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arXiv · 1603.07229

Sequential Mechanisms with ex-post Participation Guarantees

Itai Ashlagi·Constantinos Daskalakis·Nima Haghpanah
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Abstract

We provide a characterization of revenue-optimal dynamic mechanisms in settings where a monopolist sells k items over k periods to a buyer who realizes his value for item i in the beginning of period i. We require that the mechanism satisfies a strong individual rationality constraint, requiring that the stage utility of each agent be positive during each period. We show that the optimum mechanism can be computed by solving a nested sequence of static (single-period) mechanisms that optimize a tradeoff between the surplus of the allocation and the buyer's utility. We also provide a simple dynamic mechanism that obtains at least half of the optimal revenue. The mechanism either ignores history and posts the optimal monopoly price in each period, or allocates with a probability that is independent of the current report of the agent and is based only on previous reports. Our characterization extends to multi-agent auctions. We also formulate a discounted infinite horizon version of the problem, where we study the performance of "Markov mechanisms."

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Itai Ashlagi, Constantinos Daskalakis, Nima Haghpanah. 2016-03-23. Sequential Mechanisms with ex-post Participation Guarantees. https://arxiv.org/abs/1603.07229

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