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 (O) over tilde(root T), even when the number of bidders is stochastic with a known distribution.
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Department of Economics, Illinois State University, Campus Box 4200, Normal, 61790, ILDepartment of Economics, Illinois State University, Campus Box 4200, Normal, 61790, IL
Chen J.
Xu M.
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Department of Mathematics, Illinois State University, Campus Box 4520, Normal, 61790, ILDepartment of Economics, Illinois State University, Campus Box 4200, Normal, 61790, IL