Self-Confirming Price Prediction for Bidding in Simultaneous Ascending Auctions

Simultaneous ascending auctions present agents with the exposure problem: bidding to acquire a bundle risks the possibility of obtaining an undesired subset of the goods. Auction theory provides little guidance for dealing with this problem. We present a new family of decision-theoretic bidding strategies that use probabilistic predictions of final prices. We focus on self-confirming price distribution predictions, which by definition turn out to be correct when all agents bid decision-theoretically based on them. Bidding based on these is provably not optimal in general, but our experimental evidence indicates the strategy can be quite effective compared to other known methods.

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