A Dynamic Programming Model for Determining Bidding Strategies in Sequential Auctions: Quasi-linear Utility and Budget Constraints
Abstract
In this paper, we develop a new method for finding an optimal biddingstrategy in sequential auctions, using a dynamic programming technique. Theexisting method assumes that the utility of a user is represented in anadditive form. Thus, the remaining endowment of money must be explicitlyrepresented in each state, and the calculation of the optimal biddingstrategy becomes time-consuming when the initial endowment of money mbecomes large.In this paper, we develop a new problem formalization that avoids explicitlyrepresenting the remaining endowment, by assuming the utility of a user canbe represented in a quasi-linear form, and representing the payment as astate-transition cost. Experimental evaluations show that we can obtainmore than an m-fold speed-up in the computation time. Furthermore, we havedeveloped a method for obtaining a semi-optimal bidding strategy underbudget constraints, and have experimentally confirmed the efficacy of thismethod.
Keywords
Cite
@article{arxiv.1301.2276,
title = {A Dynamic Programming Model for Determining Bidding Strategies in Sequential Auctions: Quasi-linear Utility and Budget Constraints},
author = {Hiromitsu Hattori and Makoto Yokoo and Yuko Sakurai and Toramatsu Shintani},
journal= {arXiv preprint arXiv:1301.2276},
year = {2013}
}
Comments
Appears in Proceedings of the Seventeenth Conference on Uncertainty in Artificial Intelligence (UAI2001)