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Learning Auctions with Robust Incentive Guarantees
Jacob Abernethy · Rachel Cummings · Bhuvesh Kumar · Sam Taggart · Jamie Morgenstern

Wed Dec 11 10:45 AM -- 12:45 PM (PST) @ East Exhibition Hall B + C #218

We study the problem of learning Bayesian-optimal revenue-maximizing auctions. The classical approach to maximizing revenue requires a known prior distribution on the demand of the bidders, although recent work has shown how to replace the knowledge of a prior distribution with a polynomial sample. However, in an online setting, when buyers can participate in multiple rounds, standard learning techniques are susceptible to \emph{strategic overfitting}: bidders can improve their long-term wellbeing by manipulating the trajectory of the learning algorithm in earlier rounds. For example, they may be able to strategically adjust their behavior in earlier rounds to achieve lower, more favorable future prices. Such non-truthful behavior can hinder learning and harm revenue. In this paper, we combine tools from differential privacy, mechanism design, and sample complexity to give a repeated auction that (1) learns bidder demand from past data, (2) is approximately revenue-optimal, and (3) strategically robust, as it incentivizes bidders to behave truthfully.

Author Information

Jacob Abernethy (Georgia Institute of Technology)
Rachel Cummings (Georgia Tech)
Bhuvesh Kumar (Georgia Tech)
Sam Taggart (Oberlin College)
Jamie Morgenstern (University of Washington)

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