Related papers: Optimal Real-Time Bidding Strategies
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…
While the auto-bidding literature predominantly considers independent bidding, we investigate the coordination problem among multiple auto-bidders in online advertising platforms. Two motivating scenarios are: collaborative bidding among…
As commerce shifts to digital marketplaces, platforms increasingly monetize traffic through Sponsored Shopping auctions. Unlike classic ``Sponsored Search", where an advertiser typically bids for a single link, these settings involve…
Single-shot auctions are commonly used as a means to sell goods, for example when selling ad space or allocating radio frequencies, however devising mechanisms for auctions with multiple bidders and multiple items can be complicated. It has…
In this paper, we explore a new class of stochastic control problems characterized by specific control constraints. Specifically, the admissible controls are subject to the ratcheting constraint, meaning they must be non-decreasing over…
In this manuscript we consider optimal control problems of stochastic differential equations with delays in the state and in the control. First, we prove an equivalent Markovian reformulation on Hilbert spaces of the state equation. Then,…
We consider a repeated auction where the buyer's utility for an item depends on the time that elapsed since his last purchase. We present an algorithm to build the optimal bidding policy, and then, because optimal might be impractical, we…
In this paper we make a survey on the so called randomization method, a recent methodology to study stochastic optimization problems. It allows to represent the value function of an optimal control problem by a suitable backward stochastic…
We consider a dynamic portfolio optimization problem that incorporates predictable returns, instantaneous transaction costs, price impact, and stochastic volatility, extending the classical results of Garleanu and Pedersen (2013), which…
Motivated by Carbon Emissions Trading Schemes, Treasury Auctions, Procurement Auctions, and Wholesale Electricity Markets, which all involve the auctioning of homogeneous multiple units, we consider the problem of learning how to bid in…
In the matroid buyback problem, an algorithm observes a sequence of bids and must decide whether to accept each bid at the moment it arrives, subject to a matroid constraint on the set of accepted bids. Decisions to reject bids are…
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…
Sponsored search positions are typically allocated through real-time auctions, where the outcomes depend on advertisers' quality-adjusted bids - the product of their bids and quality scores. Although quality scoring helps promote ads with…
We consider the problem of optimal bidding for virtual trading in two-settlement electricity markets. A virtual trader aims to arbitrage on the differences between day-ahead and real-time market prices; both prices, however, are random and…
Throttling is a popular method of budget management for online ad auctions in which the platform modulates the participation probability of an advertiser in order to smoothly spend her budget across many auctions. In this work, we…
We consider the problem of supply and demand balancing that is stated as a minimization problem for the total expected revenue function describing the behavior of both consumers and suppliers. In the considered market model we assume that…
Robust mechanism design is a rising alternative to Bayesian mechanism design, which yields designs that do not rely on assumptions like full distributional knowledge. We apply this approach to mechanisms for selling a single item, assuming…
We study an abstract optimal auction problem for a single good or service. This problem includes environments where agents have budgets, risk preferences, or multi-dimensional preferences over several possible configurations of the good…
In this work we are concerned with the design of efficient mechanisms while eliciting limited information from the agents. First, we study the performance of sampling approximations in facility location games. Our key result is to show that…
Online auctions have expanded rapidly over the last decade and have become a fascinating new type of business or commercial transaction in this digital era. Here we introduce a master equation for the bidding process that takes place in…