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We consider dynamic pricing schemes in online settings where selfish agents generate online events. Previous work on online mechanisms has dealt almost entirely with the goal of maximizing social welfare or revenue in an auction settings.…
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…
Most of the work in the auction design literature assumes that bidders behave rationally based on the information available for every individual auction, and the revelation principle enables designers to restrict their efforts to incentive…
As data marketplaces become increasingly central to the digital economy, it is crucial to design efficient pricing mechanisms that optimize revenue while ensuring fair and adaptive pricing. We introduce the Maximum Auction-to-Posted Price…
We study the problem of off-policy evaluation (OPE) in reinforcement learning (RL), where the goal is to estimate the performance of a policy from the data generated by another policy(ies). In particular, we focus on the doubly robust (DR)…
We initiate the study of statistical inference and A/B testing for two market equilibrium models: linear Fisher market (LFM) equilibrium and first-price pacing equilibrium (FPPE). LFM arises from fair resource allocation systems such as…
Decision-making in large-scale games is an essential research area in artificial intelligence (AI) with significant real-world impact. However, the limited access to realistic large-scale game environments has hindered research progress in…
We introduce a novel doubly-robust (DR) off-policy evaluation (OPE) estimator for Markov decision processes, DRUnknown, designed for situations where both the logging policy and the value function are unknown. The proposed estimator…
The problem of on-line off-policy evaluation (OPE) has been actively studied in the last decade due to its importance both as a stand-alone problem and as a module in a policy improvement scheme. However, most Temporal Difference (TD) based…
This paper describes an optimization model for setting bid levels for certain types of advertisements on web pages. This model is non-convex, but we are able to obtain optimal or near-optimal solutions rapidly using branch and cut…
This paper describes a study of agent bidding strategies, assuming combinatorial valuations for complementary and substitutable goods, in three auction environments: sequential auctions, simultaneous auctions, and the Trading Agent…
We study the efficient off-policy evaluation of natural stochastic policies, which are defined in terms of deviations from the behavior policy. This is a departure from the literature on off-policy evaluation where most work consider the…
First-price auctions have very recently swept the online advertising industry, replacing second-price auctions as the predominant auction mechanism on many platforms. This shift has brought forth important challenges for a bidder: how…
This paper investigates the problem of online prediction learning, where learning proceeds continuously as the agent interacts with an environment. The predictions made by the agent are contingent on a particular way of behaving,…
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…
Auction data often contain information on only the most competitive bids as opposed to all bids. The usual measurement error approaches to unobserved heterogeneity are inapplicable due to dependence among order statistics. We bridge this…
In light of the growing market of Ad Exchanges for the real-time sale of advertising slots, publishers face new challenges in choosing between the allocation of contract-based reservation ads and spot market ads. In this setting, the…
Off-policy evaluation (OPE) is a fundamental task in reinforcement learning (RL). In the classic setting of linear OPE, finite-sample guarantees often take the form $$ \textrm{Evaluation error} \le \textrm{poly}(C^\pi, d,…
This research focuses on the bid optimization problem in the real-time bidding setting for online display advertisements, where an advertiser, or the advertiser's agent, has access to the features of the website visitor and the type of ad…
Autonomous exploration has many important applications. However, classic information gain-based or frontier-based exploration only relies on the robot current state to determine the immediate exploration goal, which lacks the capability of…