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Waterfall Bandits: Learning to Sell Ads Online

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arxiv 1904.09404 v1 pith:Y4T2MZED submitted 2019-04-20 cs.LG stat.ML

Waterfall Bandits: Learning to Sell Ads Online

classification cs.LG stat.ML
keywords learningonlinealgorithmwaterfalldemanddesignmodeloptimization
verification ladder T0 review T1 audit T2 compute T3 formal T4 reserved
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A popular approach to selling online advertising is by a waterfall, where a publisher makes sequential price offers to ad networks for an inventory, and chooses the winner in that order. The publisher picks the order and prices to maximize her revenue. A traditional solution is to learn the demand model and then subsequently solve the optimization problem for the given demand model. This will incur a linear regret. We design an online learning algorithm for solving this problem, which interleaves learning and optimization, and prove that this algorithm has sublinear regret. We evaluate the algorithm on both synthetic and real-world data, and show that it quickly learns high quality pricing strategies. This is the first principled study of learning a waterfall design online by sequential experimentation.

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