# Renato Paes Leme

Renato Paes Leme is a research scientist at Google New York. He is broadly interested in algorithm design, specially for problems on the interface between Economics and Computation. Some topics he is particularly excited about are: mechanism design for non-quasi-linear settings, Price of Anarchy of auctions, sequential games and applications of game-theory to ad auctions. See http://renatoppl.com/ for my personal homepage.

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Calibrated Click-Through Auctions

Dirk Bergemann

Paul Duetting

Proceedings of the ACM Web Conference 2022, pp. 47-57

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We analyze the optimal information design in a click-through auction with stochastic click-through rates and known valuations per click. The auctioneer takes as given the auction rule of the click-through auction, namely the generalized second-price auction. Yet, the auctioneer can design the information flow regarding the click-through rates among the bidders. We require that the information structure to be calibrated in the learning sense. With this constraint, the auction needs to rank the ads by a product of the value and a calibrated prediction of the click-through rates. The task of designing an optimal information structure is thus reduced to the task of designing an optimal calibrated prediction.
We show that in a symmetric setting with uncertainty about the click-through rates, the optimal information structure attains both social efficiency and surplus extraction. The optimal information structure requires private (rather than public) signals to the bidders. It also requires correlated (rather than independent) signals, even when the underlying uncertainty regarding the click-through rates is independent. Beyond symmetric settings, we show that the optimal information structure requires partial information disclosure, and achieves only partial surplus extraction.
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Contextual Recommendations and Low-Regret Cutting-Plane Algorithms

Guru Prashanth Guruganesh

NeurIPS (2021)

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We consider the following variant of contextual linear bandits motivated by routing applications in navigational engines and recommendation systems. We wish to learn a hidden $d$-dimensional value $w^*$. Every round, we are presented with a subset $\mathcal{X}_t \subseteq \mathbb{R}^d$ of possible actions. If we choose (i.e. recommend to the user) action $x_t$, we obtain utility $\langle x_t, w^* \rangle$ but only learn the identity of the best action $\arg\max_{x \in \X_t} \langle x, w^* \rangle$.
We design algorithms for this problem which achieve regret $O(d\log T)$ and $\exp(O(d \log d))$. To accomplish this, we design novel cutting-plane algorithms with low “regret” -- the total distance between the true point $w^*$ and the hyperplanes the separation oracle returns.
We also consider the variant where we are allowed to provide a list of several recommendations. In this variant, we give an algorithm with $O(d^2 \log d)$ regret and list size $\poly(d)$. Finally, we construct nearly tight algorithms for a weaker variant of this problem where the learner only learns the identity of an action that is better than the recommendation. Our results rely on new algorithmic techniques in convex geometry (including a variant of Steiner’s formula for the centroid of a convex set) which may be of independent interest.
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Secretaries with Advice

Paul Duetting

Proceedings of the 22nd ACM Conference on Economics and Computation (EC'21) (2021), pp. 409-429

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The secretary problem is probably the purest model of decision making under uncertainty. In this
paper we ask which advice can we give the algorithm to improve its success probability?
We propose a general model that unifies a broad range of problems: from the classic secretary problem
with no advice, to the variant where the quality of a secretary is drawn from a known distribution and
the algorithm learns each candidate’s quality quantile on arrival, to more modern ML-based versions of
advice where a binary classifier gives us noisy advice about whether or not the current secretary is the
best on the market.
Our main technique is a factor revealing LP that captures all of the problems above. We use this LP
formulation to gain structural insight into the optimal policy and present two case studies: a re-derivation
of the classic known distributions result with tools from linear programming and a tight analysis of the
noisy binary advice model.
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Non-Excludable Dynamic Mechanism Design

Proceedings of the 2021 ACM-SIAM Symposium on Discrete Algorithms (SODA), SIAM, pp. 1357-1373

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Dynamic mechanism design expands the scope on what type of allocation rules can be implemented and what revenue can be extracted when compared to static mechanisms. The case of excludable environments (i.e. one player can be de-allocated while keeping the allocation of the remaining players intact) is very well understood. The mechanisms in the literature don’t extend to the non-excludable environments. Two prototypical examples of such environments are: (i) public projects, where all players must have the same allocation; and (ii) non-disposable goods, where each item must be allocated to some player. We show a general mechanism that can asymptotically extract the full surplus in such environments. Moreover, we fully characterize which abstract mechanism design environments allow for full surplus extraction in the limit. Our characterization is based on the geometry of achievable utility sets – a convex set characterizing the expected utility profiles that can be implemented in a static mechanism.
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Improved Approximations for Posted Price and Second-price Mechanisms

