Ascending-Price Algorithms for Unknown Markets

TL;DR

This paper introduces a simple ascending-price algorithm that efficiently computes approximate and exact market equilibria in various Arrow-Debreu market models, including unknown markets and those with spending constraints, using demand oracles.

Contribution

It presents the first polynomial-time, easy-to-implement ascending-price algorithm for weak gross substitute markets and unknown markets, avoiding complex methods like the ellipsoid algorithm.

Findings

First polynomial-time algorithm for most known tractable Arrow-Debreu markets.

Algorithm works with demand oracles providing aggregate demand with bounded precision.

Provides the first polynomial-time algorithm for markets with spending constraint utilities.

Abstract

We design a simple ascending-price algorithm to compute a $(1+\varepsilon)$-approximate equilibrium in Arrow-Debreu exchange markets with weak gross substitute (WGS) property, which runs in time polynomial in market parameters and $\log 1/\varepsilon$. This is the first polynomial-time algorithm for most of the known tractable classes of Arrow-Debreu markets, which is easy to implement and avoids heavy machinery such as the ellipsoid method. In addition, our algorithm can be applied in unknown market setting without exact knowledge about the number of agents, their individual utilities and endowments. Instead, our algorithm only relies on queries to a global demand oracle by posting prices and receiving aggregate demand for goods as feedback. When demands are real-valued functions of prices, the oracles can only return values of bounded precision based on real utility functions. Due to this more realistic assumption, precision and representation of prices and demands become a major technical challenge, and we develop new tools and insights that may be of independent interest. Furthermore, our approach also gives the first polynomial-time algorithm to compute an exact equilibrium for markets with spending constraint utilities, a piecewise linear concave generalization of linear utilities. This resolves an open problem posed by Duan and Mehlhorn (2015).