Regret Minimization for Reserve Prices in Second-Price Auctions

Nicolo Cesa-Bianchi, Claudio Gentile, Yishay Mansour
2015 IEEE Transactions on Information Theory  
We show a regret minimization algorithm for setting the reserve price in second-price auctions. We make the assumption that all bidders draw their bids from the same unknown and arbitrary distribution. Our algorithm is computationally efficient, and achieves a regret of e O( √ T ), even when the number of bidders is stochastic with a known distribution.
doi:10.1109/tit.2014.2365772 fatcat:zancitf375aczpjkng23zbfp74