Robust Robustness

Ian Ball and Deniz Kattwinkel

Papers from arXiv.org

Abstract: We propose a refinement of the maxmin approach to distributional robustness. A mechanism's payoff guarantee over an ambiguity set is robust if the guarantee is approximately satisfied at priors near the ambiguity set (in the weak topology). We show that many maxmin-optimal mechanisms in the literature give payoff guarantees that are not robust. Such mechanisms are often tailored to degenerate worst-case priors, making them simple but fragile. We propose a method of enriching the ambiguity set to include all nearby priors. The associated maxmin-optimal mechanism's payoff guarantee (over this new ambiguity set) is always robust.

Date: 2024-08, Revised 2025-07
New Economics Papers: this item is included in nep-des and nep-mic
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