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Optimal bidding strategies in dynamic auctions with budget constraints
KTH, School of Electrical Engineering (EES), Automatic Control.
2011 (English)In: Allerton Conference on Communication, Control, and Computing, 2011, 588- p.Conference paper (Refereed)
Abstract [en]

We consider the problem of a bidder with limited budget competing in a series of second-price auctions. A motivating example is that of sponsored search auctions, where advertisers bid in a sequence of repeated generalized second price auctions. To characterize the optimal bidding strategy, we formulate the problem as a discounted Markov Decision Process, and provide explicit solutions when the bidder is involved in a large number of auctions.

Place, publisher, year, edition, pages
2011. 588- p.
Keyword [en]
Budget constraint, Explicit solutions, Markov Decision Processes, Optimal bidding strategy, Second-price auction, Sponsored search auctions, Budget control, Communication, Markov processes, Optimization, Commerce
National Category
Control Engineering
URN: urn:nbn:se:kth:diva-149923DOI: 10.1109/Allerton.2011.6120220ScopusID: 2-s2.0-84856089160ISBN: 9781457718168OAI: diva2:742200
2011 49th Annual Allerton Conference on Communication, Control, and Computing, Allerton 2011, 28 September 2011 through 30 September 2011, Monticello, IL

QC 20140901

Available from: 2014-09-01 Created: 2014-08-28 Last updated: 2014-09-01Bibliographically approved

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Proutiere, Alexandre
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ReferencesLink to record
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