Friday, 10:30 - 10:55 h, Room: MA 004


Chaithanya Bandi
Optimal design for multi-item auctions: A robust optimization approach

Coauthor: Dimitris Bertsimas


We revisit the auction design problem for multi-item auctions with budget constrained buyers by introducing a robust optimization approach to model (a) concepts
such as incentive compatibility and individual rationality that are naturally expressed in the
language of robust optimization and (b) the auctioneer's beliefs on the buyers' valuations of
the items. Rather than using probability distributions (the classical probabilistic approach)
or an adversarial model to model valuations, we introduce an uncertainty set based model for
these valuations. We construct these uncertainty sets to incorporate historical information
available to the auctioneer in a way that is consistent with limit theorems of probability theory
or knowledge of the probability distribution. In this setting, we formulate the auction design
problem as a robust optimization problem and provide a characterization of the optimal
solution as an auction with reservation prices, thus extending the work of Myerson (1981)
from single item without budget constraints, to multiple items with budgets, potentially
correlated valuations and uncertain budgets.


Talk 1 of the invited session Fri.1.MA 004
"A robust optimization approach to stochastic analysis" [...]
Cluster 20
"Robust optimization" [...]


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