Related papers: A Dynamic Programming Model for Determining Biddin…
We present an algorithm for computing pure-strategy epsilon-perfect Bayesian equilibria in sequential auctions with continuous action and value spaces. Importantly, our algorithm includes a verification phase that computes an upper bound on…
Auction design for the modern advertising market has gained significant prominence in the field of game theory. With the recent rise of auto-bidding tools, an increasing number of advertisers in the market are utilizing these tools for…
We show that the multiplicative weight update method provides a simple recipe for designing and analyzing optimal Bayesian Incentive Compatible (BIC) auctions, and reduces the time complexity of the problem to pseudo-polynomial in…
We consider the problem of the optimization of bidding strategies in prior-dependent revenue-maximizing auctions, when the seller fixes the reserve prices based on the bid distributions. Our study is done in the setting where one bidder is…
We consider a discrete time financial market with proportional transaction costs under model uncertainty, and study a num\'eraire-based semi-static utility maximization problem with an exponential utility preference. The randomization…
Internet search companies sell advertisement slots based on users' search queries via an auction. While there has been a lot of attention on the auction process and its game-theoretic aspects, our focus is on the advertisers. In particular,…
There is growing interest in the use of grid-level storage to smooth variations in supply that are likely to arise with increased use of wind and solar energy. Energy arbitrage, the process of buying, storing, and selling electricity to…
We study the online learning problem of a bidder who participates in repeated auctions. With the goal of maximizing his T-period payoff, the bidder determines the optimal allocation of his budget among his bids for $K$ goods at each period.…
The Maker Protocol is a decentralized finance application that enables collateralized lending. The application uses open-bid, second-price auctions to complete its loan liquidation process. In this paper, we develop a bidding function for…
We develop a novel optimization model to maximize the profit of a Demand-Side Platform (DSP) while ensuring that the budget utilization preferences of the DSP's advertiser clients are adequately met. Our model is highly flexible and can be…
In online advertising markets, budget-constrained advertisers acquire ad placements through repeated bidding in auctions on various platforms. We present a strategy for bidding optimally in a set of auctions that may or may not be…
The ad-trading desks of media-buying agencies are increasingly relying on complex algorithms for purchasing advertising inventory. In particular, Real-Time Bidding (RTB) algorithms respond to many auctions -- usually Vickrey auctions --…
The first-price auction is popular in practice for its simplicity and transparency. Moreover, its potential virtues grow in complex settings where incentive compatible auctions may generate little or no revenue. Unfortunately, the…
With the emergence of new online channels and information technology, digital advertising tends to substitute more and more to traditional advertising by offering the opportunity to companies to target the consumers/users that are really…
We introduce a new numerical framework to learn optimal bidding strategies in repeated auctions when the seller uses past bids to optimize her mechanism. Crucially, we do not assume that the bidders know what optimization mechanism is used…
In this paper, we consider the problem of optimizing the revenue a web publisher gets through real-time bidding (i.e. from ads sold in real-time auctions) and direct (i.e. from ads sold through contracts agreed in advance). We consider a…
This paper studies mechanism design for auctions with externalities on budgets, a novel setting where the budgets that bidders commit are adjusted due to the externality of the competitors' allocation outcomes-a departure from traditional…
A natural optimization model that formulates many online resource allocation and revenue management problems is the online linear program (LP) in which the constraint matrix is revealed column by column along with the corresponding…
We study a class of procurement auctions with a budget constraint, where an auctioneer is interested in buying resources or services from a set of agents. Ideally, the auctioneer would like to select a subset of the resources so as to…
In practice, most auction mechanisms are not strategy-proof, so equilibrium analysis is required to predict bidding behavior. In many auctions, though, an exact equilibrium is not known and one would like to understand whether -- manually…