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 Qscript(√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
GENTILE, CLAUDIO;
2015-01-01
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 Qscript(√T) in a sequence of T auctions. This holds even when the number of bidders is stochastic with a known distribution.
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