Related papers: A Game-Theoretic Analysis of the Empirical Revenue…
Online auctions are one of the most fundamental facets of the modern economy and power an industry generating hundreds of billions of dollars a year in revenue. Auction theory has historically focused on the question of designing the best…
We study risk-sensitive reinforcement learning in finite discounted MDPs with recursive entropic risk measures (ERM), where the risk parameter $\beta \neq 0$ controls the agent's risk attitude: $\beta>0$ for risk-averse and $\beta<0$ for…
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…
The Expectation Maximization (EM) algorithm is a versatile tool for model parameter estimation in latent data models. When processing large data sets or data stream however, EM becomes intractable since it requires the whole data set to be…
We provide a near-optimal, computationally efficient algorithm for the unit-demand pricing problem, where a seller wants to price n items to optimize revenue against a unit-demand buyer whose values for the items are independently drawn…
Designing an incentive compatible auction that maximizes expected revenue is an intricate task. The single-item case was resolved in a seminal piece of work by Myerson in 1981, but more than 40 years later a full analytical understanding of…
Empirical divergence maximization (EDM) refers to a recently proposed strategy for estimating f-divergences and likelihood ratio functions. This paper extends the idea to empirical vector quantization where one seeks to empirically derive…
Designing an incentive compatible auction that maximizes expected revenue is a central problem in Auction Design. While theoretical approaches to the problem have hit some limits, a recent research direction initiated by Duetting et al.…
Market making (MM) has attracted significant attention in financial trading owing to its essential function in ensuring market liquidity. With strong capabilities in sequential decision-making, Reinforcement Learning (RL) technology has…
This paper discusses the revenue management (RM) problem to maximize revenue by pricing items or services. One challenge in this problem is that the demand distribution is unknown and varies over time in real applications such as airline…
Expectation-Maximization (EM) is a prominent approach for parameter estimation of hidden (aka latent) variable models. Given the full batch of data, EM forms an upper-bound of the negative log-likelihood of the model at each iteration and…
In this study, we apply reinforcement learning techniques and propose what we call reinforcement mechanism design to tackle the dynamic pricing problem in sponsored search auctions. In contrast to previous game-theoretical approaches that…
The commercialization of LLM applications is the next frontier in online advertising, with LLM-native advertising emerging as a promising paradigm by integrating ads into LLM-generated content. However, classic mechanisms are no longer…
Many modern computational approaches to classical problems in quantitative finance are formulated as empirical loss minimization (ERM), allowing direct applications of classical results from statistical machine learning. These methods,…
Empirical risk minimization (ERM) is ubiquitous in machine learning and underlies most supervised learning methods. While there has been a large body of work on algorithms for various ERM problems, the exact computational complexity of ERM…
We present a polynomial-time algorithm that, given samples from the unknown valuation distribution of each bidder, learns an auction that approximately maximizes the auctioneer's revenue in a variety of single-parameter auction environments…
In mechanism design, it is challenging to design the optimal auction with correlated values in general settings. Although value distribution can be further exploited to improve revenue, the complex correlation structure makes it hard to…
The auction of a single indivisible item is one of the most celebrated problems in mechanism design with transfers. Despite its simplicity, it provides arguably the cleanest and most insightful results in the literature. When the…
An interesting phenomenon arises: Empirical Risk Minimization (ERM) sometimes outperforms methods specifically designed for out-of-distribution tasks. This motivates an investigation into the reasons behind such behavior beyond algorithmic…
Large language models (LLMs) have shown promise in performing complex multi-step reasoning, yet they continue to struggle with mathematical reasoning, often making systematic errors. A promising solution is reinforcement learning (RL)…