TIME
2024年12月5日（周四）10:00 – 12:00
VENUE
信管学院308会议室
SPEAKER
Ruiqin Wang (王睿秦) is a research fellow in the Department of Industrial Systems Engineering and Management at the National University of Singapore (NUS). She earned her Ph.D. from the Institute of Operations Research and Analytics at NUS, under the supervision of Professor Melvyn Sim and Associate Professor Zhenyu Hu. Prior to that, she obtained her B.S. in Mathematics from the University of Science and Technology of China. Her research interests include robust and distributionally robust optimization, risk analytics, mechanism design, and revenue management.
TITLE
Screening with Limited Information: A Dual Perspective
ABSTRACT
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. Such a mechanism design problem with one product and one buyer is known as the screening problem. 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. The duality result also connects prior literature that separately studies the primal (robust screening) and problems related to the dual (e.g., robust pricing, buyer-optimal pricing and personalized pricing). We further analytically solve the minimax pricing problem (as well as the robust pricing problem) for several important ambiguity sets such as the ones with mean and various dispersion measures, and with the Wasserstein metric, and we provide a unified geometric intuition behind our approach. The solutions are then used to construct the optimal robust mechanism and to compare with the solutions to the robust pricing problem. We also establish the uniqueness of the worst-case distribution for some cases.
编审：张耀武 江波
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