Deep Reinforcement Learning for Sequential Combinatorial Auctions
Revenue-optimal auction design is a challenging problem with significant theoretical and practical implications. Sequential auction mechanisms, known for their simplicity and strong strategyproofness guarantees, are often limited by theoretical results that are largely existential, except for certai...
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Zusammenfassung: | Revenue-optimal auction design is a challenging problem with significant
theoretical and practical implications. Sequential auction mechanisms, known
for their simplicity and strong strategyproofness guarantees, are often limited
by theoretical results that are largely existential, except for certain
restrictive settings. Although traditional reinforcement learning methods such
as Proximal Policy Optimization (PPO) and Soft Actor-Critic (SAC) are
applicable in this domain, they struggle with computational demands and
convergence issues when dealing with large and continuous action spaces. In
light of this and recognizing that we can model transitions differentiable for
our settings, we propose using a new reinforcement learning framework tailored
for sequential combinatorial auctions that leverages first-order gradients. Our
extensive evaluations show that our approach achieves significant improvement
in revenue over both analytical baselines and standard reinforcement learning
algorithms. Furthermore, we scale our approach to scenarios involving up to 50
agents and 50 items, demonstrating its applicability in complex, real-world
auction settings. As such, this work advances the computational tools available
for auction design and contributes to bridging the gap between theoretical
results and practical implementations in sequential auction design. |
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DOI: | 10.48550/arxiv.2407.08022 |