Reserve Pricing in Repeated Second-Price Auctions with Strategic Bidders

06/21/2019
by   Alexey Drutsa, et al.
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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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