Revenue maximization with a single sample

This paper pursues auctions that are prior-independent. The goal is to design an auction such that, whatever the underlying valuation distribution, its expected revenue is almost as large as that of an optimal auction tailored for that distribution. We propose the prior-independent Single Sample mechanism, which is essentially the Vickrey–Clarke–Groves (VCG) mechanism, supplemented with reserve prices chosen at random from participants' bids. We prove that under reasonably general assumptions, this mechanism simultaneously approximates all Bayesian-optimal mechanisms for all valuation distributions. Conceptually, our analysis shows that even a single sample from a distribution — some bidder's valuation — is sufficient information to obtain near-optimal expected revenue.

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