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Learning optimization models in the presence of unknown relations
In a sequential auction with multiple bidding agents, it is highly
challenging to determine the ordering of the items to sell in order to maximize
the revenue due to the fact that the autonomy and private information of the
agents heavily influence the outcome of the auction.
The main contribution of this paper is two-fold. First, we demonstrate how to
apply machine learning techniques to solve the optimal ordering problem in
sequential auctions. We learn regression models from historical auctions, which
are subsequently used to predict the expected value of orderings for new
auctions. Given the learned models, we propose two types of optimization
methods: a black-box best-first search approach, and a novel white-box approach
that maps learned models to integer linear programs (ILP) which can then be
solved by any ILP-solver. Although the studied auction design problem is hard,
our proposed optimization methods obtain good orderings with high revenues.
Our second main contribution is the insight that the internal structure of
regression models can be efficiently evaluated inside an ILP solver for
optimization purposes. To this end, we provide efficient encodings of
regression trees and linear regression models as ILP constraints. This new way
of using learned models for optimization is promising. As the experimental
results show, it significantly outperforms the black-box best-first search in
nearly all settings.Comment: 37 pages. Working pape
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