Fisher Markets with Linear Constraints: Equilibrium Properties and Efficient Distributed Algorithms
Abstract
The Fisher market is one of the most fundamental models for resource allocation problems in economic theory, wherein agents spend a budget of currency to buy goods that maximize their utilities, while producers sell capacity constrained goods in exchange for currency. However, the consideration of only two types of constraints, i.e., budgets of individual buyers and capacities of goods, makes Fisher markets less amenable for resource allocation settings when agents have additional linear constraints, e.g., knapsack and proportionality constraints. In this work, we introduce a modified Fisher market, where each agent may have additional linear constraints and show that this modification to classical Fisher markets fundamentally alters the properties of the market equilibrium as well as the optimal allocations. These properties of the modified Fisher market prompt us to introduce a budget perturbed social optimization problem (BPSOP) and set prices based on the dual variables of BPSOP's capacity constraints. To compute the budget perturbations, we develop a fixed point iterative scheme and validate its convergence through numerical experiments. Since this fixed point iterative scheme involves solving a centralized problem at each step, we propose a new class of distributed algorithms to compute equilibrium prices. In particular, we develop an Alternating Direction Method of Multipliers (ADMM) algorithm with strong convergence guarantees for Fisher markets with homogeneous linear constraints as well as for classical Fisher markets. In this algorithm, the prices are updated based on the tatonnement process, with a step size that is completely independent of the utilities of individual agents. Thus, our mechanism, both theoretically and computationally, overcomes a fundamental limitation of classical Fisher markets, which only consider capacity and budget constraints.
 Publication:

arXiv eprints
 Pub Date:
 June 2021
 arXiv:
 arXiv:2106.10412
 Bibcode:
 2021arXiv210610412J
 Keywords:

 Computer Science  Computer Science and Game Theory