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Robust Robustness

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  • Ian Ball
  • Deniz Kattwinkel

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.

Suggested Citation

  • Ian Ball & Deniz Kattwinkel, 2024. "Robust Robustness," Papers 2408.16898, arXiv.org, revised Jul 2025.
    • Handle: RePEc:arx:papers:2408.16898
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    File URL: http://arxiv.org/pdf/2408.16898
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