## Report in Wirtschaftsmathematik (WIMA Report)

### Filtern

#### Erscheinungsjahr

- 2009 (7) (entfernen)

#### Schlagworte

- hidden variables (2)
- mixture (2)
- nonparametric regression (2)
- AR-ARCH (1)
- EM algorith (1)
- EM algorithm (1)
- Markov switching (1)
- Nash equilibria (1)
- algorithmic game theory (1)
- algorithmic game theory (1)

- 118
- A Note On Inverse Max Flow Problem Under Chebyshev Norm (2009)
- In this paper, we study the inverse maximum flow problem under \(\ell_\infty\)-norm and show that this problem can be solved by finding a maximum capacity path on a modified graph. Moreover, we consider an extension of the problem where we minimize the number of perturbations among all the optimal solutions of Chebyshev norm. This bicriteria version of the inverse maximum flow problem can also be solved in strongly polynomial time by finding a minimum \(s - t\) cut on the modified graph with a new capacity function.

- 119
- Truthful Mechanisms for Selfish Routing and Two-Parameter Agents (2009)
- We prove a general monotonicity result about Nash flows in directed networks and use it for the design of truthful mechanisms in the setting where each edge of the network is controlled by a different selfish agent, who incurs costs when her edge is used. The costs for each edge are assumed to be linear in the load on the edge. To compensate for these costs, the agents impose tolls for the usage of edges. When nonatomic selfish network users choose their paths through the network independently and each user tries to minimize a weighted sum of her latency and the toll she has to pay to the edges, a Nash flow is obtained. Our monotonicity result implies that the load on an edge in this setting can not increase when the toll on the edge is increased, so the assignment of load to the edges by a Nash flow yields a monotone algorithm. By a well-known result, the monotonicity of the algorithm then allows us to design truthful mechanisms based on the load assignment by Nash flows. Moreover, we consider a mechanism design setting with two-parameter agents, which is a generalization of the case of one-parameter agents considered in a seminal paper of Archer and Tardos. While the private data of an agent in the one-parameter case consists of a single nonnegative real number specifying the agent's cost per unit of load assigned to her, the private data of a two-parameter agent consists of a pair of nonnegative real numbers, where the first one specifies the cost of the agent per unit load as in the one-parameter case, and the second one specifies a fixed cost, which the agent incurs independently of the load assignment. We give a complete characterization of the set of output functions that can be turned into truthful mechanisms for two-parameter agents. Namely, we prove that an output function for the two-parameter setting can be turned into a truthful mechanism if and only if the load assigned to every agent is nonincreasing in the agent's bid for her per unit cost and, for almost all fixed bids for the agent's per unit cost, the load assigned to her is independent of the agent's bid for her fixed cost. When the load assigned to an agent is continuous in the agent's bid for her per unit cost, it must be completely independent of the agent's bid for her fixed cost. These results motivate our choice of linear cost functions without fixed costs for the edges in the selfish routing setting, but the results also seem to be interesting in the context of algorithmic mechanism design themselves.

- 120
- Mixtures of Nonparametric Autoregressions (2009)
- We consider data generating mechanisms which can be represented as mixtures of finitely many regression or autoregression models. We propose nonparametric estimators for the functions characterizing the various mixture components based on a local quasi maximum likelihood approach and prove their consistency. We present an EM algorithm for calculating the estimates numerically which is mainly based on iteratively applying common local smoothers and discuss its convergence properties.

- 121
- Mixtures of Nonparametric Autoregression, revised (2009)
- We consider data generating mechanisms which can be represented as mixtures of finitely many regression or autoregression models. We propose nonparametric estimators for the functions characterizing the various mixture components based on a local quasi maximum likelihood approach and prove their consistency. We present an EM algorithm for calculating the estimates numerically which is mainly based on iteratively applying common local smoothers and discuss its convergence properties.

- 122
- Earliest Arrival Flows in Series-Parallel Graphs (2009)
- We present an exact algorithm for computing an earliest arrival flow in a discrete time setting on series-parallel graphs. In contrast to previous results for the earliest arrival flow problem this algorithm runs in polynomial time.

- 123
- Selfish Bin Coloring (2009)
- We introduce a new game, the so-called bin coloring game, in which selfish players control colored items and each player aims at packing its item into a bin with as few different colors as possible. We establish the existence of Nash and strong as well as weakly and strictly Pareto optimal equilibria in these games in the cases of capacitated and uncapacitated bins. For both kinds of games we determine the prices of anarchy and stability concerning those four equilibrium concepts. Furthermore, we show that extreme Nash equilibria, those with minimal or maximal number of colors in a bin, can be found in time polynomial in the number of items for the uncapcitated case.

- 124
- Maximum Likelihood Estimators for Markov Switching Autoregressive Processes with ARCH Component (2009)
- We consider a mixture of AR-ARCH models where the switching between the basic states of the observed time series is controlled by a hidden Markov chain. Under simple conditions, we prove consistency and asymptotic normality of the maximum likelihood parameter estimates combining general results on asymptotics of Douc et al (2004) and of geometric ergodicity of Franke et al (2007).