English

Improved learning rates in multi-unit uniform price auctions

Computer Science and Game Theory 2025-01-20 v1 Machine Learning

Abstract

Motivated by the strategic participation of electricity producers in electricity day-ahead market, we study the problem of online learning in repeated multi-unit uniform price auctions focusing on the adversarial opposing bid setting. The main contribution of this paper is the introduction of a new modeling of the bid space. Indeed, we prove that a learning algorithm leveraging the structure of this problem achieves a regret of O~(K4/3T2/3)\tilde{O}(K^{4/3}T^{2/3}) under bandit feedback, improving over the bound of O~(K7/4T3/4)\tilde{O}(K^{7/4}T^{3/4}) previously obtained in the literature. This improved regret rate is tight up to logarithmic terms. Inspired by electricity reserve markets, we further introduce a different feedback model under which all winning bids are revealed. This feedback interpolates between the full-information and bandit scenarios depending on the auctions' results. We prove that, under this feedback, the algorithm that we propose achieves regret O~(K5/2T)\tilde{O}(K^{5/2}\sqrt{T}).

Keywords

Cite

@article{arxiv.2501.10181,
  title  = {Improved learning rates in multi-unit uniform price auctions},
  author = {Marius Potfer and Dorian Baudry and Hugo Richard and Vianney Perchet and Cheng Wan},
  journal= {arXiv preprint arXiv:2501.10181},
  year   = {2025}
}

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NeurIPS 2024

R2 v1 2026-06-28T21:09:19.278Z