R Gummadi, P B Key, and A Proutiere
30 September 2011
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.
In Forty-Ninth Annual Allerton Conference on Communication, Control, and Computing