Uniform-Price Mechanism Design for a Large Population of Dynamic Agents

Abstract: This paper focuses on the coordination of a large population of dynamic agents with private information over multiple periods. Each agent maximizes the individual utility, while the coordinator determines the market rule to achieve group objectives. The coordination problem is formulated as a dynamic mechanism design problem. A mechanism is proposed based on the competitive equilibrium of the large population game. We derive the conditions for the general nonlinear dynamic systems under which the proposed mechanism is incentive compatible and can implement the social choice function in $\epsilon$-Nash equilibrium. In addition, we show that for linear quadratic problems with bounded parameters, the proposed mechanism can maximize the social welfare subject to a total resource constraint in $\epsilon$-dominant strategy equilibrium.