Title: Robust Auction Design Under Multiple Priors by Linear and Integer Programming
Authors: C. Kocyigit, H.I. Bayrak, M. C. Pinar
Status: to be submitted.

It is commonly assumed in the optimal auction design literature that valuations of buyers are independently drawn from a unique distribution. In this paper we study auctions under ambiguity, that is, in an environment where valuation distribution is uncertain itself, and present a linear programming approach to robust auction design problem with a discrete type space. We develop an algorithm that gives the optimal solution to the problem under certain assumptions when the seller is ambiguity averse with a finite prior set P and the buyers are ambiguity neutral with a prior f in P. We also consider the case where all parties, the buyers and the seller, are ambiguity averse, and formulate this problem as a mixed integer programming problem. Then, we propose a hybrid algorithm that enables to compute an optimal solution for the problem in reduced time. Key words: Optimal auction design, robustness, multiple priors, ambiguity, linear programming, mixed-integer programming.