Stochastic Analysis of Bidding in Sequential Auctions and Related Problems

Download or read book Stochastic Analysis of Bidding in Sequential Auctions and Related Problems written by Srinivasa Kartikeya Puranam and published by . This book was released on 2010 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis we study bidding in sequential auctions and taboo optimiza- tion criteria for Markov Decision Processes. In the second chapter we study the problem of sequentially bidding in N auctions of identical items. It is assumed that at each auction there is a sufficiently high price that if paid the item is won. The objective is to acquire a fixed number of these items at a minimum expected cost. In the third chapter we consider the problem of a firm ("the bidder") that in each period, of an infinite time horizon, buys items in auctions and sells the acquired items in a secondary market. We investigate optimal bidding strategies for the bidder that take into account the cost of acquiring the items, the random sale price and demand of the sec- ondary market as well as pertinent salvage value or inventory holding costs. In the final chapter we consider Markovian systems where costs or rewards are unknown either in some states or in all states. For such cases we define taboo optimization criteria for a propitiously defined set of taboo states.