Related papers: A Dynamic Programming Model for Determining Biddin…
We develop a method using parameterized linear equations to define trading mechanisms in market design models. Our method adeptly addresses challenges arising from factors such as complex endowments or coarse priorities, while offering…
We study a seller who sells a single good to multiple bidders with uncertainty over the joint distribution of bidders' valuations, as well as bidders' higher-order beliefs about their opponents. The seller only knows the (possibly…
We propose a general stochastic framework for modelling repeated auctions in the Real Time Bidding (RTB) ecosystem using point processes. The flexibility of the framework allows a variety of auction scenarios including configuration of…
This paper proposes a novel energy storage price arbitrage algorithm combining supervised learning with dynamic programming. The proposed approach uses a neural network to directly predicts the opportunity cost at different energy storage…
In this paper, we introduce a novel, non-recursive, maximal matching algorithm for double auctions, which aims to maximize the amount of commodities to be traded. It differs from the usual equilibrium matching, which clears a market at the…
This paper studies some basic problems in a multiple-object auction model using methodologies from theoretical computer science. We are especially concerned with situations where an adversary bidder knows the bidding algorithms of all the…
Motivated by applications such as cloud computing, gig platforms, and blockchain auctions, we study optimal selling mechanisms for dynamic markets with stochastic supply and demand. In our model, buyers with private valuations and…
We study problems arising in real-time auction markets, common in e-commerce and computational advertising, where bidders face the problem of calculating optimal bids. We focus upon a contract management problem where a demand aggregator is…
We study the efficiency guarantees in the simple auction environment where the auctioneer has one unit of divisible good to be distributed among a number of budget constrained agents. With budget constraints, the social welfare cannot be…
The optimal pricing problem is a fundamental problem that arises in combinatorial auctions. Suppose that there is one seller who has indivisible items and multiple buyers who want to purchase a combination of the items. The seller wants to…
Convergence (virtual) bidding is an important part of two-settlement electric power markets as it can effectively reduce discrepancies between the day-ahead and real-time markets. Consequently, there is extensive research into the bidding…
In this paper, we analyze dynamic programming as a novel approach to solve the problem of maximizing the profits of a bank. The mathematical model of the problem and the description of a bank's work is described in this paper. The problem…
This paper presents a method to approximately solve stochastic optimal control problems in which the cost function and the system dynamics are polynomial. For stochastic systems with polynomial dynamics, the moments of the state can be…
Real-time bidding is the new paradigm of programmatic advertising. An advertiser wants to make the intelligent choice of utilizing a \textbf{Demand-Side Platform} to improve the performance of their ad campaigns. Existing approaches are…
Real-Time Bidding is nowadays one of the most promising systems in the online advertising ecosystem. In the presented study, the performance of RTB campaigns is improved by optimising the parameters of the users' profiles and the…
We consider the optimization problem of a multi-resource, multi-unit VCG auction that produces an optimal, i.e., non-approximated, social welfare. We present an algorithm that solves this optimization problem with pseudo-polynomial…
We consider the problem of an auctioneer who faces the task of selling a good (drawn from a known distribution) to a set of buyers, when the auctioneer does not have the capacity to describe to the buyers the exact identity of the good that…
In e-commerce advertising, the ad platform usually relies on auction mechanisms to optimize different performance metrics, such as user experience, advertiser utility, and platform revenue. However, most of the state-of-the-art auction…
We efficiently solve the optimal multi-dimensional mechanism design problem for independent bidders with arbitrary demand constraints when either the number of bidders is a constant or the number of items is a constant. In the first…
In this paper we define a new auction, called the Draw auction. It is based on the implementation of a draw when a minimum price of sale is not reached. We find that a Bayesian Nash equilibrium is reached in the Draw auction when each…