Impossibility of No-Regret in Multi-Agent Bidding

Zongjun Yang, Rachitesh Kumar, Christian Kroer

We consider $T$ repeated second-price auctions across $n$ pacing bidders with i.i.d. item arrivals, and show that it is computationally impossible for all bidders to achieve no-regret simultaneously while satisfying their respective budget or return-on-investment constraints. Therefore, in the prominent internet auction systems where buyers simultaneously deploy pacing algorithms or automated bidding agents, we cannot hope to achieve joint no-regret guarantees in general. We establish a deterministic relationship that high variance in online bidding systems implies high regret. By showing that one can extract a pacing equilibrium from a low-variance system, we prove PPAD-hardness of attaining joint no-regret. For several widely used bidding algorithms, we also show evidence from dynamical systems and numerical simulations that they can indeed display high-variance behavior through cycling, even on simple market instances.