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Author: Santiago Balseiro
Publisher:
ISBN:
Category :
Languages : en
Pages : 89
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Book Description
We study the dynamic mechanism design problem of a seller that repeatedly auctions independent items over a discrete time horizon to buyers that face a cumulative budget constraint. A driving motivation behind our model is the emergence of real-time bidding markets for online display advertising in which such budgets are prevalent. We assume the seller has a strong form of limited commitment: she commits to the rules of the current auction but cannot commit to those of future auctions. We show that the celebrated Myersonian approach that leverages the envelope theorem fails in this setting, and therefore, characterizing the dynamic optimal mechanism appears intractable. Despite these challenges, we derive and characterize a near-optimal dynamic mechanism. To do so, we show that the Myersonian approach is recovered in a corresponding fluid continuous time model in which the time interval between consecutive items becomes negligible. Then, we leverage this approach to characterize the optimal dynamic direct-revelation mechanism, highlighting novel incentives at play in settings with buyers' budget constraints and seller's limited commitment. We show through a combination of theoretical and numerical results that the optimal mechanism arising from the fluid continuous time model approximately satisfies incentive compatibility for the buyers and is approximately sequentially rational for the seller in the original discrete time model.
Author: Santiago Balseiro
Publisher:
ISBN:
Category :
Languages : en
Pages : 89
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Book Description
We study the dynamic mechanism design problem of a seller that repeatedly auctions independent items over a discrete time horizon to buyers that face a cumulative budget constraint. A driving motivation behind our model is the emergence of real-time bidding markets for online display advertising in which such budgets are prevalent. We assume the seller has a strong form of limited commitment: she commits to the rules of the current auction but cannot commit to those of future auctions. We show that the celebrated Myersonian approach that leverages the envelope theorem fails in this setting, and therefore, characterizing the dynamic optimal mechanism appears intractable. Despite these challenges, we derive and characterize a near-optimal dynamic mechanism. To do so, we show that the Myersonian approach is recovered in a corresponding fluid continuous time model in which the time interval between consecutive items becomes negligible. Then, we leverage this approach to characterize the optimal dynamic direct-revelation mechanism, highlighting novel incentives at play in settings with buyers' budget constraints and seller's limited commitment. We show through a combination of theoretical and numerical results that the optimal mechanism arising from the fluid continuous time model approximately satisfies incentive compatibility for the buyers and is approximately sequentially rational for the seller in the original discrete time model.
Author: Laura Doval
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
We develop a tool akin to the revelation principle for mechanism design with limited commitment. We identify a canonical class of mechanisms rich enough to replicate the outcomes of any equilibrium in a mechanism-selection game between an uninformed designer and a privately informed agent. A cornerstone of our methodology is the idea that a mechanism should encode not only the rules that determine the allocation, but also the information the designer obtains from the interaction with the agent. Therefore, how much the designer learns, which is the key tension in design with limited commitment, becomes an explicit part of the design. We show how this insight can be used to transform the designer's problem into a constrained optimization problem: To the usual truthtelling and participation constraints, one must add the designer's sequential rationality constraint.
Author: Vahab Mirrokni
Publisher:
ISBN:
Category :
Languages : en
Pages : 14
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Book Description
Dynamic mechanisms are a powerful technique in designing revenue-maximizing repeated auctions. Despite their strength, these types of mechanisms have not been widely adopted in practice for several reasons, e.g., for their complexity, and for their sensitivity to the accuracy of predicting buyers' value distributions. In this paper, we aim to address these shortcomings and develop simple dynamic mechanisms that can be implemented efficiently, and provide theoretical guidelines for decreasing the sensitivity of dynamic mechanisms on prediction accuracy of buyers' value distributions. We prove that the dynamic mechanism we propose is provably dynamic incentive compatible, and introduce a notion of buyers' regret in dynamic mechanisms, and show that our mechanism achieves bounded regret while improving revenue and social welfare compared to a static reserve pricing policy. Finally, we confirm our theoretical analysis via an extensive empirical study of our dynamic auction on real data sets from online adverting. For example, we show our dynamic mechanisms can provide a 17% revenue lift with relative regret less than 0.2%.
