How should agents bid in repeated sequential auctions when they are budget constrained? A motivating example is that of sponsored search auctions, where advertisers bid in a sequence of generalized second price (GSP) auctions. These auctions, specifically in the context of sponsored search, have...

We study learning in a dynamic setting where identical copies of a good are sold over time through a sequence of second price auctions. Each agent in the market has an 'unknown' independent private valuation which determines the distribution of the reward she obtains from the good; for example,...