Adaptive Bidding Policies for First-Price Auctions with Budget Constraints under Non-stationarity

ArXi:2505.02796v2 Announce Type: replace-cross We study how a budget-constrained bidder should learn to adaptively bid in repeated first-price auctions to maximize her cumulative payoff. This problem arose due to an industry-wide shift from second-price auctions to first-price auctions in display advertising recently, which renders truthful bidding (i.e., always bidding one's private value) no longer optimal. We propose a simple dual-gradient-descent-based bidding policy that maintains a dual variable for budget constraint as the bidder consumes her budget.