219 research outputs found
Mechanism Design via Correlation Gap
For revenue and welfare maximization in single-dimensional Bayesian settings,
Chawla et al. (STOC10) recently showed that sequential posted-price mechanisms
(SPMs), though simple in form, can perform surprisingly well compared to the
optimal mechanisms. In this paper, we give a theoretical explanation of this
fact, based on a connection to the notion of correlation gap.
Loosely speaking, for auction environments with matroid constraints, we can
relate the performance of a mechanism to the expectation of a monotone
submodular function over a random set. This random set corresponds to the
winner set for the optimal mechanism, which is highly correlated, and
corresponds to certain demand set for SPMs, which is independent. The notion of
correlation gap of Agrawal et al.\ (SODA10) quantifies how much we {}"lose" in
the expectation of the function by ignoring correlation in the random set, and
hence bounds our loss in using certain SPM instead of the optimal mechanism.
Furthermore, the correlation gap of a monotone and submodular function is known
to be small, and it follows that certain SPM can approximate the optimal
mechanism by a good constant factor.
Exploiting this connection, we give tight analysis of a greedy-based SPM of
Chawla et al.\ for several environments. In particular, we show that it gives
an -approximation for matroid environments, gives asymptotically a
-approximation for the important sub-case of -unit
auctions, and gives a -approximation for environments with
-independent set system constraints
A Good Sign for Multivariate Risk Taking
Decisions under risk are often multidimensional, where the preferences of the decision maker depend on several attributes. For example, an individual might be concerned about both her level of wealth and the condition of her health. Many times the signs of successive cross derivatives of a utility function play an important role in these models. However, there has not been a simple and intuitive interpretation for the meaning of such derivatives. The purpose of this paper is to give such an interpretation. In particular, we provide an equivalence between the signs of these cross derivatives and individual preference within a particular class of simple lotteries.correlation aversion, multivariate risk, prudence, risk aversion, temperance
Mixed-Integer Programming Approaches to Generalized Submodular Optimization and its Applications
Submodularity is an important concept in integer and combinatorial
optimization. A classical submodular set function models the utility of
selecting homogenous items from a single ground set, and such selections can be
represented by binary variables. In practice, many problem contexts involve
choosing heterogenous items from more than one ground set or selecting multiple
copies of homogenous items, which call for extensions of submodularity. We
refer to the optimization problems associated with such generalized notions of
submodularity as Generalized Submodular Optimization (GSO). GSO is found in
wide-ranging applications, including infrastructure design, healthcare, online
marketing, and machine learning. Due to the often highly nonlinear (even
non-convex and non-concave) objective function and the mixed-integer decision
space, GSO is a broad subclass of challenging mixed-integer nonlinear
programming problems. In this tutorial, we first provide an overview of
classical submodularity. Then we introduce two subclasses of GSO, for which we
present polyhedral theory for the mixed-integer set structures that arise from
these problem classes. Our theoretical results lead to efficient and versatile
exact solution methods that demonstrate their effectiveness in practical
problems using real-world datasets
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