We study the problem of setting a price for a potential buyer with a valuation drawn from an unknown distribution D. The seller has "data" about D in the form of m ≥ 1 i.i.d. samples, and the algorithmic challenge is to use these samples to obtain expected revenue as close as possible to what could be achieved with advance knowledge of D.Our first set of results quantifies the number of samples m that are necessary and sufficient to obtain a (1 − )-approximation. For example, for an unknown distribution that satisfies the monotone hazard rate (MHR) condition, we prove thatΘ( −3/2 ) samples are necessary and sufficient. Remarkably, this is fewer samples than is necessary to accurately estimate the expected revenue obtained for such a distribution by even a single reserve price. We also prove essentially tight sample complexity bounds for regular distributions, bounded-support distributions, and a wide class of irregular distributions. Our lower bound approach, which applies to all randomized pricing strategies, borrows tools from differential privacy and information theory, and we believe it could find further applications in auction theory.Our second set of results considers the single-sample case. While no deterministic pricing strategy is better than 1 2 -approximate for regular distributions, for MHR distributions we show how to do better: there is a simple deterministic pricing strategy that guarantees expected revenue at least 0.589 times the maximum possible. We also prove that no deterministic pricing strategy achieves an approximation guarantee better than e 4 ≈ .68.
This paper settles the sample complexity of single-parameter revenue maximization by showing matching upper and lower bounds, up to a poly-logarithmic factor, for all families of value distributions that have been considered in the literature. The upper bounds are unified under a novel framework, which builds on the strong revenue monotonicity by Devanur, Huang, and Psomas (STOC 2016), and an information theoretic argument. This is fundamentally different from the previous approaches that rely on either constructing an -net of the mechanism space, explicitly or implicitly via statistical learning theory, or learning an approximately accurate version of the virtual values. To our knowledge, it is the first time information theoretical arguments are used to show sample complexity upper bounds, instead of lower bounds. Our lower bounds are also unified under a meta construction of hard instances.
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