Robust Mechanism Design with Anonymous Information

Abstract

In practice, auction data are often endogenously censored and anonymous, revealing only limited outcome statistics rather than full bid profiles. We study robust auction design when the seller observes only aggregated, anonymous order statistics and seeks to maximize worst-case expected revenue over all product distributions consistent with the observed statistic. We show that simple and widely used mechanisms are robustly optimal. Specifically, posted pricing is robustly optimal given the distribution of the highest value; the Myerson auction designed for the unique consistent i.i.d. distribution is robustly optimal given the lowest value distribution; and the second-price auction with an optimal reserve is robustly optimal when an intermediate order statistic is observed and the implied i.i.d. distribution is regular above its reserve. More generally, for a broad class of monotone symmetric mechanisms depending only on the top k order statistics, including multi-unit and position auctions, the worst-case revenue is attained under the i.i.d. distribution consistent with the observed k-th order statistic. Our results provide a tractable foundation for non-discriminatory auction design, where fairness and privacy are intrinsic consequences of the information structure rather than imposed constraints.

Figures (2)

• Figure 1: Revenue Curves of $\bar{\mathbb{F}}_{{2}}(\mathbb{G})$ when $\mathbb{G}$ is exponential, Beta or normal distribution
• Figure 2: Revenue Curves of $\mathbb{F}_{\mathrm{reg}}$ and $\mathbb{F}_{\mathrm{disc}}$. The solid lines represent the revenue curves of $\mathbb{F}_{\mathrm{reg}}$ and $\mathbb{F}_{\mathrm{disc}}$. Ironing corresponds to taking the concave envelope of this curve, which is illustrated by the dashed line. By construction, the concave envelope of $\mathbb{F}_{\mathrm{disc}}$ coincides with the revenue curve of $\mathbb{F}_{\mathrm{reg}}$.

Theorems & Definitions (35)

• Theorem 1.1: Informal
• Theorem 1.2: Informal
• Theorem 1.3: Informal
• Claim 2.1
• proof
• Definition 2.1
• Theorem 3.1
• proof
• Theorem 4.1
• Lemma 4.1