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Sellers in online markets face the challenge of determining the right time to sell in view of uncertain future offers. Classical stopping theory assumes that sellers have full knowledge of the value distributions, and leverage this…
This paper studies an online selection problem, where a seller seeks to sequentially sell multiple copies of an item to arriving buyers. We consider an adversarial setting, making no modeling assumptions about buyers' valuations for the…
Robust optimization (RO) tackles data uncertainty by optimizing for the worst-case scenario of an uncertain parameter and, in its basic form, is sometimes criticized for producing overly-conservative solutions. To reduce the level of…
We present a distributionally robust optimization (DRO) approach for the transmission expansion planning problem, considering both long- and short-term uncertainties on the system demand and non-dispatchable renewable generation. On the…
Model Predictive Control (MPC) is widely recognized for its ability to explicitly handle system constraints. In practice, system states are often affected by disturbances with unknown distributions. While robust MPC guarantees constraint…
Posted price mechanisms are prevalent in allocating goods within online marketplaces due to their simplicity and practical efficiency. We explore a fundamental scenario where buyers' valuations are independent and identically distributed,…
I study the design of auctions in which the auctioneer is assumed to have information only about the marginal distribution of a generic bidder's valuation, but does not know the correlation structure of the joint distribution of bidders'…
Price determination is a central research topic of revenue management in marketing. The important aspect in pricing is controlling the stochastic behavior of demand, and the previous studies have tackled price optimization problems with…
In this paper, a novel approach to define the optimal bidding of renewable-only virtual power plants (RVPPs) in the day-ahead, secondary reserve, and intra-day markets is proposed. To this aim, a robust optimization algorithm is developed…
To ensure a successful bid while maximizing of profits, generation companies (GENCOs) need a self-scheduling strategy that can cope with a variety of scenarios. So distributionally robust opti-mization (DRO) is a good choice because that it…
Using duality theory techniques we derive simple, closed-form formulas for bounding the optimal revenue of a monopolist selling many heterogeneous goods, in the case where the buyer's valuations for the items come i.i.d. from a uniform…
We consider a model of third-degree price discrimination where the seller's product valuation is unknown to the market designer, who aims to maximize buyer surplus by revealing buyer valuation information. Our main result shows that the…
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…
Bid shading has become a standard practice in the digital advertising industry, in which most auctions for advertising (ad) opportunities are now of first price type. Given an ad opportunity, performing bid shading requires estimating not…
We study robustly optimal mechanisms for selling multiple items. The seller maximizes revenue against a worst-case distribution of a buyer's valuations within a set of distributions, called an "ambiguity" set. We identify the exact forms of…
A platform charges a producer for disclosing quality evidence to consumers before trade. It aims to maximize its revenue guarantee across potentially multiple equilibria which arise from the interdependence of producer purchase decisions…
We propose a new Robust Optimization method for the energy offering problem of a price-taker generating company that wants to build offering curves for its generation units, in order to maximize its profit while taking into account the…
We consider optimization problems with uncertain constraints that need to be satisfied probabilistically. When data are available, a common method to obtain feasible solutions for such problems is to impose sampled constraints, following…
The proliferation of the Internet has led to the emergence of online advertising, driven by the mechanics of online auctions. In these repeated auctions, software agents participate on behalf of aggregated advertisers to optimize for their…
This paper provides a non-robust interpretation of the distributionally robust optimization (DRO) problem by relating the distributional uncertainties to the chance probabilities. Our analysis allows a decision-maker to interpret the size…