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Pricing a low-regret seller

Hoda Heidari
Sadra Yazdanbod
Proceedings of the Thirty-Third International Conference on Machine Learning (ICML 2016)


As the number of ad exchanges has grown, publishers have turned to low regret learning algorithms to decide which exchange offers the best price for their inventory. This in turn opens the following question for the exchange: how to set prices to attract as many sellers as possible and maximize revenue. In this work we formulate this precisely as a learning problem, and present algorithms showing that by simply knowing that the counterparty is using a low regret algorithm is enough for the exchange to have its own low regret learning algorithm to find the optimal price.