ICML 2020poster21 citations
Reserve Pricing in Repeated Second-Price Auctions with Strategic Bidders
Abstract
We study revenue optimization learning algorithms for repeated second-price auctions with reserve where a seller interacts with multiple strategic bidders each of which holds a fixed private valuation for a good and seeks to maximize his expected future cumulative discounted surplus. We propose a novel algorithm that has strategic regret upper bound of $O(\log\log T)$ for worst-case valuations. This pricing is based on our novel transformation that upgrades an algorithm designed for the setup with a single buyer to the multi-buyer case. We provide theoretical guarantees on the ability of a transformed algorithm to learn the valuation of a strategic buyer, which has uncertainty about the future due to the presence of rivals.
BibTeX
@InProceedings{pmlr-v119-drutsa20b,
title = {Reserve Pricing in Repeated Second-Price Auctions with Strategic Bidders},
author = {Drutsa, Alexey},
booktitle = {Proceedings of the 37th International Conference on Machine Learning},
pages = {2678--2689},
year = {2020},
editor = {III, Hal Daumé and Singh, Aarti},
volume = {119},
series = {Proceedings of Machine Learning Research},
month = {13--18 Jul},
publisher = {PMLR},
pdf = {http://proceedings.mlr.press/v119/drutsa20b/drutsa20b.pdf},
url = {https://proceedings.mlr.press/v119/drutsa20b.html},
abstract = {We study revenue optimization learning algorithms for repeated second-price auctions with reserve where a seller interacts with multiple strategic bidders each of which holds a fixed private valuation for a good and seeks to maximize his expected future cumulative discounted surplus. We propose a novel algorithm that has strategic regret upper bound of $O(\log\log T)$ for worst-case valuations. This pricing is based on our novel transformation that upgrades an algorithm designed for the setup with a single buyer to the multi-buyer case. We provide theoretical guarantees on the ability of a transformed algorithm to learn the valuation of a strategic buyer, which has uncertainty about the future due to the presence of rivals.}
}