Strategic sequential bidding in auctions using dynamic programming

  title={Strategic sequential bidding in auctions using dynamic programming},
  author={Gerald Tesauro and Jonathan Bredin},
We develop a general framework in which real-time Dynamic Programming (DP) can be used to formulate agent bidding strategies in a broad class of auctions characterized by sequential bidding and continuous clearing. In this framework, states are represented primarily by an agent's holdings, and transition probabilities are estimated from the market event history, along the lines of the "belief function" approach of Gjerstad and Dickhaut [7]. We use the belief function, combined with a forecast… CONTINUE READING
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