Robust Learning of Optimal AuctionsDownload PDF

21 May 2021, 20:43 (modified: 21 Jan 2022, 16:54)NeurIPS 2021 SpotlightReaders: Everyone
Keywords: optimal auction, robust learning, sample complexity
TL;DR: We propose new algorithms for learning multi-bidder revenue-optimal auctions from adversarially corrupted samples, providing robustness theorems and sample complexity bounds for various valuation distributions with optimality guarantees.
Abstract: We study the problem of learning revenue-optimal multi-bidder auctions from samples when the samples of bidders' valuations can be adversarially corrupted or drawn from distributions that are adversarially perturbed. First, we prove tight upper bounds on the revenue we can obtain with a corrupted distribution under a population model, for both regular valuation distributions and distributions with monotone hazard rate (MHR). We then propose new algorithms that, given only an ``approximate distribution'' for the bidder's valuation, can learn a mechanism whose revenue is nearly optimal simultaneously for all ``true distributions'' that are $\alpha$-close to the original distribution in Kolmogorov-Smirnov distance. The proposed algorithms operate beyond the setting of bounded distributions that have been studied in prior works, and are guaranteed to obtain a fraction $1-O(\alpha)$ of the optimal revenue under the true distribution when the distributions are MHR. Moreover, they are guaranteed to yield at least a fraction $1-O(\sqrt{\alpha})$ of the optimal revenue when the distributions are regular. We prove that these upper bounds cannot be further improved, by providing matching lower bounds. Lastly, we derive sample complexity upper bounds for learning a near-optimal auction for both MHR and regular distributions.
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