Title: Towards Safe and Optimal Online Bidding: A Modular Look-ahead Lyapunov Framework
Primary area: optimization
Keywords: online bidding, budget constraints, ROI constraints, Lyapunov optimization

Abstract: This paper studies online bidding subject to simultaneous budget and return-on-investment (ROI) constraints, which encodes the goal of balancing high volume and profitability. We formulate the problem as a general constrained online learning problem that can be applied to diverse bidding settings (e.g., first-price or second-price auctions) and feedback regimes (e.g., full or partial information), among others. We introduce L2FOB, a Look-ahead Lyapunov Framework for Online Bidding with strong empirical and theoretical performance. By combining optimistic reward and pessimistic cost estimation with the look-ahead virtual queue mechanism, L2FOB delivers safe and optimal bidding decisions. We provide adaptive guarantees: L2FOB achieves $O (\mathcal{E}\_r(T,p)+(\nu^* / \rho)  \mathcal{E}\_c(T,p))$ regret and $O (\mathcal{E}\_r(T,p)+\mathcal{E}\_c(T,p))$ anytime ROI constraint violation, where $\mathcal{E}_r(T,p)$ and $\mathcal{E}_c(T,p)$ are cumulative estimation errors over $T$ rounds, $\rho$ is the average per-round budget, and $\nu^*$ is the offline optimal average reward. We instantiate L2FOB in several online bidding settings, demonstrating guarantees that match or improve upon the best-known results. These results are derived from the novel look-ahead design and Lyapunov stability analysis. Numerical experiments further validate our theoretical guarantees.