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Computer Science > Computer Science and Game Theory

arXiv:2108.04506 (cs)
[Submitted on 10 Aug 2021]

Title:A heuristic for estimating Nash equilibria in first-price auctions with correlated values

Authors:Benjamin Heymann, Panayotis Mertikopoulos (CNRS)
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Abstract:Our paper concerns the computation of Nash equilibria of first-price auctions with correlated values. While there exist several equilibrium computation methods for auctions with independent values, the correlation of the bidders' values introduces significant complications that render existing methods unsatisfactory in practice. Our contribution is a step towards filling this gap: inspired by the seminal fictitious play process of Brown and Robinson, we present a learning heuristic-that we call fictitious bidding (FB)-for estimating Bayes-Nash equilibria of first-price auctions with correlated values, and we assess the performance of this heuristic on several relevant examples.
Subjects: Computer Science and Game Theory (cs.GT); Optimization and Control (math.OC)
Cite as: arXiv:2108.04506 [cs.GT]
  (or arXiv:2108.04506v1 [cs.GT] for this version)
  https://doi.org/10.48550/arXiv.2108.04506

Submission history

From: Benjamin Heymann [view email] [via CCSD proxy]
[v1] Tue, 10 Aug 2021 08:19:37 UTC (211 KB)
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