trading agent competition bassam aoun [email protected] 08/11/2004
TRANSCRIPT
OutlineOutline
TAC SCM
Trading AgentCompetition
TacTex
WhiteBearTAC classic
Boticelli
Trading Agent Competition
• The TAC annual contest has been designed by– a team of researchers from the e-Supply Chain
Management Lab at Carnegie Mellon University– the Swedish Institute of Computer Science (SICS).
• It offers agent designers a forum and a common platform to evaluate agents’ trading techniques
• It aims to spur research by– comparing the various approaches – enabling researchers to build over each other’s ideas;
TAC Games
• TAC-SCM, the Trading Agents Competition in a Supply Chain Management scenario, was designed to capture many of the challenges involved in supporting dynamic supply chain practices.
• TAC Classic - The software agents will represent travel coordinators whose goal is to arrange travel packages (flights, hotel rooms, and tickets to entertainment events) for clients.
OutlineOutline
TAC SCM
Trading AgentCompetition
TacTex
WhiteBear
TAC classic
Boticelli
TAC SCM Game Overview
Agent Daily Events
Tracking Agents…
TacTex vs. Boticelli
Similarities:• TacTex and Botticelli build models of the environment and
attempt to optimize with respect to those models
Differences:• Given computational complexity
– TacTex proposes greedy heuristics– Boticelli proposes Sample Average Approximation (SAA)
• What if there are any production cycles remaining?– TacTex uses them to build up an equal inventory of all computer
types to be used to satisfy future orders.– Boticelli uses stochastic approach to predict future customer
orders through scenarios
OutlineOutline
TAC SCM
Trading AgentCompetition
TacTex
WhiteBear
TAC classic
Boticelli
Starting Point
• Formulate optimal solutions for major decisions
• Used linear programming that plans for the next several days of production
• They referred to [Benisch et al. 2004]
• Unfortunately, it failed to produce a result within the 15 seconds available per game day.
• Proposed a greedy heuristic approach
The greedy production scheduler
• Divide the current orders into two lists:– orders that are late or will be late if not produced
immediately– all other orders
• Sort each list in order of decreasing valueRank by (price − cost + penalties)
• Append the second list to the first• Go through the list attempting to fill each order:
– Use any computers in inventory that are available– See if the remaining amount needed can be produced– If the order can be filled, earmark the computers for
delivery
The first-day ordering strategy
• On the first day: (Supply are cheapest)– send RFQs: 8800, 4400, 2200, 1100, and 550 of each
component (To maintain flexibility)
• On the second day:– predict the number of components needed based on
the number of customer RFQs
Prediction based on day #2 RFQ Total RFQs– project total future production using the offered
components to find the usable amount– accept a subset of the offers providing the desired
amount
After day #1…
• Need a different strategy after day 1 (if more needed)
• Prices are determined by due date– Supplier has lots of orders before due date high
price• Probe price as function of due date with small
RFQs• Request enough to maintain threshold supply 50
days ahead (assuming current rate of use)• Only accept if expected profit increase > price
– Marginal value based on assumptions about computer prices and other components’ costs
Offering Computers
• Find the set of offers that maximizes profit• Need to estimate P( winning order | offer price)• Given RFQ and cost of computer in question,
optimal price maximizes (price - cost) * P( order | price)
• May not be able to produce all orders for optimal prices– Then need to raise prices to reduce demand
• Iteratively raise prices on the least profitable offers
• Repeat until all orders can be produced• Too many orders less capacity for future
order
Summary
• Very little opportunity for optimal decision-making
• Lots of prediction in their strategy
• Many attempts at learning and adaptation• So far only a few are useful
– Predicting future customers’ RFQs is difficult (e.g. quantity and day factors)
– Predicting the acceptance of an offer P( order | price)– Number of days to look into the future such that the
model is still valid
OutlineOutline
TAC SCM
Trading AgentCompetition
TacTex
WhiteBear
TAC classic
Boticelli
The Botticelli Agent
• This paper addresses scheduling component of the TAC SCM problem.
