Extending Myerson's Optimal Auctions to Correlated Bidders via Neural Network Interpolation

Abstract

We aim to design revenue-maximizing single-item auctions that are deterministic, strategy-proof, and ex post individually rational --- the quintessential fundamental model for optimal mechanism design. While Myerson's seminal work solved this model for independent bidders, straightforward extensions to correlated settings often result in non-monotonic, and therefore non-strategy-proof allocations. Critically, optimal allocation design for correlated bidders is NP-hard to approximate, rendering theoretical optimality guarantees in this domain computationally intractable. We establish a new standard of empirical rigor for this theoretically hard model by proposing an empirical pipeline. We synthesize neural interpolation of Myerson's greedy allocation based on marginal profits (the correlated variant of virtual valuation), formal neural verification to enforce exact strategy-proofness, and a constructive repair procedure. Empirically, our method is highly effective, consistently achieves near-optimal revenue across a wide range of distributions, including synthetic, adversarial, and real-world (consumer, financial, and industrial) datasets. Compared to existing manual and neural baselines, our approach shows substantial improvement, often reducing the revenue gap by an order of magnitude. Our study is also the first to introduce (unattainable) greedy revenue as a rigorous upper bound for empirical benchmarking, providing a definitive quantitative performance measure where true optima remain theoretically elusive. We demonstrate the generality of our approach by extending it to multi-unit auctions with unit demand and integrating our verification techniques into RegretNet to achieve exact strategy-proofness.