کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
11012432 | 1799047 | 2019 | 33 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Robust strategic bidding in auction-based markets
ترجمه فارسی عنوان
مزایای استراتژیک قوی در بازارهای مبتنی بر حراج
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
چکیده انگلیسی
In this paper, we propose an alternative methodology for devising revenue-maximizing strategic bids under uncertainty in the competitors' bidding strategy. We focus on markets endowed with a sealed-bid uniform-price auction with multiple divisible products. On recognizing that the bids of competitors may deviate from equilibrium and are of difficult statistical characterization, we proposed a two-stage robust optimization model with equilibrium constraints aiming to devise risk-averse strategic bids. The proposed model is a trilevel optimization problem that can be recast as a particular instance of a bilevel program with equilibrium constraints. Reformulation procedures are proposed to find a single-level equivalent formulation suitable for column-and-constraint generation (CCG) algorithm. Results show that even for the case in which an imprecision of 1% is observed on the rivals' bids in the equilibrium point, the robust solution provides a significant risk reduction (of 79.9%) in out-of-sample tests. They also indicate that the best strategy against high levels of uncertainty on competitors' bid approaches to a price-taker offer, i.e., bid maximum capacity at marginal cost.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 272, Issue 3, 1 February 2019, Pages 1158-1172
Journal: European Journal of Operational Research - Volume 272, Issue 3, 1 February 2019, Pages 1158-1172
نویسندگان
Bruno Fanzeres, Shabbir Ahmed, Alexandre Street,