Revenue maximization with a single sample

Peerapong Dhangwatnotai, Tim Roughgarden, Qiqi Yan
2010 Proceedings of the 11th ACM conference on Electronic commerce - EC '10  
This paper pursues auctions that are prior-independent. The goal is to design an auction such that, whatever the underlying valuation distribution, its expected revenue is almost as large as that of an optimal auction tailored for that distribution. We propose the prior-independent Single Sample mechanism, which is essentially the Vickrey-Clarke-Groves (VCG) mechanism, supplemented with reserve prices chosen at random from participants' bids. We prove that under reasonably general assumptions,
more » ... his mechanism simultaneously approximates all Bayesian-optimal mechanisms for all valuation distributions. Conceptually, our analysis shows that even a single sample from a distribution -some bidder's valuation -is sufficient information to obtain near-optimal expected revenue.
doi:10.1145/1807342.1807364 dblp:conf/sigecom/DhangwatnotaiRY10 fatcat:yhz5butsprdavb47bj7t2kjymy