Author: Dirk Bergemann
Publisher:
ISBN:
Category : Auctions
Languages : en
Pages : 49
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Book Description
We provide an introduction into the recent developments of dynamic mechanism design with a primary focus on the quasilinear case. First, we describe socially optimal (or efficient) dynamic mechanisms. These mechanisms extend the well known Vickrey-Clark-Groves and D'Aspremont-Gérard-Varet mechanisms to a dynamic environment. Second, we discuss results on revenue optimal mechanism. We cover models of sequential screening and revenue maximizing auctions with dynamically changing bidder types. We also discuss models of information management where the mechanism designer can control (at least partially) the stochastic process governing the agent's types. Third, we consider models with changing populations of agents over time. This allows us to address new issues relating to the properties of payment rules. After discussing related models with risk-averse agents, limited liability, and different performance criteria for the mechanisms, we conclude by discussing a number of open questions and challenges that remain for the theory of dynamic mechanism design.
Author: Anqi Li
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This dissertation advocates dynamic mechanism design as a useful tool to tackle theoretical challenges in microeconomics and to solve real world institutional design problems. It is composed of two chapters. In the first chapter, I study durable goods sales with a dynamic population of buyers. My contribution is to devise a Multi-round Simultaneous Ascending Auction with Generalized Reserve Price (MSAAGR) to implement the efficient allocation, and to contrast MSAAGR with the standard uniform price auction to highlight the implication of population dynamics on the design of trading platforms. In the second chapter, I estalibsh the possibility of sustaining long-term cooperation in infinitely repeated private monitoring games with scarce signals. My contribution is to construct a novel Budget Mechanism with Cross-Checking (BMCC) which, by linking players' action choices over time, virtually implements the efficient outcome with a vanishing incentive cost as the horizon of the game grows and the players become increasingly patient.
Author: Young Wu
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This thesis consists of three chapters. In chapter 1, titled "Design of Committee Search," I apply a mechanism design approach to committee search problems, such as hiring by a department or a couple's search for a house. A special class of simple dynamic decisions rules have agents submit in each period one of three votes: veto, approve, or recommend; the current option is adopted whenever no agent vetoes and at least one agent recommends. I show that every implementable payoff can be attained by randomizing among these simple rules. This result dramatically simplifies the design problem. In chapter 2, titled "School Choice with Observable Characteristics," I study a school choice problem where students have observable characteristics that are correlated with their preferences. For example, one such characteristic may be the location of a student's home, which is correlated with preferences if students tend to prefer nearby schools. I consider mechanisms that are envy-free, efficient, and treat students with the same observable characteristics equally. I show that the welfare-maximizing mechanism in this class is a modified probabilistic serial mechanism with capacities. These capacities specify the maximum number of students with given characteristics that can be admitted into each school. In chapter 3, titled "Mechanism Design for Stopping Problems with Two Actions," I analyse a class of dynamic mechanism design problems in which a single agent privately observes a time-varying state, chooses a stopping time, and upon stopping, chooses between two actions. The principal designs transfers that depend only on the time the agent stops and on the alternative the agent chooses. The analysis provides necessary and sufficient conditions for implementability in this environment. In particular, I show that any stopping rule in which the agent stops the first time the state falls outside of an interval in the state space can be implemented if and only if a pair of monotonicity conditions is satisfied.
