We show a regret minimization algorithm for setting the reserve price in second-price auctions. We make the assumption that all bidders draw their bids from the same unknown and arbitrary distribution. Our algorithm is computationally efficient, and achieves a regret of Õ(√T), even when the number of bidders is stochastic with a known distribution.
Regret minimization for reserve prices in second-price auctions / N. Cesa-Bianchi, C. Gentile, Y. Mansour - In: Proceedings of the twenty-fifth annual ACM-SIAM symposium on discrete algorithms, SODA 2014 : Portland, Oregon, USA, january 5-7, 2014 / [a cura di] C. Chekuri. - [s.l] : SIAM, 2013. - ISBN 9781611972511. - pp. 1190-1204 (( Intervento presentato al 25. convegno ACM-SIAM Symposium on Discrete Algorithms (SODA) tenutosi a Portland, USA nel 2014 [10.1137/1.9781611973105.86].
Regret minimization for reserve prices in second-price auctions
N. Cesa-Bianchi;
2013
Abstract
We show a regret minimization algorithm for setting the reserve price in second-price auctions. We make the assumption that all bidders draw their bids from the same unknown and arbitrary distribution. Our algorithm is computationally efficient, and achieves a regret of Õ(√T), even when the number of bidders is stochastic with a known distribution.
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