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Machine Learning in an Auction Environment

机译:拍卖环境中的机器学习

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We consider a model of repeated online auctions in which an ad with an uncertain click-through rate faces a random distribution of competing bids in each auction and there is discounting of payoffs. We formulate the optimal solution to this explore/exploit problem as a dynamic programming problem and show that efficiency is maximized by making a bid for each advertiser equal to the advertiser's expected value for the advertising opportunity plus a term proportional to the variance in this value divided by the number of impressions the advertiser has received thus far. We then use this result to illustrate that the value of incorporating active exploration into a machine learning system in an auction environment is exceedingly small.
机译:我们考虑一种重复在线拍卖的模型,其中具有不确定的点击率的广告在每次拍卖中都面临竞争性投标的随机分布,并且收益折现。我们将此探索/利用问题的最优解决方案公式化为动态规划问题,并表明通过使每个广告客户的出价等于广告客户对广告机会的期望值加上与该值的方差成比例的项,可以最大程度地提高效率。广告客户迄今获得的印象数。然后,我们使用此结果来说明在拍卖环境中将主动探索纳入机器学习系统的价值非常小。

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