Robust revenue maximization under minimal statistical information

Giannakopoulos, Y. , Poças, D. and Tsigonias-Dimitriadis, A. (2023) Robust revenue maximization under minimal statistical information. ACM Transactions on Economics and Computation, 10(3), 11. (doi: 10.1145/3546606)

Abstract

We study the problem of multi-dimensional revenue maximization when selling m items to a buyer that has additive valuations for them, drawn from a (possibly correlated) prior distribution. Unlike traditional Bayesian auction design, we assume that the seller has a very restricted knowledge of this prior: they only know the mean μj and an upper bound σj on the standard deviation of each item’s marginal distribution. Our goal is to design mechanisms that achieve good revenue against an ideal optimal auction that has full knowledge of the distribution in advance. Informally, our main contribution is a tight quantification of the interplay between the dispersity of the priors and the aforementioned robust approximation ratio. Furthermore, this can be achieved by very simple selling mechanisms. More precisely, we show that selling the items via separate price lotteries achieves an O(log r) approximation ratio where r = maxj(σj/μj) is the maximum coefficient of variation across the items. To prove the result, we leverage a price lottery for the single-item case. If forced to restrict ourselves to deterministic mechanisms, this guarantee degrades to O(r2). Assuming independence of the item valuations, these ratios can be further improved by pricing the full bundle. For the case of identical means and variances, in particular, we get a guarantee of O(log (r/m)) that converges to optimality as the number of items grows large. We demonstrate the optimality of the preceding mechanisms by providing matching lower bounds. Our tight analysis for the single-item deterministic case resolves an open gap from the work of Azar and Micali (ITCS’13). As a by-product, we also show how one can directly use our upper bounds to improve and extend previous results related to the parametric auctions of Azar et al. (SODA’13).

• Item Type: Articles
• Status: Published
• Refereed: Yes
• Glasgow Author(s) Enlighten ID: Giannakopoulos, Dr Yiannis
• Authors: Giannakopoulos, Y., Poças, D., and Tsigonias-Dimitriadis, A.
• College/School: College of Science and Engineering > School of Computing Science
• Journal Name: ACM Transactions on Economics and Computation
• Publisher: ACM
• ISSN: 2167-8375
• ISSN (Online): 2167-8383
• Published Online: 02 September 2022