We show a regret minimization algorithm for setting the reserve price in a sequence of second-price auctions, under the assumption that all bids are independently drawn from the same unknown and arbitrary distribution. Our algorithm is computationally efficient, and achieves a regret of (O) over tilde(root T) in a sequence of T auctions. This holds 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: IEEE TRANSACTIONS ON INFORMATION THEORY. - ISSN 0018-9448. - 61:1(2015 Jan), pp. 549-564.
Regret minimization for reserve prices in second-price auctions
N. Cesa-BianchiPrimo
;
2015
Abstract
We show a regret minimization algorithm for setting the reserve price in a sequence of second-price auctions, under the assumption that all bids are independently drawn from the same unknown and arbitrary distribution. Our algorithm is computationally efficient, and achieves a regret of (O) over tilde(root T) in a sequence of T auctions. This holds even when the number of bidders is stochastic with a known distribution.File in questo prodotto:
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