Weakly consistent optimal pricing algorithms in repeated posted-price auctions with strategic buyer

We study revenue optimization learning algorithms for repeated posted-price auctions where a seller interacts with a single strategic buyer that holds a fixed private valuation for a good and seeks to maximize his cumulative discounted surplus.We propose a novel algorithm that never decreases offered prices and has a tight strategic regret bound of Θ(loglogT). This result closes the open research question on the existence of a no-regret horizon-independent weakly consistent pricing. We also show that the property of non-decreasing prices is nearly necessary for a weakly consistent algorithm to be a no-regret one.
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Published in
International Conference on Machine Learning
13 Jul 2018