Hedyeh Beyhaghi

Negin Golrezaei

Operations Research (2020)

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We study the fundamental problem of selling a single indivisible good to one ofnbuyers with independentvaluations. We seek to design improved approximations to the optimal revenue achievable through two simpleand widely used mechanisms: second price auction with eager personalized reserve prices, and sequentialposted price mechanisms. Until recently, the best known approximation for both these mechanisms was 1−1e.We give improved approximations of 1−1e+0.022∼0.6543 for the sequential posted price mechanism and1−1e+0.029∼0.662 for the second price auction with eager reserve prices. We also make some progresstowards the problem of computing the optimal personalized eager reserve prices for a second price auction.
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Non-Clairvoyant Dynamic Mechanism Design

Pingzhong Tang

Econometrica, vol. 88(5) (2020), pp. 1939-1963

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We introduce a new family of dynamic mechanisms that restricts sellers from using future distributional knowledge. Since the allocation and pricing of each auction period do not depend on the type distributions of future periods, we call this family of dynamic mechanisms non‐clairvoyant.
We develop a framework (bank account mechanisms) for characterizing, designing, and proving lower bounds for dynamic mechanisms (clairvoyant or non‐clairvoyant). We use the same methods to compare the revenue extraction power of clairvoyant and non‐clairvoyant dynamic mechanisms.
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Optimal Dynamic Auctions are Virtual Welfare Maximizers

Pingzhong Tang

Proceedings of the AAAI Conference on Artificial Intelligence (2019), pp. 2125-2132

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We are interested in the setting where a seller sells sequentially
arriving items, one per period, via a dynamic auction.
At the beginning of each period, each buyer draws a private
valuation for the item to be sold in that period and this valuation
is independent across buyers and periods. The auction
can be dynamic in the sense that the auction at period
t can be conditional on the bids in that period and all previous
periods, subject to certain appropriately defined incentive
compatible and individually rational conditions. Perhaps
not surprisingly, the revenue optimal dynamic auctions are
computationally hard to find and existing literatures that aim
to approximate the optimal auctions are all based on solving
complex dynamic programs. It remains largely open on the
structural interpretability of the optimal dynamic auctions.
In this paper, we show that any optimal dynamic auction is
a virtual welfare maximizer subject to some monotone allocation
constraints. In particular, the explicit definition of
the virtual value function above arises naturally from the
primal-dual analysis by relaxing the monotone constraints.
We further develop an ironing technique that gets rid of the
monotone allocation constraints. Quite different from Myerson’s
ironing approach, our technique is more technically involved
due to the interdependence of the virtual value functions
across buyers. We nevertheless show that ironing can be
done approximately and efficiently, which in turn leads to a
Fully Polynomial Time Approximation Scheme of the optimal
dynamic auction.
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Dynamic Double Auctions: Towards First Best

Proceedings of the Thirtieth Annual ACM-SIAM Symposium on Discrete Algorithms, SODA 2019, San Diego, California, USA, January 6-9, 2019, pp. 157-172

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We study the problem of designing dynamic double auctions for two-sided markets in which a platform intermediates the trade between one seller offering independent items to multiple buyers, repeatedly over a finite horizon, when agents have private values. Motivated by online advertising and ride-hailing markets, we seek to design mechanisms satisfying the following properties: no positive transfers, i.e., the platform never asks the seller to make payments nor buyers are ever paid and periodic individual rationality, i.e., every agent should derive a non-negative utility from every trade opportunity. We provide mechanisms satisfying these requirements that are asymptotically efficient and budget-balanced with high probability as the number of trading opportunities grows. Moreover, we show that the average expected profit obtained by the platform under these mechanisms asymptotically approaches first-best (the maximum possible welfare generated by the market).
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Stochastic bandits robust to adversarial corruptions

Thodoris Lykouris

Proceedings of the 50th Annual ACM SIGACT Symposium on Theory of Computing, STOC 2018, Los Angeles, CA, USA, June 25-29, 2018, ?114-122

