We study and formulate arbitrage in display advertising. Real-Time Bidding (RTB) mimics stock spot exchanges and utilises computers to algorithmically buy display ads per impression via a real-time auction. Despite the new automation, the ad markets are still informationally inefficient due to the heavily fragmented marketplaces. Two display impressions with similar or identical effectiveness (e.g., measured by conversion or click-through rates for a targeted audience) may sell for quite different prices at different market segments or pricing schemes. In this paper, we propose a novel data mining paradigm called Statistical Arbitrage Mining (SAM) focusing on mining and exploiting price discrepancies between two pricing schemes. In essence, our SAMer is a meta-bidder that hedges advertisers' risk between CPA (cost per action)-based campaigns and CPM (cost per mille impressions)-based ad inventories; it statistically assesses the potential profit and cost for an incoming CPM bid request against a portfolio of CPA campaigns based on the estimated conversion rate, bid landscape and other statistics learned from historical data. In SAM, (i) functional optimisation is utilised to seek for optimal bidding to maximise the expected arbitrage net profit, and (ii) a portfolio-based risk management solution is leveraged to reallocate bid volume and budget across the set of campaigns to make a risk and return trade-off. We propose to jointly optimise both components in an EM fashion with high efficiency to help the meta-bidder successfully catch the transient statistical arbitrage opportunities in RTB. Both the offline experiments on a real-world large-scale dataset and online A B tests on a commercial platform demonstrate the effectiveness of our proposed solution in exploiting arbitrage in various model settings and market environments.
Recently, MPT has been introduced into information retrieval (IR) fields to model the expectation and uncertainty of users' preference on the retrieved documents for search engines @cite_16 or from recommender systems @cite_21 . To our knowledge, there is no work adopting MPT into the revenue optimisation in online advertising. In our paper, we present a novel way of using MPT and it is naturally integrated into our bid optimisation framework.
@cite_16 @cite_21
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A novel probabilistic retrieval model is presented. It forms a basis to interpret the TF-IDF term weights as making relevance decisions. It simulates the local relevance decision-making for every location of a document, and combines all of these “local” relevance decisions as the “document-wide” relevance decision for the document. The significance of interpreting TF-IDF in this way is the potential to: (1) establish a unifying perspective about information retrieval as relevance decision-making; and (2) develop advanced TF-IDF-related term weights for future elaborate retrieval models. Our novel retrieval model is simplified to a basic ranking formula that directly corresponds to the TF-IDF term weights. In general, we show that the term-frequency factor of the ranking formula can be rendered into different term-frequency factors of existing retrieval systems. In the basic ranking formula, the remaining quantity - log p(rvt ∈ d) is interpreted as the probability of randomly picking a nonrelevant usage (denoted by r) of term t. Mathematically, we show that this quantity can be approximated by the inverse document-frequency (IDF). Empirically, we show that this quantity is related to IDF, using four reference TREC ad hoc retrieval data collections. Many real applications in real-time news stream advertising call for efficient processing of long queries against short text. In such applications, dynamic news feeds are regarded as queries to match against an advertisement (ad) database for retrieving the k most relevant ads. The existing approaches to keyword retrieval cannot work well in this search scenario when queries are triggered at a very high frequency. To address the problem, we introduce new techniques to significantly improve search performance. First, we devise a two-level partitioning for tight upper bound estimation and a lazy evaluation scheme to delay full evaluation of unpromising candidates, which can bring three to four times performance boosting in a database with 7 million ads. Second, we propose a novel rank-aware block-oriented inverted index to further improve performance. In this index scheme, each entry in an inverted list is assigned a rank according to its importance in the ad. Then, we introduce a block-at-a-time search strategy based on the index scheme to support a much tighter upper bound estimation and a very early termination. We have conducted experiments with real datasets, and the results show that the rank-aware method can further improve performance by an order of magnitude. This paper provides a unified account of two schools of thinking in information retrieval modelling: the generative retrieval focusing on predicting relevant documents given a query, and the discriminative retrieval focusing on predicting relevancy given a query-document pair. We propose a game theoretical minimax game to iteratively optimise both models. On one hand, the discriminative model, aiming to mine signals from labelled and unlabelled data, provides guidance to train the generative model towards fitting the underlying relevance distribution over documents given the query. On the other hand, the generative model, acting as an attacker to the current discriminative model, generates difficult examples for the discriminative model in an adversarial way by minimising its discrimination objective. With the competition between these two models, we show that the unified framework takes advantage of both schools of thinking: (i) the generative model learns to fit the relevance distribution over documents via the signals from the discriminative model, and (ii) the discriminative model is able to exploit the unlabelled data selected by the generative model to achieve a better estimation for document ranking. Our experimental results have demonstrated significant performance gains as much as 23.96 on Precision@5 and 15.50 on MAP over strong baselines in a variety of applications including web search, item recommendation, and question answering. We consider the problem of multi-message private information retrieval (MPIR) from N non-communicating replicated databases. In MPIR, the user is interested in retrieving P messages out of M stored messages without leaking the identity of the retrieved messages. The information-theoretic sum capacity of MPIR CP is the maximum number of desired message symbols that can be retrieved privately per downloaded symbol. For the case P ≥ M 2, we determine the exact sum capacity of MPIR as CP s =1 1+M-P PN For P≤M 2, we develop lower and upper bounds for all M, P, N. These bounds match if the number of messages M is an integer multiple of the number of desired messages P, in which case, CP s = 1−1N 1−(1 N)M P. Our results indicate that joint retrieval of desired messages is more efficient than successive use of single-message retrieval schemes.