deviation principle. Given the optimality of the stopping rule, a sufficient condition for incentive compatibility is obtained by constructing the state-dependent payment rules in terms of a set of functions parameterized by the allocation rule. A necessary condition is derived from envelope theorem, which explicitly formulates the state-dependent payment rules in terms of allocation rules. A class of monotone environment is considered to characterize the optimal stopping by a threshold rule. The posted-price payment rules are then pinned down in terms of the allocation rule and the threshold function up to a constant. The incentive compatibility constraints restrict the design of the posted-price payment rule by a regular condition.
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PDF链接：
https://arxiv.org/pdf/1909.13720
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