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Adversarial Constrained Bidding via Minimax Regret Optimization with Causality-Aware Reinforcement Learning

The proliferation of the Internet has led to the emergence of online advertising, driven by the mechanics of online auctions. In these repeated auctions, software agents participate on behalf of aggregated advertisers to optimize for their long-term utility. To fulfill the diverse demands, bidding strategies are employed to optimize advertising objectives subject to different spending constraints. Existing approaches on constrained bidding typically rely on i.i.d. train and test conditions, which contradicts the adversarial nature of online ad markets where different parties possess potentially conflicting objectives. In this regard, we explore the problem of constrained bidding in adversarial bidding environments, which assumes no knowledge about the adversarial factors. Instead of relying on the i.i.d. assumption, our insight is to align the train distribution of environments with the potential test distribution meanwhile minimizing policy regret. Based on this insight, we propose a practical Minimax Regret Optimization (MiRO) approach that interleaves between a teacher finding adversarial environments for tutoring and a learner meta-learning its policy over the given distribution of environments. In addition, we pioneer to incorporate expert demonstrations for learning bidding strategies. Through a causality-aware policy design, we improve upon MiRO by distilling knowledge from the experts. Extensive experiments on both industrial data and synthetic data show that our method, MiRO with Causality-aware reinforcement Learning (MiROCL), outperforms prior methods by over 30%.

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