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We introduce a new model of stochastic bandits with adversarial corruptions which aims to capture settings where most of the input follows a stochastic pattern but some fraction of it can be adversarially changed to trick the algorithm, e.g., click fraud, fake reviews and email spam. The goal of this model is to encourage the design of bandit algorithms that (i) work well in mixed adversarial and stochastic models, and (ii) whose performance deteriorates gracefully as we move from fully stochastic to fully adversarial models.
We consider a setting with $K$ arms with underlying stochastic distributions such that $\Delta(a)$ is the difference between the mean of arm $a$ and the optimal arm $a^*$. The total corruption $C$ corresponds to the total perturbation that an adversary can add to the stochastic input. Our main result is an algorithm with regret bounded by {$\bigO\prn*{\sum_{a{\neq a^*}}\frac{K\cdot C\log\prn*{\nicefrac{KT}{\delta}}+\log\prn*{T}}{\Delta(a)}\cdot\log\prn*{\nicefrac{KT}{\delta}}}$ with $1-\delta$ probability and pseudoregret $\bigO\prn*{\sum_{a{\neq a^*}}\frac{K\cdot C+\log\prn*{T}}{\Delta(a)}\cdot\log\prn*{KT}}$.}
Notably, our algorithm is agnostic to the total corruption and the bound holds with respect to the total corruption that was added in retrospect. We also provide a lower bound showing that the linear dependency on the corruption level is necessary.
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Non-Clairvoyant Dynamic Mechanism Design

Pingzhong Tang

Proceedings of the 2018 ACM Conference on Economics and Computation, Ithaca, NY, USA, June 18-22, 2018, ACM, pp. 169

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Despite their better revenue and welfare guarantees for repeated auctions, dynamic mechanisms have not been widely adopted in practice. This is partly due to the complexity of their implementation as well as their unrealistic use of forecasting for future periods. We address these shortcomings and present a new family of dynamic mechanisms that are simple and require no distributional knowledge of future periods.
This paper introduces the concept of non-clairvoyance in dynamic mechanism design, which is a measure-theoretic restriction on the information that the seller is allowed to use. A dynamic mechanism is non-clairvoyant if the allocation and pricing rule at each period does not depend on the type distributions in the future periods.
We develop a framework (bank account mechanisms) for characterizing, designing, and proving lower bounds for dynamic mechanisms (clairvoyant or non-clairvoyant). This framework is used to characterize the revenue extraction power of the non-clairvoyant mechanisms with respect to the mechanisms that are allowed unrestricted use of distributional knowledge.
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Dynamic Mechanism Design in the Field

Rita Ren

Proceedings of the 2018 World Wide Web Conference on World Wide Web, WWW 2018, Lyon, France, April 23-27, 2018, {ACM}, pp. 1359-1368

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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%.
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Contextual Search via Intrinsic Volumes

59th IEEE Annual Symposium on Foundations of Computer Science, FOCS 2018, Paris, France, October 7-9, 2018, pp. 268-282

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We study the problem of contextual search, a multidimensional generalization of bi- nary search that captures many problems in contextual decision-making. In contextual search, a learner is trying to learn the value of a hidden vector v ∈ [0, 1]d. Every round the learner is provided an adversarially-chosen context ut ∈ Rd, submits a guess pt for the value of ⟨ut, v⟩, learns whether pt < ⟨ut, v⟩, and incurs loss ⟨ut, v⟩. The learner’s goal is to minimize their total loss over the course of T rounds.
We present an algorithm for the contextual search problem for the symmetric loss function l(θ,p) = |θ−p| that achieves Od(1) total loss. We present a new algorithm for the dynamic pricing problem (which can be realized as a special case of the contextual search problem) that achieves Od(log log T ) total loss, improving on the previous best known upper bounds of Od(logT) and matching the known lower bounds (up to a polynomial dependence on d). Both algorithms make significant use of ideas from the field of integral geometry, most notably the notion of intrinsic volumes of a convex set. To the best of our knowledge this is the first application of intrinsic volumes to algorithm design.
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Contextual Pricing for Lipschitz Buyers

Jieming Mao

Advances in Neural Information Processing Systems 31: Annual Conference on Neural Information Processing Systems 2018, NeurIPS 2018, 3-8 December 2018, Montr\'eal, Canada., pp. 5648-5656

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We investigate the problem of learning a Lipschitz function from binary feedback.
In this problem, a learner is trying to learn a Lipschitz function f : [0, 1] d → [0, 1]
over the course of T rounds. On round t, an adversary provides the learner with an
input x t , the learner submits a guess y t for f (x t ), and learns whether
P y t > f (x t )
or y t ≤ f (x t ). The learner’s goal is to minimize their total loss t `(f (x t ), y t )
(for some loss function `). The problem is motivated by contextual dynamic pric-
ing, where a firm must sell a stream of differentiated products to a collection of
buyers with non-linear valuations for the items and observes only whether the item
was sold or not at the posted price.
For the symmetric loss `(f (x t ), y t ) = |f (x t ) − y t |, we provide an algorithm for
(d−1)/d
this problem achieving total loss O(log T ) when d = 1 and O(T
) when
√
d > 1, and show that both bounds are tight (up to a factor of log T ). For the
pricing loss function `(f (x t ), y t ) = f (x t ) − y t 1{y t ≤ f (x t )} we show a regret
bound of O(T d/(d+1) ) and show that this bound is tight. We present improved
bounds in the special case of a population of linear buyers
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On the Construction of Substitutes

