Related papers: Robust Monopoly Regulation
We study the design of an auction for an income-generating asset such as an intellectual property license. Each bidder has a signal about his future income from acquiring the asset. After the asset is allocated, the winner's income from the…
This paper considers optimal control problem of a large insurance company under a fixed insolvency probability. The company controls proportional reinsurance rate, dividend pay-outs and investing process to maximize the expected present…
We consider a stochastic inventory control problem under censored demands, lost sales, and positive lead times. This is a fundamental problem in inventory management, with significant literature establishing near-optimality of a simple…
A robust adaptive model predictive control (MPC) algorithm is presented for linear, time invariant systems with unknown dynamics and subject to bounded measurement noise. The system is characterized by an impulse response model, which is…
Economists often estimate economic models on data and use the point estimates as a stand-in for the truth when studying the model's implications for optimal decision-making. This practice ignores model ambiguity, exposes the decision…
A small investor provides liquidity at the best bid and ask prices of a limit order market. For small spreads and frequent orders of other market participants, we explicitly determine the investor's optimal policy and welfare. In doing so,…
We characterize optimal mechanisms for the multiple-good monopoly problem and provide a framework to find them. We show that a mechanism is optimal if and only if a measure $\mu$ derived from the buyer's type distribution satisfies certain…
Price-based revenue management is an important problem in operations management with many practical applications. The problem considers a retailer who sells a product (or multiple products) over $T$ consecutive time periods and is subject…
Policy optimization methods are popular reinforcement learning algorithms in practice. Recent works have built theoretical foundation for them by proving $\sqrt{T}$ regret bounds even when the losses are adversarial. Such bounds are tight…
Robust stability and stochastic stability have separately seen intense study in control theory for many decades. In this work we establish relations between these properties for discrete-time systems and employ them for robust control…
The problem of designing a profit-maximizing, Bayesian incentive compatible and individually rational mechanism with flexible consumers and costly heterogeneous supply is considered. In our setup, each consumer is associated with a…
This paper addresses the problem of utility maximization under uncertain parameters. In contrast with the classical approach, where the parameters of the model evolve freely within a given range, we constrain them via a penalty function. We…
Motivated by pricing in ad exchange markets, we consider the problem of robust learning of reserve prices against strategic buyers in repeated contextual second-price auctions. Buyers' valuations for an item depend on the context that…
Robust optimization is concerned with constructing solutions that remain feasible also when a limited number of resources is removed from the solution. Most studies of robust combinatorial optimization to date made the assumption that every…
Conventional robust H2/H-infinity control minimizes the worst-case performance, often leading to a conservative design driven by very rare parametric configurations. To reduce this conservatism while taking advantage of the stochastic…
Feedback optimization optimizes the steady state of a dynamical system by implementing optimization iterations in closed loop with the plant. It relies on online measurements and limited model information, namely, the input-output…
This study empirically investigates firms' incentives on the choice of product durability, and its social optimality, by developing a dynamic structural model of durable goods with forward-looking consumers and oligopolistic multi-product…
Quality information on online platforms is often conveyed through simple, percentile-based badges and tiers that remain stable across different market environments. Motivated by this empirical evidence, we study robust quality disclosure in…
Creating and maximizing influence among the customers is one of the central goals of an advertiser, and hence, remains an active area of research in recent times. In this advertisement technique, the advertisers approach an influence…
We study a reinsurer who faces multiple sources of model uncertainty. The reinsurer offers contracts to $n$ insurers whose claims follow compound Poisson processes representing both idiosyncratic and systemic sources of loss. As the…