Real-Time Bidding with Side Information

We consider the problem of repeated bidding in online advertising auctions when some side information (e.g. browser cookies) is available ahead of submitting a bid in the form of a d-dimensional vector. The goal for the advertiser is to maximize the total utility (e.g. the total number of clicks) derived from displaying ads given that a limited budget B is allocated for a given time horizon T . Optimizing the bids is modeled as a contextual Multi-Armed Bandit (MAB) problem with a knapsack constraint and a continuum of arms. We develop UCB-type algorithms that combine two streams of literature: the confidence-set approach to linear contextual MABs and the probabilistic bisection search method for stochastic root-finding. Under mild assumptions on the underlying unknown distribution, we establish distributionindependent regret bounds of order Õ(d · √ T ) when either B = ∞ or when B scales linearly with T .