Stochastic Online Fisher Markets: Static Pricing Limits and Adaptive Enhancements

Devansh Jalota () and Yinyu Ye ()
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Devansh Jalota: Institute for Computational and Mathematical Engineering, Stanford University, Stanford, California 94305
Yinyu Ye: Department of Management Science and Engineering, Stanford University, Stanford, California 94305

Operations Research, 2025, vol. 73, issue 2, 798-818

Abstract: Fisher markets are one of the most fundamental models for resource allocation. However, the problem of computing equilibrium prices in Fisher markets typically relies on complete knowledge of users’ budgets and utility functions and requires transactions to happen in a static market where all users are present simultaneously. Motivated by these practical considerations, we study an online variant of Fisher markets, wherein users with privately known utility and budget parameters, drawn independently and identically (i.i.d.) from a distribution, arrive sequentially. In this setting, we first study the limitations of static pricing algorithms, which set uniform prices for all users, along two performance metrics: (i) regret, that is, the optimality gap in the objective of the Eisenberg-Gale program between an online algorithm and an oracle with complete information, and (ii) capacity violations, that is, the overconsumption of goods relative to their capacities. Given the limitations of static pricing, we design adaptive posted-pricing algorithms, one with knowledge of the distribution of users’ budget and utility parameters and another that adjusts prices solely based on past observations of user consumption, that is, revealed preference feedback, with improved performance guarantees. Finally, we present numerical experiments to compare our revealed preference algorithm’s performance to several benchmarks.

Keywords: Market; Analytics; and; Revenue; Management; Fisher markets; online learning; convex optimization (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:inm:oropre:v:73:y:2025:i:2:p:798-818

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