Auctions with Price Predictions

Abstract

We design auctions for the sale of a single item with unlimited supply given a single prediction of the revenue-maximizing uniform price. This departs from prior work on auctions with predictions which typically assumes predictions of every bidder's value. Our main result is a characterization of the Pareto frontier for consistency and robustness attainable by any universally truthful auction. We show that a mechanism that randomizes between posting the predicted price and conducting an optimal prior-free fallback auction is Pareto-optimal. We then extend our results to achieve graceful degradation of revenue as a function of the prediction accuracy. Finally, we study how such a prediction can be obtained from historical market data through the lens of learning theory. Together, our results give an end-to-end account of how a price prediction can be learned and used robustly to maximize auction revenue.