Deep Learning for Double Auction

Abstract: Auctions are important mechanisms extensively implemented in various markets, e.g., search engines' keyword auctions, antique auctions, etc. Finding an optimal auction mechanism is extremely difficult due to the constraints of imperfect information, incentive compatibility (IC), and individual rationality (IR). In addition to the traditional economic methods, some recently attempted to find the optimal (single) auction using deep learning methods. Unlike those attempts focusing on single auctions, we develop deep learning methods for double auctions, where imperfect information exists on both the demand and supply sides. The previous attempts on single auction cannot directly apply to our contexts and those attempts additionally suffer from limited generalizability, inefficiency in ensuring the constraints, and learning fluctuations. We innovate in designing deep learning models for solving the more complex problem and additionally addressing the previous models' three limitations. Specifically, we achieve generalizability by leveraging a transformer-based architecture to model market participants as sequences for varying market sizes; we utilize the numerical features of the constraints and pre-treat them for a higher learning efficiency; we develop a gradient-conflict-elimination scheme to address the problem of learning fluctuation. Extensive experimental evaluations demonstrate the superiority of our approach to classical and machine learning baselines.