Reserve Pricing in Repeated Second-Price Auctions with Strategic Bidders

Jul 12, 2020

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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(loglog 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.

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About ICML 2020

The International Conference on Machine Learning (ICML) is the premier gathering of professionals dedicated to the advancement of the branch of artificial intelligence known as machine learning. ICML is globally renowned for presenting and publishing cutting-edge research on all aspects of machine learning used in closely related areas like artificial intelligence, statistics and data science, as well as important application areas such as machine vision, computational biology, speech recognition, and robotics. ICML is one of the fastest growing artificial intelligence conferences in the world. Participants at ICML span a wide range of backgrounds, from academic and industrial researchers, to entrepreneurs and engineers, to graduate students and postdocs.

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