Knightian Robustness from Regret Minimization

Abstract

We consider auctions in which the players have very limited knowledge about their own valuations. Specifically, the only information that a Knightian player $i$ has about the profile of true valuations, ${\theta }^{\ast }$, consists of a set of distributions, from one of which ${\theta }_i^{\ast }$ has been drawn. We analyze the social-welfare performance of the VCG mechanism, for unrestricted combinatorial auctions, when Knightian players that either (a) choose a regret-minimizing strategy, or (b) resort to regret minimization only to refine further their own sets of undominated strategies, if needed. We prove that this performance is very good.

References in corpus (1)

• Bridging Utility Maximization and Regret Minimization

Cited by in corpus (1)

• Knightian Analysis of the Vickrey Mechanism