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The University of Southampton
CORMSIS Centre for Operational Research, Management Sciences and Information Systems

CORMSIS Seminar "Screening with Limited Information: A Dual Perspective and A Geometric Approach" - Zhi Chen, City University of Hong Kong Event

14:30 - 15:30
24 February 2022
Please email Huan Yu for a link to the virtual seminar

For more information regarding this event, please email Huan Yu at .

Event details

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.

Speaker information

Zhi Chen,College of Business, City University of Hong Kong, an Assistant Professor in the Department of Management Sciences, College of Business, City University of Hong Kong. His research interests include (1) developing models and designing algorithms for decision-making under uncertainty with different levels of data availability as well as applications in decision analysis, operations management, and engineering; (2) cooperative game theory for joint activities and its applications in production economics, resource pooling, and risk management. His works appear in journals such as Management Science, Operations Research, Production and Operations Management, Mathematical Finance, and Transportation Science.

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