On the Convergence of Tâtonnement for Linear Fisher Markets
Tianlong Nan, Yuan Gao, Christian Kroer
Abstract
Tâtonnement is a simple, intuitive market process where prices are iteratively adjusted based on the difference between demand and supply. Many variants under different market assumptions have been studied and shown to converge to a market equilibrium, in some cases at a fast rate. However, the classical case of linear Fisher markets have long eluded the analyses, and it remains unclear whether tâtonnement converges in this case. We show that, for a sufficiently small stepsize, the prices given by the tâtonnement process are guaranteed to converge to equilibrium prices, up to a small approximation radius that depends on the stepsize. To achieve this, we consider the dual Eisenberg-Gale convex program in the price space, view tâtonnement as subgradient descent on this convex program, and utilize novel last-iterate convergence results for subgradient descent under error bound conditions. In doing so, we show that the convex program satisfies a particular error bound condition, the quadratic growth condition, and that the price sequence generated by tâtonnement is bounded above and away from zero. We also show that a similar convergence result holds for tâtonnement in quasi-linear Fisher markets. Numerical experiments are conducted to demonstrate that the theoretical linear convergence aligns with empirical observations.
BibTeX
@article{Nan_Gao_Kroer_2025, title={On the Convergence of Tâtonnement for Linear Fisher Markets}, volume={39}, url={https://ojs.aaai.org/index.php/AAAI/article/view/33535}, DOI={10.1609/aaai.v39i13.33535}, abstractNote={Tâtonnement is a simple, intuitive market process where prices are iteratively adjusted based on the difference between demand and supply. Many variants under different market assumptions have been studied and shown to converge to a market equilibrium, in some cases at a fast rate. However, the classical case of linear Fisher markets have long eluded the analyses, and it remains unclear whether tâtonnement converges in this case. We show that, for a sufficiently small stepsize, the prices given by the tâtonnement process are guaranteed to converge to equilibrium prices, up to a small approximation radius that depends on the stepsize. To achieve this, we consider the dual Eisenberg-Gale convex program in the price space, view tâtonnement as subgradient descent on this convex program, and utilize novel last-iterate convergence results for subgradient descent under error bound conditions. In doing so, we show that the convex program satisfies a particular error bound condition, the quadratic growth condition, and that the price sequence generated by tâtonnement is bounded above and away from zero. We also show that a similar convergence result holds for tâtonnement in quasi-linear Fisher markets. Numerical experiments are conducted to demonstrate that the theoretical linear convergence aligns with empirical observations.}, number={13}, journal={Proceedings of the AAAI Conference on Artificial Intelligence}, author={Nan, Tianlong and Gao, Yuan and Kroer, Christian}, year={2025}, month={Apr.}, pages={14027-14035} }