Operations Research, Systems Engineering and Industrial Engineering Commons^™

Setting Discrete Bid Levels Adaptively In Repeated Auctions, Jilian Zhang, Hoong Chuin Lau, Jialie Shen

Research Collection School Of Computing and Information Systems

The success of an auction design often hinges on its ability to set parameters such as reserve price and bid levels that will maximize an objective function such as the auctioneer revenue. Works on designing adaptive auction mechanisms have emerged recently, and the challenge is in learning different auction parameters by observing the bidding in previous auctions. In this paper, we propose a non-parametric method for determining discrete bid levels dynamically so as to maximize the auctioneer revenue. First, we propose a non-parametric kernel method for estimating the probabilities of closing price with past auction data. Then a greedy strategy …