Continuous Value Function Approximation for Sequential Bidding Policies

Craig Boutilier
Department of Computer Science
University of British Columbia
Vancouver, BC, CANADA, V6T 1Z4
email: cebly@cs.ubc.ca

Moises Goldszmidt and Bikash Sabata
SRI International 333 Ravenswood Avenue
Menlo Park, CA 94025, USA
email: {moises,sabata}@erg.sri.com

Abstract
Market-based mechanisms such as auctions are being studied as an appropriate means for resource allocation in distributed and multiagent decision problems. When agents value resources in combination rather than in isolation, they must often deliberate about appropriate bidding strategies for a sequence of auctions offering resources of interest. We briefly describe a discrete dynamic programming model for constructing appropriate bidding policies for resources exhibiting both complementarities and substitutability. We then introduce a continuous approximation of this model, assuming that money (or the numeraire good) is infinitely divisible. Though this has the potential to reduce the computational cost of computing policies, value functions in the transformed problem do not have a convenient closed form representation. We develop grid-based approximations for such value functions, representing value functions using piecewise linear approximations. We show that these methods can offer significant computational savings with relatively small cost in solution quality.

To appear, UAI-99

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