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Buying and selling of data online has increased substantially over the last few years. Several frameworks have already been proposed that study query pricing in theory and practice. The key guiding principle in these works is the notion of…
We consider the problem of a revenue-maximizing seller with a large number of items $m$ for sale to $n$ strategic bidders, whose valuations are drawn independently from high-dimensional, unknown prior distributions. It is well-known that…
This paper develops the theory of mechanism redesign by which an auctioneer can reoptimize an auction based on bid data collected from previous iterations of the auction on bidders from the same market. We give a direct method for…
Using AI approaches to automatically design mechanisms has been a central research mission at the interface of AI and economics [Conitzer and Sandholm, 2002]. Previous approaches that attempt to design revenue optimal auctions for the…
We consider the problem of the optimization of bidding strategies in prior-dependent revenue-maximizing auctions, when the seller fixes the reserve prices based on the bid distributions. Our study is done in the setting where one bidder is…
We develop efficient algorithms to construct utility maximizing mechanisms in the presence of risk averse players (buyers and sellers) in Bayesian settings. We model risk aversion by a concave utility function, and players play…
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 a classical Bayesian mechanism design problem where a seller is selling multiple items to multiple buyers. We consider the case where the seller has costs to produce the items, and these costs are private information to the seller.…
Most work in mechanism design assumes that buyers are risk neutral; some considers risk aversion arising due to a non-linear utility for money. Yet behavioral studies have established that real agents exhibit risk attitudes which cannot be…
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 study the problem of selling $n$ items to a single buyer with an additive valuation function. We consider the valuation of the items to be correlated, i.e., desirabilities of the buyer for the items are not drawn independently. Ideally,…
We study the problem of optimal trading using general alpha predictors with linear costs and temporary impact. We do this within the framework of stochastic optimization with finite horizon using both limit and market orders. Consistently…
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…
Correctly estimating how demand respond to prices is fundamental for airlines willing to optimize their pricing policy. Under some conditions, these policies, while aiming at maximizing short term revenue, can present too little price…
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 study the revenue maximization problem with an imprecisely estimated distribution of a single buyer or several independent and identically distributed buyers given that this estimation is not far away from the true distribution. We use…
A fundamental assumption in classical mechanism design is that buyers are perfect optimizers. However, in practice, buyers may be limited by their computational capabilities or a lack of information, and may not be able to perfectly…
Randomized mechanisms, which map a set of bids to a probability distribution over outcomes rather than a single outcome, are an important but ill-understood area of computational mechanism design. We investigate the role of randomized…
We consider the fundamental scenario where a single item is to be sold to one of two agents. Both agents draw their valuation for the item from the same probability distribution. However, only one of them submits a bid to the mechanism. The…
Ad auctions in sponsored search support ``broad match'' that allows an advertiser to target a large number of queries while bidding only on a limited number. While giving more expressiveness to advertisers, this feature makes it challenging…