Related papers: Perturbed Pricing
We consider a periodical equilibrium pricing problem for multiple firms over a planning horizon of T periods. At each period, firms set their selling prices and receive stochastic demand from consumers. Firms do not know their underlying…
Bilateral trade models the task of intermediating between two strategic agents, a seller and a buyer, willing to trade a good for which they hold private valuations. We study this problem from the perspective of a broker, in a regret…
Setting an effective reserve price for strategic bidders in repeated auctions is a central question in online advertising. In this paper, we investigate how to set an anonymous reserve price in repeated auctions based on historical bids in…
A single unit of a good is sold to one of two bidders. Each bidder has either a high prior valuation or a low prior valuation for the good. Their prior valuations are independently and identically distributed. Each bidder may observe an…
Entropy regularization is known to improve exploration in sequential decision-making problems. We show that this same mechanism can also lead to nearly unbiased and lower-variance estimates of the mean reward in the optimize-and-estimate…
We study the problem of multi-dimensional revenue maximization when selling $m$ items to a buyer that has additive valuations for them, drawn from a (possibly correlated) prior distribution. Unlike traditional Bayesian auction design, we…
Reference prices have long been studied in applied economics and business research. One of the classic formulations of the reference price is in terms of an iterative function of past prices. There are a number of limitations of such a…
We introduce a new concept, data irrecoverability, and show that the well-studied concept of data privacy is sufficient but not necessary for data irrecoverability. We show that there are several regularized loss minimization problems that…
Developing efficient sequential bidding strategies for repeated auctions is an important practical challenge in various marketing tasks. In this setting, the bidding agent obtains information, on both the value of the item at sale and the…
We study optimal bundling when consumers differ in one dimension. We introduce a partial order on the set of bundles defined by (i) set inclusion and (ii) sales volumes (if sold alone and priced optimally). We show that if the undominated…
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…
Reserve prices are widely used in practice. The problem of designing revenue-optimal auctions based on reserve price has drawn much attention in the auction design community. Although they have been extensively studied, most developments…
In the information-based approach to asset pricing the market filtration is modelled explicitly as a superposition of signals concerning relevant market factors and independent noise. The rate at which the signal is revealed to the market…
We study independent private values auction environments in which the auctioneer's revenue depends nonlinearly on bidders' interim winning probabilities. Our framework accommodates heterogeneity among bidders and places no ad hoc…
We show that computing the revenue-optimal deterministic auction in unit-demand single-buyer Bayesian settings, i.e. the optimal item-pricing, is computationally hard even in single-item settings where the buyer's value distribution is a…
In markets with budget-constrained buyers, competitive equilibria need not be efficient in the utilitarian sense, or maximise the seller's revenue. We consider a setting with multiple divisible goods. Competitive equilibrium outcomes, and…
Considering that a trader or a trading algorithm interacting with markets during continuous auctions can be modeled by an iterating procedure adjusting the price at which he posts orders at a given rhythm, this paper proposes a procedure…
We study the power and limitations of posted prices in multi-unit markets, where agents arrive sequentially in an arbitrary order. We prove upper and lower bounds on the largest fraction of the optimal social welfare that can be guaranteed…
Consider a connected network of agents endowed with local cost functions representing private objectives. Agents seek to find an agreement on some minimizer of the aggregate cost, by means of repeated communications between neighbors.…
One way to make decisions under uncertainty is to select an optimal option from a possible range of options, by maximizing the expected utilities derived from a probability model. However, under severe uncertainty, identifying precise…