Related papers: Selling Two Goods Optimally
We study revenue optimization pricing algorithms for repeated posted-price auctions where a seller interacts with a single strategic buyer that holds a fixed private valuation. We show that, in the case when both the seller and the buyer…
A prevalent market structure in the Internet economy consists of buyers and sellers connected by a platform (such as Amazon or eBay) that acts as an intermediary and keeps a share of the revenue of each transaction. While the optimal…
This paper studies mechanism design environments in which the designer does not know the distribution of agents' private information a priori and instead learns from agents' behavior induced by the mechanism itself. We formalize a notion of…
It was recently shown in [http://arxiv.org/abs/1207.5518] that revenue optimization can be computationally efficiently reduced to welfare optimization in all multi-dimensional Bayesian auction problems with arbitrary (possibly…
We consider the problem of designing revenue-optimal auctions for selling two items and bidders' valuations are independent among bidders but negatively correlated among items. In this paper, we obtain the closed-form optimal auction for…
This article studies convex duality in stochastic optimization over finite discrete-time. The first part of the paper gives general conditions that yield explicit expressions for the dual objective in many applications in operations…
The intuition that profit is optimized by maximizing marginal revenue is a guiding principle in microeconomics. In the classical auction theory for agents with linear utility and single-dimensional preferences, Bulow and Roberts (1989) show…
In spite of the growing consideration for optimal execution in the financial mathematics literature, numerical approximations of optimal trading curves are almost never discussed. In this article, we present a numerical method to…
We advance a recently flourishing line of work at the intersection of learning theory and computational economics by studying the learnability of two classes of mechanisms prominent in economics, namely menus of lotteries and two-part…
Assortment optimization concerns the problem of selling items with fixed prices to a buyer who will purchase at most one. Typically, retailers select a subset of items, corresponding to an "assortment" of brands to carry, and make each…
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…
We study the optimal behavior of a bidder in a real-time auction subject to the requirement that a specified collections of heterogeneous items be acquired within given time constraints. The problem facing this bidder is cast as a…
We study approximation algorithms for revenue maximization based on static item pricing, where a seller chooses prices for various goods in the market, and then the buyers purchase utility-maximizing bundles at these given prices. We…
In this work, we study spectrum auction problem where each request from secondary users has spatial, temporal, and spectral features. With the requests of secondary users and the reserve price of the primary user, our goal is to design…
We revisit the problem of designing the profit-maximizing single-item auction, solved by Myerson in his seminal paper for the case in which bidder valuations are independently distributed. We focus on general joint distributions, seeking…
We show that the Revenue-Optimal Deterministic Mechanism Design problem for a single additive buyer is #P-hard, even when the distributions have support size 2 for each item and, more importantly, even when the optimal solution is…
We address the problem of improving bidders' strategies in prior-dependent revenue-maximizing auctions and introduce a simple and generic method to design novel bidding strategies if the seller uses past bids to optimize her mechanism. We…
We present a general framework for designing approximately revenue-optimal mechanisms for multi-item additive auctions, which applies to both truthful and non-truthful auctions. Given a (not necessarily truthful) single-item auction format…
We study the dual formulation of the utility maximization problem in incomplete markets when the utility function is finitely valued on the whole real line. We extend the existing results in this literature in two directions. First, we…
In practice, auction data are often endogenously censored and anonymous, revealing only limited outcome statistics rather than full bid profiles. We study robust auction design when the seller observes only aggregated, anonymous order…