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
GENTILE, CLAUDIO;
2013-01-01
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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