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We consider some classical optimization problems in path planning and network transport, and we introduce new auction-based algorithms for their optimal and suboptimal solution. The algorithms are based on mathematical ideas that are…
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…
Employing probabilistic techniques we compute best possible upper and lower bounds on the price of an option on one or two assets with continuous piecewise linear payoff function based on prices of simple call options of possibly distinct…
In this paper, we propose a stochastic search algorithm for solving general optimization problems with little structure. The algorithm iteratively finds high quality solutions by randomly sampling candidate solutions from a parameterized…
In this work we focus on efficient heuristics for solving a class of stochastic planning problems that arise in a variety of business, investment, and industrial applications. The problem is best described in terms of future buy and sell…
The assortment problem in revenue management is the problem of deciding which subset of products to offer to consumers in order to maximise revenue. A simple and natural strategy is to select the best assortment out of all those that are…
This paper addresses a novel data science problem, prescriptive price optimization, which derives the optimal price strategy to maximize future profit/revenue on the basis of massive predictive formulas produced by machine learning. The…
We study optimization algorithms for the finite sum problems frequently arising in machine learning applications. First, we propose novel variants of stochastic gradient descent with a variance reduction property that enables linear…
Which ads should we display in sponsored search in order to maximize our revenue? How should we dynamically rank information sources to maximize the value of the ranking? These applications exhibit strong diminishing returns: Redundancy…
Randomized mechanisms, which map a set of bids to a probability distribution over outcomes rather than a single outcome, are an important but ill-understood area of computational mechanism design. We investigate the role of randomized…
Real-time bidding (RTB) systems, which utilize auctions to allocate user impressions to competing advertisers, continue to enjoy success in digital advertising. Assessing the effectiveness of such advertising remains a challenge in research…
In this paper, we discuss a stochastic decision problem of optimally selecting the order in which to try $n$ opportunities that may yield an uncertain reward in the future. The motivation came out from pure curiosity, after an informal…
It has been found that stochastic algorithms often find good solutions much more rapidly than inherently-batch approaches. Indeed, a very useful rule of thumb is that often, when solving a machine learning problem, an iterative technique…
Online advertising has recently grown into a highly competitive and complex multi-billion-dollar industry, with advertisers bidding for ad slots at large scales and high frequencies. This has resulted in a growing need for efficient…
The problem of computing near-optimal contracts in combinatorial settings has recently attracted significant interest in the computer science community. Previous work has provided a rich body of structural and algorithmic insights into this…
In many first-price auctions, bidders face considerable strategic uncertainty: They cannot perfectly anticipate the other bidders' bidding behavior. We propose a model in which bidders do not know the entire distribution of opponent bids…
Selling a single item to $n$ self-interested buyers is a fundamental problem in economics, where the two objectives typically considered are welfare maximization and revenue maximization. Since the optimal mechanisms are often impractical…
Second-price auctions with reserve play a critical role for modern search engine and popular online sites since the revenue of these companies often directly de- pends on the outcome of such auctions. The choice of the reserve price is the…
This note is a complementary material for the solution of optimal real-time bidding function in paper "Optimal Real-Time Bidding for Display Advertising, KDD 2014", where the estimated cost is taken as the bid price, i.e., the upper bound…
In this work, we study a scenario where a publisher seeks to maximize its total revenue across two sales channels: guaranteed contracts that promise to deliver a certain number of impressions to the advertisers, and spot demands through an…