First-Order Bilevel Optimization for Non-truthful Auction Design

Abstract

Automated mechanism design has enabled the learning of complex auction mechanisms using neural networks. However, designing non-truthful auctions remains challenging because bidders' equilibrium strategies depend on the auction mechanism and thus evolve as the mechanism is optimized. In this work, we formulate auction design as a Stackelberg game with multiple strategic followers and develop a fully first-order algorithm for revenue optimization in non-truthful auctions. We establish non-asymptotic guarantees for hypergradient approximation and show that, under standard smoothness and strong-monotonicity assumptions, our method reaches an $O(ε)$-stationary point using $\tilde{\mathcal{O}}(ε^{-2})$ first-order oracle calls. Experiments on symmetric and asymmetric single-item auctions, as well as multi-item auctions, show that our method converges faster than second- and zeroth-order baselines and scales better as the number of bidders increases. Our method also discovers auctions that achieve revenue close to truthful baselines. These results provide a scalable framework for automated mechanism design beyond truthful auctions.