Improved learning rates in multi-unit uniform price auctions
Résumé
Motivated by the strategic participation of electricity producers in electricity dayahead market, we study the problem of online learning in repeated multi-unit uniform price auctions focusing on the adversarial opposing bid setting. The main contribution of this paper is the introduction of a new modeling of the bid space. Indeed, we prove that a learning algorithm leveraging the structure of this problem achieves a regret of Õ(K 4/3 T 2/3 ) under bandit feedback, improving over the bound of Õ(K 7/4 T 3/4 ) previously obtained in the literature. This improved regret rate is tight up to logarithmic terms. Inspired by electricity reserve markets, we further introduce a different feedback model under which all winning bids are revealed. This feedback interpolates between the full-information and bandit scenarios depending on the auctions' results. We prove that, under this feedback, the algorithm that we propose achieves regret Õ(K 5/2 √ T ).
Domaines
Statistiques [stat]Origine | Fichiers produits par l'(les) auteur(s) |
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