RoxyBot-06: stochastic prediction and optimization in TAC travel

  • Authors:
  • Amy Greenwald;Seong Jae Lee;Victor Naroditskiy

  • Affiliations:
  • Department of Computer Science, Brown University, Providence, RI;Computer Science and Engineering, University of Washington, Seattle, WA;Department of Computer Science, Brown University, Providence, RI

  • Venue:
  • Journal of Artificial Intelligence Research
  • Year:
  • 2009

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Abstract

In this paper, we describe our autonomous bidding agent, RoxyBot, who emerged victorious in the travel division of the 2006 Trading Agent Competition in a photo finish. At a high level, the design of many successful trading agents can be summarized as follows: (i) price prediction: build a model of market prices; and (ii) optimization: solve for an approximately optimal set of bids, given this model. To predict, RoxyBot builds a stochastic model of market prices by simulating simultaneous ascending auctions. To optimize, RoxyBot relies on the sample average approximation method, a stochastic optimization technique.