Author: Weixin Chen (Researcher in microeconomic theory)
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This thesis consists of three papers in mechanism design. Chapter 1 is based on a paper of mine entitled "Quality Disclosure and Price Discrimination". Chapter 2 is based on "Penalty, Voting, and Collusion: a Common Agency Approach to Industrial Regulation and Political Power". Chapter 3 is based on "Partitional Information Revelation under Renegotiation". A key framework in mechanism design is screening: a principal who designs the contract induces agents with private information to select certain action(s) or bundle(s). Classical results are second-best distortion and Myerson ironing, which are derived when the agency involves a single task (or tasks independent across agents), an agent's information is privately known by himself, and there is full commitment. Chapter 1 considers incentivizing tasks that are related through a resource constraint. It studies the second-degree price discrimination when the supply quality follows some exogenous distribution, or more specifically, the design of information and pricing in a monopolistic market with product quality dispersion. The main message is that optimality requires a partial disclosure, and finer results on the allocation distortion depend on the heterogeneity of the buyers' preference. When such preference over assignment, i.e., quality distribution, has a uni-dimensional sufficient statistics in the quality space, the optimal distortion resembles Myerson's ironing and the optimal disclosure takes a partitional form. For more general preference, the optimal distortion departs from Myerson's result. Chapter 2 considers eliciting signals informative of the agent's private information from multiple sources. An interesting case is by considering a voting committee as the principal, where voting aggregates welfare-relevant information but faces corruptive incentives. The key insights are that the optimal rule is a binary verdict, resembling the principle of maximum deterrence, and the corruptive incentives typically push the optimal voting rule towards unanimity. Chapter 3 considers commitment with renegotiation: the counterparties can stick to the previously signed long-term contract or revise it with mutual consent. More specifically, it studies a long-term relationship between a seller and a buyer whose valuation (for a per-period service or a rental good) is private. In such a dynamic game, a new dimension of mechanism design, namely intertemporal type separation, arises as its induced belief-updating affects the rent extraction--efficiency tradeoff. The main message is that all PBE share the following property in the progressive screening process: at each history, the seller partitions the posterior support into countable intervals and offers a pooling contract to each of these intervals.
Author: Dirk Bergemann
Publisher: World Scientific
ISBN: 981437458X
Category : Business & Economics
Languages : en
Pages : 471
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Book Description
Foreword by Eric Maskin (Nobel Laureate in Economics, 2007)This volume brings together the collected contributions on the theme of robust mechanism design and robust implementation that Dirk Bergemann and Stephen Morris have been working on for the past decade. The collection is preceded by a comprehensive introductory essay, specifically written for this volume with the aim of providing the readers with an overview of the research agenda pursued in the collected papers.The introduction selectively presents the main results of the papers, and attempts to illustrate many of them in terms of a common and canonical example, namely a single unit auction with interdependent values. It is our hope that the use of this example facilitates the presentation of the results and that it brings the main insights within the context of an important economic mechanism, namely the generalized second price auction.
Author: Jean-Jacques Laffont
Publisher: MIT Press
ISBN: 9780262121743
Category : Business & Economics
Languages : en
Pages : 746
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Book Description
Based on their work in the application of principal-agent theory to questions of regulation, Laffont and Tirole develop a synthetic approach to this field, focusing on the regulation of natural monopolies such as military contractors, utility companies and transportation authorities.
Author: Haşim Altan
Publisher: Springer Nature
ISBN: 3031112326
Category : Art
Languages : en
Pages : 272
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Book Description
This book summarizes the latest studies regarding innovation in urban design and planning. It shares many tips and insights about sustainable solutions for the issues facing transport systems, innovative digital technologies, and ICT trends. The book touches upon the need to integrate the three fields of Architecture, Engineering, and Technology that have become indispensable. This is intended to respond to the increasing human needs and population growth in cities on one hand and to develop a holistic approach that helps overcome challenges to sustainability and environment management on the other hand. With the power of engineering in practice, problems of design and development once considered too complex to be dealt with other than empirically, intuitively, or by trial and error, are now becoming more solvable and applicable. This book offers strategies and solutions that enable designers to bring together knowledge in the fields of architecture, engineering, and technology to overcome challenges facing in modern times.
