Workshop’s Topic: Consider a seller seeking a selling mechanism to maximize the worst-case revenue obtained from a buyer whose valuation distribution lies in a certain ambiguity set. For a generic convex ambiguity set, we show via the minimax theorem that strong duality holds between the problem of finding the optimal robust mechanism and a minimax pricing problem where the adversary first chooses a worst-case distribution and then the seller decides the best posted price mechanism. This implies that the extra value of optimizing over more sophisticated mechanisms exactly amounts to the value of eliminating distributional ambiguity under a posted price mechanism. We further provide a geometric approach to analytically solving the minimax pricing problem. The solutions are then used to construct the optimal robust mechanism.

Time and Location: 14:00-15:30 PM (GMT+8), Room A423 (School of Management)

Language: Bilingual (Chinese and English)