Related papers: Convexity and Duality in Optimum Real-time Bidding…
We study the optimal behavior of a bidder in a real-time auction subject to the requirement that a specified collections of heterogeneous items be acquired within given time constraints. The problem facing this bidder is cast as a…
We study a real-time bidding problem resulting from a set of contractual obligations stipulating that a firm win a specified number of heterogeneous impressions or ad placements over a defined duration in a real-time auction. The contracts…
We develop a novel optimization model to maximize the profit of a Demand-Side Platform (DSP) while ensuring that the budget utilization preferences of the DSP's advertiser clients are adequately met. Our model is highly flexible and can be…
This paper studies convex duality in optimal investment and contingent claim valuation in markets where traded assets may be subject to nonlinear trading costs and portfolio constraints. Under fairly general conditions, the dual expressions…
In display advertising, advertisers want to achieve a marketing objective with constraints on budget and cost-per-outcome. This is usually formulated as an optimization problem that maximizes the total utility under constraints. The…
Convex duality for two two different super--replication problems in a continuous time financial market with proportional transaction cost is proved. In this market, static hedging in a finite number of options, in addition to usual dynamic…
In many online advertisement (ad) exchanges, ad slots are each sold via a separate second-price auction. This paper considers the bidder's problem of maximizing the value of ads they purchase in these auctions, subject to budget…
We consider the pricing problem facing a seller of a contingent claim. We assume that this seller has some general level of partial information, and that he is not allowed to sell short in certain assets. This pricing problem, which is our…
We investigate approximately optimal mechanisms in settings where bidders' utility functions are non-linear; specifically, convex, with respect to payments (such settings arise, for instance, in procurement auctions for energy). We provide…
We develop an optimization model and corresponding algorithm for the management of a demand-side platform (DSP), whereby the DSP aims to maximize its own profit while acquiring valuable impressions for its advertiser clients. We formulate…
Sponsored search in E-commerce platforms such as Amazon, Taobao and Tmall provides sellers an effective way to reach potential buyers with most relevant purpose. In this paper, we study the auction mechanism optimization problem in…
This article studies convex duality in stochastic optimization over finite discrete-time. The first part of the paper gives general conditions that yield explicit expressions for the dual objective in many applications in operations…
The ad-trading desks of media-buying agencies are increasingly relying on complex algorithms for purchasing advertising inventory. In particular, Real-Time Bidding (RTB) algorithms respond to many auctions -- usually Vickrey auctions --…
Most recent papers addressing the algorithmic problem of allocating advertisement space for keywords in sponsored search auctions assume that pricing is done via a first-price auction, which does not realistically model the Generalized…
Small operators who take part in secondary wireless spectrum markets typically have strict budget limits. In this paper, we study the bidding problem of a budget constrained operator in repeated secondary spectrum auctions. In existing…
We consider the classical linear assignment problem, and we introduce new auction algorithms for its optimal and suboptimal solution. The algorithms are founded on duality theory, and are related to ideas of competitive bidding by persons…
We consider the problem of designing revenue-optimal auctions for selling two items and bidders' valuations are independent among bidders but negatively correlated among items. In this paper, we obtain the closed-form optimal auction for…
This paper demonstrates a practical method for computing the solution of an expectation-constrained robust maximization problem with immediate applications to model-free no-arbitrage bounds and super-replication values for many financial…
This work proposes a bid shading strategy for first-price auctions as a measure-valued optimization problem. We consider a standard parametric form for bid shading and formulate the problem as convex optimization over the joint distribution…
Convergence (virtual) bidding is an important part of two-settlement electric power markets as it can effectively reduce discrepancies between the day-ahead and real-time markets. Consequently, there is extensive research into the bidding…