Robust auction design under multiple priors by linear and integer programming

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buir.contributor.authorBayrak, Halil İbrahim
buir.contributor.authorPınar, Mustafa Çelebi
dc.citation.epage253en_US
dc.citation.issueNumber1-2en_US
dc.citation.spage233en_US
dc.citation.volumeNumber260en_US
dc.contributor.authorKoçyiğit, Ç.en_US
dc.contributor.authorBayrak, Halil İbrahimen_US
dc.contributor.authorPınar, Mustafa Çelebien_US
dc.date.accessioned2019-02-21T16:08:16Z
dc.date.available2019-02-21T16:08:16Z
dc.date.issued2018en_US
dc.departmentDepartment of Industrial Engineeringen_US
dc.description.abstractIt 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.
dc.description.provenanceMade available in DSpace on 2019-02-21T16:08:16Z (GMT). No. of bitstreams: 1 Bilkent-research-paper.pdf: 222869 bytes, checksum: 842af2b9bd649e7f548593affdbafbb3 (MD5) Previous issue date: 2018en
dc.identifier.doi10.1007/s10479-017-2416-4
dc.identifier.issn0254-5330
dc.identifier.urihttp://hdl.handle.net/11693/50406
dc.language.isoEnglish
dc.publisherSpringer New York LLC
dc.relation.isversionofhttps://doi.org/10.1007/s10479-017-2416-4
dc.source.titleAnnals of Operations Researchen_US
dc.subjectAmbiguityen_US
dc.subjectLinear programmingen_US
dc.subjectMixed-integer programmingen_US
dc.subjectMultiple priorsen_US
dc.subjectOptimal auction designen_US
dc.subjectRobustnessen_US
dc.titleRobust auction design under multiple priors by linear and integer programmingen_US
dc.typeArticleen_US

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