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arXiv · 2012.10001

Optimal Real-time Bidding Policies for Contract Fulfillment in Second Price Auctions

R. J. Kinnear·R. R. Mazumdar·P. Marbach
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Abstract

We study a real-time bidding problem resulting from a set of contractual obligations stipulating that a firm win a specified number of heterogeneous impressions or ad placements over a defined duration in a real-time auction. The contracts specify item targeting criteria (which may be overlapping), and a supply requirement. Using the Pontryagin maximum principle, we show that the resulting continuous time and time inhomogeneous planning problem can be reduced into a finite dimensional convex optimization problem and solved to optimality. In addition, we provide algorithms to update the bidding plan over time via a receding horizon. Finally, we provide numerical results based on real data and show a connection to production-transportation problems.

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R. J. Kinnear, R. R. Mazumdar, P. Marbach. 2020-12-18. Optimal Real-time Bidding Policies for Contract Fulfillment in Second Price Auctions. https://arxiv.org/abs/2012.10001

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