International Joint Conference On Theoretical Computer Science – Frontier of Algorithmic Wisdom

August 15-19, 2022, City University of Hong Kong, Hong Kong

 

Invited Speakers

Undergraduate Research Forum


Nash Convergence of Mean-Based Learning Algorithms in First Price Auctions

Xinyan Hu

Peking University

Abstract:
Understanding the convergence properties of learning dynamics in repeated auctions is a timely and important question in the area of learning in auctions, with numerous applications in, e.g., online advertising markets. This work focuses on repeated first price auctions where bidders with fixed values for the item learn to bid using mean-based algorithms -- a large class of online learning algorithms that include popular no-regret algorithms such as Multiplicative Weights Update and Follow the Perturbed Leader. We completely characterize the learning dynamics of mean-based algorithms, in terms of convergence to a Nash equilibrium of the auction, in two senses: (1) time-average: the fraction of rounds where bidders play a Nash equilibrium approaches 1 in the limit; (2)last-iterate: the mixed strategy profile of bidders approaches a Nash equilibrium in the limit. Specifically, the results depend on the number of bidders with the highest value:

If the number is at least three, the bidding dynamics almost surely converges to a Nash equilibrium of the auction, both in time-average and in last-iterate.
If the number is two, the bidding dynamics almost surely converges to a Nash equilibrium in time-average but not necessarily in last-iterate.
If the number is one, the bidding dynamics may not converge to a Nash equilibrium in time-average nor in last-iterate.
Our discovery opens up new possibilities in the study of convergence dynamics of learning algorithms.

Bio:
Xinyan Hu is an incoming Ph.D. student in computer science at UC Berkeley in 2022 Fall. She received her Bachelor's degree in computer science from Peking University in 2022. Her research interest lies in the interface of machine learning and economics.