Related papers: A Dynamic Programming Model for Determining Biddin…

We study the problem of maximising terminal utility for an agent facing model uncertainty, in a frictionless discrete-time market with one safe asset and finitely many risky assets. We show that an optimal investment strategy exists if the…

This paper explores the integration of strategic optimization methods in search advertising, focusing on ad ranking and bidding mechanisms within E-commerce platforms. By employing a combination of reinforcement learning and evolutionary…

We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…

To support a freight carrier in a combinatorial transport auction, we proposes an exact and two heuristic strategies for bidding on subsets of requests. The exact bidding strategy is based on the concept of elementary request combinations.…

We study buyer-optimal procurement mechanisms when quality is contractible. When some costs are borne by every participant of a procurement auction regardless of winning, the classic analysis should be amended. We show that an optimal…

This paper proposes a new combinatorial auction framework for local energy flexibility markets, which addresses the issue of prosumers' inability to bundle multiple flexibility time intervals. To solve the underlying NP-complete winner…

For decades, Simultaneous Ascending Auction (SAA) has been the most popular mechanism used for spectrum auctions. It has recently been employed by many countries for the allocation of 5G licences. Although SAA presents relatively simple…

In today's online advertising markets, a crucial requirement for an advertiser is to control her total expenditure within a time horizon under some budget. Among various budget control methods, throttling has emerged as a popular choice,…

Sponsored search is an important monetization channel for search engines, in which an auction mechanism is used to select the ads shown to users and determine the prices charged from advertisers. There have been several pieces of work in…

We consider a broad class of dynamic programming (DP) problems that involve a partially linear structure and some positivity properties in their system equation and cost function. We address deterministic and stochastic problems, possibly…

We propose a novel randomized linear programming algorithm for approximating the optimal policy of the discounted Markov decision problem. By leveraging the value-policy duality and binary-tree data structures, the algorithm adaptively…

We are interested in the setting where a seller sells sequentially arriving items, one per period, via a dynamic auction. At the beginning of each period, each buyer draws a private valuation for the item to be sold in that period and this…

We consider the problem of bid prediction in repeated auctions and evaluate the performance of econometric methods for learning agents using a dataset from a mainstream sponsored search auction marketplace. Sponsored search auctions is a…

The system operator's scheduling problem in electricity markets, called unit commitment, is a non-convex mixed-integer program. The optimal value function is non-convex, preventing the application of traditional marginal pricing theory to…

We study the problem of a budget limited buyer who wants to buy a set of items, each from a different seller, to maximize her value. The budget feasible mechanism design problem aims to design a mechanism which incentivizes the sellers to…

We study revenue maximization in multi-item auctions, where bidders have subadditive valuations over independent items. Providing a simple mechanism that is approximately revenue-optimal in this setting is a major open problem in mechanism…

Diffusion auction design is a new trend in mechanism design for which the main goal is to incentivize existing buyers to invite new buyers, who are their neighbors on a social network, to join an auction even though they are competitors.…

This work proposes a bid shading strategy for first-price auctions as a measure-valued optimization problem. We consider a standard parametric form for bid shading and formulate the problem as convex optimization over the joint distribution…

Real-time bidding (RTB) based display advertising has become one of the key technological advances in computational advertising. RTB enables advertisers to buy individual ad impressions via an auction in real-time and facilitates the…

Group-buying ads seeking a minimum number of customers before the deal expiry are increasingly used by the daily-deal providers. Unlike the traditional web ads, the advertiser's profits for group-buying ads depends on the time to expiry and…