DocumentCode
17619
Title
Regret Minimization for Reserve Prices in Second-Price Auctions
Author
Cesa-Bianchi, Nicolo ; Gentile, Claudio ; Mansour, Yishay
Author_Institution
Dipt. di Inf., Univ. degli Studi di Milano, Milan, Italy
Volume
61
Issue
1
fYear
2015
fDate
Jan. 2015
Firstpage
549
Lastpage
564
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 Õ(√T) in a sequence of T auctions. This holds even when the number of bidders is stochastic with a known distribution.
Keywords
commerce; minimisation; pricing; statistical distributions; arbitrary distribution; regret minimization algorithm; reserve prices; second-price auction; Algorithm design and analysis; Approximation algorithms; Distribution functions; Economics; Function approximation; Hazards; Prediction theory; semi-supervised learning; sequential analysis; statistical learning;
fLanguage
English
Journal_Title
Information Theory, IEEE Transactions on
Publisher
ieee
ISSN
0018-9448
Type
jour
DOI
10.1109/TIT.2014.2365772
Filename
6939698
Link To Document