Communication Dans Un Congrès Année : 2024

Optimizing the coalition gain in Online Auctions with Greedy Structured Bandits

Résumé

Motivated by online display advertising, this work considers repeated second-price auctions, where agents sample their value from an unknown distribution with cumulative distribution function F . In each auction t, a decision-maker bound by limited observations selects n t agents from a coalition of N to compete for a prize with p other agents, aiming to maximize the cumulative reward of the coalition across all auctions. The problem is framed as an N -armed structured bandit, each number of player sent being an arm n, with expected reward r(n) fully characterized by F and p + n. We present two algorithms, Local-Greedy (LG) and Greedy-Grid (GG), both achieving constant problem-dependent regret. This relies on three key ingredients: 1. an estimator of r(n) from feedback collected from any arm k, 2. concentration bounds of these estimates for k within an estimation neighborhood of n and 3. the unimodality property of r under standard assumptions on F . Additionally, GG exhibits problem-independent guarantees on top of best problem-dependent guarantees. However, by avoiding to rely on confidence intervals, LG practically outperforms GG, as well as standard unimodal bandit algorithms such as OSUB or multi-armed bandit algorithms.

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hal-04896482 , version 1 (20-01-2025)

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  • HAL Id : hal-04896482 , version 1

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Dorian Baudry, Hugo Richard, Maria Cherifa, Clément Calauzènes, Vianney Perchet. Optimizing the coalition gain in Online Auctions with Greedy Structured Bandits. NeurIPS 2024 - 38th Conference on Neural Information Processing Systems, Dec 2024, Vancouver (BC), Canada. ⟨hal-04896482⟩
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