Eric Balkanski

Proceedings of the 2018 ACM Conference on Economics and Computation, Ithaca, NY, USA, June 18-22, 2018, pp. 643

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Gross substitutability is a central concept in Economics and is connected to important notions in
Discrete Convex Analysis, Number Theory and the analysis of Greedy algorithms in Computer
Science. Many different characterizations are known for this class, but providing a constructive
description remains a major open problem. The construction problem asks how to construct
all gross substitutes from a class of simpler functions using a set of operations. Since gross
substitutes are a natural generalization of matroids to real-valued functions, matroid rank
functions form a desirable such class of simpler functions.
Shioura proved that a rich class of gross substitutes can be expressed as sums of matroid
rank functions, but it is open whether all gross substitutes can be constructed this way. Our
main result is a negative answer showing that some gross substitutes cannot be expressed
as positive linear combinations of matroid rank functions. En route, we provide necessary
and sufficient conditions for the sum to preserve substitutability, uncover a new operation
preserving substitutability and fully describe all substitutes with at most 4 items.
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Dynamic Revenue Sharing

Advances in Neural Information Processing Systems 30: Annual Conference on Neural Information Processing Systems 2017, 4-9 December 2017, Long Beach, CA, USA

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Many online platforms act as intermediaries between a seller and a set of buyers. Examples of such settings include online retailers (such as Ebay) selling items on behalf of sellers to buyers, or advertising exchanges (such as AdX) selling pageviews on behalf of publishers to advertisers. In such settings, revenue sharing is a central part of running such a marketplace for the intermediary, and fixed-percentage revenue sharing schemes are often used to split the revenue among the platform and the sellers. In particular, such revenue sharing schemes require the platform to (i) take at most a constant fraction α of the revenue from auctions and (ii) pay the seller at least the seller declared opportunity cost c for each item sold. A straightforward way to satisfy the constraints is to set a reserve price at c/(1 − α ) for each item, but it is not the optimal solution on maximizing the profit of the intermediary.
While previous studies (by Mirrokni and Gomes, and by Niazadeh et al) focused on revenue-sharing schemes in static double auctions, in this paper, we take advantage of the repeated nature of the auctions, and present solutions based on dynamic mechanism design. In particular, we introduce dynamic revenue sharing schemes where we balance the two constraints over different auctions to achieve higher profit. This is directly motivated by the practice of advertising exchanges where the fixed-percentage revenue-share should be met across all auctions and not in each auction. In this paper, we characterize the optimal revenue sharing scheme that satisfies both constraints in expectation. Finally, we empirically evaluate our revenue sharing scheme on real
data.
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Feature-based Dynamic Pricing

Maxime Cohen

Ilan Lobel

Proceedings of the 2016 ACM Conference on Economics and Computation

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We consider the problem faced by a firm that receives highly differentiated products in an online fashion and needs to price them in order to sell them to its customer base. Products are described by vectors of features and the market value of each product is linear in the values of the features. The firm does not initially know the values of the different features, but it can learn the values of the features based on whether products were sold at the posted prices in the past. This model is motivated by a question in online advertising, where impressions arrive over time and can be described by vectors of features. We first consider a multi-dimensional version of binary search over polyhedral sets, and show that it has exponential worst-case regret. We then propose a modification of the prior algorithm where uncertainty sets are replaced by their Lowner-John ellipsoids. We show that this algorithm has a worst-case regret that is quadratic in the dimensionality of the feature space and logarithmic in the time horizon.
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Reservation Exchange Markets for Internet Advertising