• Use stochastic information in the form of probabilistic models built from historical data
• Formulate the problem as a stochastic program• Optimize solution using sample average
approximation (SAA)
Maximize expected profit, given a prior for each RFQ (how likely is it to become an order)
Expected Production Scheduling
• Input– Bidding policy, product prices, orders, RFQs,
procurement schedule, inventory, historical data…
• Objective– maximize order profits and expected offer
profits
• Constraint – Quantity of SKU j in orders or expected offers
delivered by day t cannot exceed amount of SKU j produced by day (t-1) + initial inventory
Simple Scheduling Problem
Given:• Orders (SKU,
quantity, due date, penalty, price)
• Inventory• Procurement
schedule• Number of production
cycles per product• Product specification
Find:• Production schedule
that optimizes profit
ILP Solution Constants
• o – set of orders• Order i = { SKU si, price pi, quantity qi, due date di, penalty
ρi, reserve price ri}• The profit πil for filling order i on day l
• ak – quantity of component k in initial inventory • bj – quantity of SKU j in initial inventory• C – machine capacity in production cycles• cj – number of production cycles for SKU j
• ejk – indicator, is component k part of SKU j
ILP Solution Variables
• zil – indicates whether or not order i is filled on day l
• yjl – amount of SKU j scheduled for production on day l
ILP Objective function and constraints
(1)
(2)
(4)
(3)
(5)
Such that:
Stochastic Programming
• Extending the simple model by adding a set of RFQs
• Each RFQ is given a prior αi, according to historical information, indicating its probability of becoming an order.
Given• a set of orders, and a set of RFQs today, only a
fraction of which will be realized tomorrowGoal• to produce an optimal set of SKUs today, such
that tomorrow’s profits will be maximized.
Additional variables & constants
• Constants
Ωm – set of possible scenarios • Variables
zilm – indicates whether or not RFQ i is filled on day l in scenario m
yjlm – amount of SKU j scheduled for production on day l in scenario m
wi – indicates whether or not order i is filled on day 1
vj – amount of SKU j scheduled for production on day 1
Objective function & constraints
s.t.
Stage 1
Stage 2
Approximation algorithms
Expected Profit/Quantity/Value algorithms
• Solve variants of the simple scheduling problem
• Expected profits algorithm uses expected profits, calculated by multiplying πil by αi
• Expected quantities algorithm uses expected quantities, calculated by multiplying qi by αi
• Expected value uses expected profits and expected quantities
Sample Average Approximation
• Sample the scenario space (used 30 samples in the paper), and optimize a regular ILP problem:
• SAA-Greedy – Samples scenarios with RFQs for only one day,– Do not reason about future RFQs
• SAA-Average and SAA-Sampling – Sample scenarios with RFQs for N days, – They differ on how to sample future RFQs.
30 ,1
NN
Not-In-Time Algorithm
• Ignores stochastic information completely
• Schedules only orders, i.e., realized RFQs
• Production does not begin until one day after RFQs are received – can lead to late penalties
Metrics Used
• P – mean profit per order
• C – Percentage of cycles used to fill orders
• P/C – profit per cycle
• EVPI – Expected value of perfect information
• VSI – Value of stochastic information
Results for the 7 algorithms
Conclusions
1. The stochastic programs outperformed all of the other schedulers (in all except one metric)
2. Stochastic algorithms that rely on forecasts about future RFQs outperformed SAAG
1. Using stochasticinformationimprovesperformance
2. Utilizing more stochastic information about the future leads to better performance
OutlineOutline
TAC SCM
Trading AgentCompetition
TacTex
WhiteBear
TAC classic
Boticelli
TAC Classic
• General problem capturing several issues of bidding in simultaneous auctions
• Provides a universal testbed for researchers• Travel agents
– Working on behalf of 8 customers each• The type of each agent is determined by the preferences
by its clients.
– Arranging for a trip to Tampa • round-trip flight tickets• hotel accommodations• entertainment tickets
– GOAL: Maximize clients’ utilities
TAC Classic
URL: www.sics.se/tac
OutlineOutline
TAC SCM
Trading AgentCompetition
TacTex
WhiteBear
TAC classicBoticelli
General Architecture (Modular)
Follows the Sense Model Plan Act (SMPA) architecture
While (not end of game){ Get price quotes Calculate estimates & statistics Planner (Formulate desired plan) Bidder (Bid to implement plan)}
Challenges: – The quantity of each good to be bought – The prices offered for each individual unit– The times at which the bids are placed.
