Browsing by Subject "Multiple priors"

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    Robust auction design under multiple priors by linear and integer programming
    (Springer New York LLC, 2018) Koçyiğit, Ç.; Bayrak, Halil İbrahim; Pınar, Mustafa Çelebi
    It is commonly assumed in the optimal auction design literature that valuations of buyers are independently drawn from a unique distribution. In this paper we study auctions under ambiguity, that is, in an environment where valuation distribution is uncertain itself, and present a linear programming approach to robust auction design problem with a discrete type space. We develop an algorithm that gives the optimal solution to the problem under certain assumptions when the seller is ambiguity averse with a finite prior set P and the buyers are ambiguity neutral with a prior f∈ P. We also consider the case where all parties, the buyers and the seller, are ambiguity averse, and formulate this problem as a mixed integer programming problem. Then, we propose a hybrid algorithm that enables to compute an optimal solution for the problem in reduced time.