Computing Perfect Bayesian Equilibria in Sequential Auctions with Verification
Vinzenz Thoma, Vitor Bosshard, Sven Seuken
Abstract
We present an algorithm for computing pure-strategy epsilon-perfect Bayesian equilibria in sequential auctions with continuous action and value spaces. Importantly, our algorithm includes a verification phase that computes an upper bound on the utility loss of the found strategies. Prior work on equilibrium computation in auctions with verification has focussed on the single-round case, but the methods do not work for sequential auctions because of two main challenges: (1) there are infinitely many subgames, and (2) the setting has no optimal substructure as bidders' beliefs and best response strategies depend on the strategies of previous rounds. We make two contributions. First, we introduce a tailor-made game abstraction that discretizes the auction and augments the state space with the public beliefs, such that an approximate equilibrium can be computed via dynamic programming. Second, we prove a decomposition theorem to upper bound the utility loss of the computed equilibrium. This is essential because it is neither guaranteed that the auction has an equilibrium nor that any algorithm converges to it. We validate our algorithm on multiple settings with known equilibria and apply it to a new multi-round combinatorial auction.
Ask about this paper
Your agent reads all of it.
Lune indexed this paper to the last equation, along with the top-tier papers that cite it. Ask a question and the answer quotes them.
Cited by top-tier papers1
Ask how each one uses itBuilds on4
- Combining Deep Reinforcement Learning and Search for Imperfect-Information GamesNoam Brown, Anton Bakhtin, Adam Lerer, Qucheng GongNeurIPS 2020 · 205 citations
- Subgame solving without common knowledgeBrian Hu Zhang, Tuomas SandholmNeurIPS 2021 · 21 citations
- Evolution Strategies for Approximate Solution of Bayesian GamesZun Li, Michael P. WellmanAAAI 2021 · 19 citations
- Enabling First-Order Gradient-Based Learning for Equilibrium Computation in MarketsNils Kohring, Fabian Raoul Pieroth, Martin BichlerICML 2023 · 8 citations
Related papers
- Complexity of Equilibria in First-Price Auctions under General Tie-Breaking RulesXi Chen, Binghui PengSTOC 2023 · 3 citations
- On the hardness of dominant strategy mechanism designShahar Dobzinski, Shiri Ron, Jan VondrákSTOC 2022 · 5 citations
- Convergence Analysis of No-Regret Bidding Algorithms in Repeated AuctionsZhe Feng, Guru Guruganesh, Christopher Liaw, Aranyak Mehta et al.AAAI 2021 · 31 citations
- Beyond Monotonicity: On the Convergence of Learning Algorithms in Standard Auction GamesMartin Bichler, Stephan B. Lunowa, Matthias Oberlechner, Fabian R. Pieroth et al.AAAI 2025 · 5 citations
- On the Uniqueness of Bayesian Coarse Correlated Equilibria in Standard First-Price and All-Pay AuctionsMete Seref Ahunbay, Martin BichlerSODA 2025 · 5 citations