Gagan Goel

Stefano Leonardi

Afshin Nikzad

LIPIcs, vol. 55, 142:1-142:13

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Internet display advertising industry follows two main business models. One model is based on direct deals between publishers and advertisers where they sign legal contracts containing terms of fulfillment for a future inventory. The second model is a spot market based on auctioning page views in real-time on advertising exchange (AdX) platforms such as DoubleClick's Ad Exchange, RightMedia, or AppNexus. These exchanges play the role of intermediaries who sell items (e.g. page-views) on behalf of a seller (e.g. a publisher) to buyers (e.g., advertisers) on the opposite side of the market. The computational and economics issues arising in this second model have been extensively investigated in recent times. In this work, we consider a third emerging model called reservation exchange market. A reservation exchange is a two-sided market between buyer orders for blocks of advertisers' impressions and seller orders for blocks of publishers' page views. The goal is to match seller orders to buyer orders while providing the right incentives to both sides. In this work we first describe the important features of mechanisms for efficient reservation exchange markets. We then address the algorithmic problems of designing revenue sharing schemes to provide a fair division between sellers of the revenue collected from buyers. A major conceptual contribution of this work is in showing that even though both clinching ascending auctions and VCG mechanisms achieve the same outcome from a buyer perspective, however, from the perspective of revenue sharing among sellers, clinching ascending auctions are much more informative than VCG auctions.
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Where to sell: Simulating auctions from learning algorithms

Hamid Nazerzadeh

Proceedings of the Seventeenth ACM Conference on Economics and Computation (EC2016)

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Ad Exchange platforms connect online publishers and advertisers and facilitate selling billions of impressions every day. We study these environments from the perspective of a publisher who wants to find the profit maximizing exchange to sell his inventory. Ideally, the publisher would run an auction among exchanges. However, this is not possible due to technological and other practical considerations. The publisher needs to send each impression to one of the exchanges with an asking price. We model the problem as a variation of multi-armed bandits where exchanges (arms) can behave strategically in order to maximizes their own profit. We propose mechanisms that find the best exchange with sub-linear regret and have desirable incentive properties.
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Dynamic Auctions with Bank Accounts

Pingzhong Tang

Proceedings of the Twenty-Fifth International Joint Conference on Artificial Intelligence (2016), pp. 387-393

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Consider a buyer with independent additive valuations for a set of goods, and a seller who is constrained to sell one item at a time in an online fashion. If the seller is constrained to run independent auctions for each item, then he would run Myerson’s optimal auction for each item. If the seller is allowed to use the full power of dynamic mechanism design and have the auction for each item depend on the outcome of the previous auctions, he is able to perform much better. The main issues in implementing such strategies in online settings where items arrive over time are that the auction might be too complicated or it makes too strong assumptions on the buyer’s rationality or seller’s commitment over time. This motivates us to explore a restricted family of dynamic auctions that can be implemented in an online fashion and without too much commitment from the seller ahead of time. In particular, we study a set of auction in which the space of single-shot auctions is augmented with a structure that we call bank account, a real number for each node that summarizes the history so far. This structure allows the seller to store deficits or surpluses of buyer utility from each individual auction and even them out on the long run. This is akin to enforcing individual rationality constraint on average rather than per auction. We also study the effect of enforcing a maximum limit to the values that bank account might grow, which means that we enforce that besides the auction being individually rational on average it is also not far from being individually rational at any given interval. Interestingly, even with these restrictions, we can achieve
significantly better revenue and social welfare compared to separate Myerson auctions.
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Pricing public goods for private sale

Michal Feldman

David Kempe

Brendan Lucier

Proceedings of the 14th ACM Conference on Eletronic Commerce (EC 2013), pp. 417-434

The dining bidder problem: à la russe et à la française

Signaling schemes for revenue maximization

Yuval Emek

Michal Feldman

Iftah Gamzu

Moshe Tennenholtz

Proceedings of the 13th ACM Conference on Eletronic Commerce (EC 2012), pp. 514-531

On revenue in the generalized second price auction

Brendan Lucier

Éva Tardos

Proceedings of the 21st International World Wide Web Conference (WWW 2012), pp. 361-370

Optimal mechanisms for selling information

Moshe Babaioff

Robert Kleinberg

13th ACM Conference on Eletronic Commerce (EC 2012), pp. 92-109

Sequential auctions and externalities

Vasilis Syrgkanis

Éva Tardos

Proceedings of the 24rd ACM-SIAM Symposium of Discrete Algorithms (SODA 2013) (2012), pp. 869-886

The curse of simultaneity

Vasilis Syrgkanis

Éva Tardos

Proceedings of the 3rd Innovations in Theoretical Computer Science conference (ITCS 2012, pp. 60-67

GSP auctions with correlated types

Brendan Lucier

Proceedings of the 12th ACM Conference on Electronic Commerce (EC 2011), pp. 71-80

Pure and Bayes-Nash Price of Anarchy for Generalized Second Price Auction

Éva Tardos

Proceedings of the 51st Annual IEEE Symposium on Foundations of Computer Science (FOCS 2010), pp. 735-744