We study the problem of designing dynamic intervention policies for minimizing networked defaults in financial networks. Formally, we consider a dynamic version of the celebrated Eisenberg-Noe model of financial network liabilities and use this to study the design of external intervention policies. Our controller has a fixed resource budget in each round and can use this to minimize the effect of demand/supply shocks in the network. We formulate the optimal intervention problem as a Markov Decision Process and show how we can leverage the problem structure to efficiently compute optimal intervention policies with continuous interventions and provide approximation algorithms for discrete interventions. Going beyond financial networks, we argue that our model captures dynamic network intervention in a much broader class of dynamic demand/supply settings with networked inter-dependencies. To demonstrate this, we apply our intervention algorithms to various application domains, including ridesharing, online transaction platforms, and financial networks with agent mobility. In each case, we study the relationship between node centrality and intervention strength, as well as the fairness properties of the optimal interventions.
翻译:我们研究如何设计动态干预政策,以尽量减少金融网络中的网络违约现象。 正式地,我们考虑一个动态版的著名的Eisenberg-Noe金融网络负债模式,并以此研究外部干预政策的设计。 我们的主计长在每个回合都有固定的资源预算,可以以此最大限度地减少网络中需求/供应冲击的影响。 我们把最佳干预问题作为Markov决策程序来制定,并表明我们如何能够利用问题结构有效地计算最佳干预政策,不断采取干预措施,并为独立干预措施提供近似算法。 在金融网络之外,我们认为,我们的模型捕捉了在更广大的动态需求/供应环境中的动态网络干预,并建立了网络的相互依存关系。为了证明这一点,我们将我们的干预算法应用到不同的应用领域,包括搭乘、在线交易平台和具有代理流动性的金融网络。 在每一个案例中,我们研究节点中心与干预力量之间的关系,以及最佳干预的公平性。