Determining Partial Strategies
• Determine “boundary strategies”– E.g. minimum and maximum price for the
bid, if bid price is the issue
• Determine “intermediate strategies”– By modifying boundary strategies– By combining boundary strategies– By using a strategy that constitutes an
equilibrium for a simpler but similar game
Bidding Strategies – HotelsAuction Rules: • Ascending and multi-unit auctions with price quotes
announced periodically. One randomly selected auction closes at minutes 4 to 11 (one each minutes).
Issue: Bid Price
Dilemma:• If not aggressive, could get outbid and lose rooms
needed– will get outbid by other agents and lose utility for not
implementing the plan and for unused resources• If too aggressive, prices will skyrocket and the
agent’s score will get hurt more than other agents’ scores– All agents’ scores are hurt– But this hurts the agent more, since rooms it desires will
have an increased price
Bidding Strategies – Hotels (cont.)
1. Low aggressiveness : (boundary str.) Bids higher than the current ask price by an
increment2. High aggressiveness : (boundary str.)
Bids for all rooms progressively closer to the marginal utility
3. Medium aggressiveness : (intermediate str.) Combines two previous strategies For critical rooms (rooms with high marginal
utility) the bid is close to the marginal utility For all other rooms it bids an increment above
the current price (the increment increases as time passes)
Bidding – Plane Tickets
Auction Rules:• Ticket prices are expected to increase
approximately in proportion to the square of the time elapsed since the start of the game
Issue: Time of Bid Placement
Dilemma:– To bid early in order to get the cheapest tickets– Or to bid later in order not to limit its options
Solution:• Bid for some of the tickets at the beginning• Bids for the rest after some hotel room auctions have closed• Strategies: Which tickets are bought at the beginning
Bidding – Plane Tickets (cont.)
1. Late Bidder : (boundary str.) Buy at the beginning only tickets that are
“certain” to be used
2. Early Bidder : (boundary str.) Buy all tickets at the beginning
3. Strategic Bidder : (intermediate str.) Modifies “Early Bidder” boundary strategy Uses “Strategic Demand Reduction” Buy all tickets at the beginning, except the
ones that are “highly likely not to be used”
Decomposing the Problem
Optimizer / Planner
AuctionType 1
PartialBidding
Strategy 1
AuctionType 2
PartialBidding
Strategy 2
AuctionType k
PartialBidding
Strategy k
Agent
Exploring Strategy Space
• Determine the best partial strategy for one particular auction type– Keep all other partial strategies fixed– Use a fixed number of agents using intermediate
strategies– Vary the mixture of agents using boundary
strategies
• Explore strategy space systematically– Use several experiments to evaluate the
strategies for different auction types– Use the best partial strategies found in the
previous experiments as the strategies that are kept fixed in each experiment
– Stop when experiments “converge”
Experimental Results
Overall the medium and high aggressiveness versions perform the best– But the medium aggressiveness agent is more
consistent in generalOverall the strategic agent versions
perform the best– The early bidder is significantly better than the
late bidder In general you win when you are “going
against the tide”, i.e. being aggressive when most other agents are not
General Observations
• Planner is adaptive, versatile, fast and robust• Agent uses both principled methods and
approaches guided by the knowledge acquired by observing the behavior of the games and combines both seamlessly
• The agent used in TAC was the strategic agent with medium aggressiveness
• Agent White Bear always ranks in the top three agents in all the competition rounds of the Trading Agent Competition
TAC Classic 2002- 2004
# Agent (2004) Score
1 WhiteBear 4122
2 Walverine 3849
3 LearnAgents 3737
# Agent (2002) Score
1 WhiteBear 3556
2 Southampton 3492
3 Thalis 3351
# Agent (2003) Score
1 ATTac01 3200
2 PackaTAC 3163
3 WhiteBear 3142
References
• The Supply Chain Management Game for the Trading Agent Competition 2004 (Aranuchalam et al. 2004)
• TacTex03 - A supply chain management agent, (Pardoe et al. 2004)
• A Stochastic Programming Approach to Scheduling in TAC-SCM (Benisch et al. 2004)
• A principled study of design tradeoffs for autonomous trading agents, (Ioannis et al. 2003)