Sequential decision-making and digital markets

Syllabus

• The online learning framework: introduction and motivation
• Follow the Regularized Leader (FTRL)
• Experts and bandits: Hedge and Exp3
• The UCB algorithm for stochastic bandits
• An introduction to online markets: overview of possible applications
• Online posted price auctions (ideas from [Kleinberg, Leighton, 2003])
• Second price auctions from the point of view of the buyer (ideas from [Weed, Perchet, Rigollet, 2016])
• Second price auctions from the point of view of the seller (ideas from [Cesa-Bianchi, Gentile, Mansour, 2015])
• If time allows, a discussion on the complexity on 1st price auctions with the LB of [Cesa-Bianchi, Cesari, Colomboni, Fusco, Leonardi, 2023] for the stochastic framework with bandit feedback

Note that the first part of the course is supported by slides, while the second is on the whiteboard. Feel free to consult the following material:

• Section 7 of this book on bandits
• This paper on posted prices
• This and that paper on second prices auctions from the point of view of the bidder
• This paper on second prices auctions from the point of view of the seller
• This paper on first price auctions from the point of view of the bidder