Regret Minimization for Reserve Prices in Second-Price Auctions

Nicolò Cesa-Bianchi; Claudio Gentile; Yishay Mansour

doi:10.1109/TIT.2014.2365772

Regret Minimization for Reserve Prices in Second-Price Auctions

Nicolò Cesa-Bianchi, Claudio Gentile, Yishay Mansour

School of Computer Science

Tel Aviv University

Research output: Contribution to journal › Article › peer-review

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 Q{script}(√T) in a sequence of T auctions. This holds even when the number of bidders is stochastic with a known distribution.

Original language	English
Article number	6939698
Pages (from-to)	549-564
Number of pages	16
Journal	IEEE Transactions on Information Theory
Volume	61
Issue number	1
DOIs	https://doi.org/10.1109/TIT.2014.2365772
State	Published - 1 Jan 2015

Keywords

Prediction theory
semi-supervised learning
sequential analysis
statistical learning

All Science Journal Classification (ASJC) codes

Information Systems
Computer Science Applications
Library and Information Sciences

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10.1109/TIT.2014.2365772

Cite this

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Regret Minimization for Reserve Prices in Second-Price Auctions

Abstract

Keywords

All Science Journal Classification (ASJC) codes

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