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On Search, Personalisation and Real-time Advertising Dr. Jun Wang, Senior Lecturer Computer Science, University College London Email: [email protected] Twitter: @seawan 30/10/14 Dunnhumby Talk 1

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Page 1: On Search, Personalisation and Real-time Advertising

On Search, Personalisation and Real-time Advertising

Dr. Jun Wang, Senior Lecturer Computer Science, University College London

Email: [email protected] Twitter: @seawan

30/10/14   Dunnhumby  Talk   1  

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Summary  

30/10/14   Dunnhumby  Talk   2  

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Web search Ads (display opportunities) - Maximize profit

Search results - Maximize users’ satisfactions?

Query  

30/10/14   Dunnhumby  Talk   3  

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Recommder    Systems  

30/10/14   Dunnhumby  Talk   4  

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Recommeder  Systems  

30/10/14   Dunnhumby  Talk   5  

Kruschwitz,  Udo  <[email protected]>  

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Real-­‐2me  Adver2sing  

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Real-­‐2me  Adver2sing  

7  

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Real-­‐2me  Adver2sing  

“This  is  Lawrence  from  India.  I  was  searching  Recommender  model  in  web  and  found  your  webpage  in  search  engine.  Then,  I  visited  your  webpage  searching  relevant  contents  and  saw  unrelevant  Google  add  in  "Research  Team"  page  (aFached  screenshot).  This  add  might  vary  from  country  to  country.  But  I  feel  it  will  mislead  and  give  wrong  opinion  to  users  who  visit  your  webpage.”                                                                                                                -­‐  Lawrence  from  India  

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Summary  

30/10/14   Dunnhumby  Talk   9  

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Search  (Informa2on  Retrieval)  

l  General  definiJon:  search  large-­‐scale  unstructured  data,  mostly  text  documents,  but  also  include  images,  videos,  etc  

l  ApplicaJons:  –   web  search  –   product    search  –   enterprise  search  –   desktop/email  search  –   informaJon  filtering  –   collaboraJve  filtering    and  recommeder  systems  

30/10/14   Dunnhumby  Talk   10  

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Queries  can  have  ambiguous  intents  

[Courtesy  of  F.  Radlinski,    MSR  Cambridge]  

Columbia  clothing/sportswear  

Colombia  (Country:  misspelling)  

Columbia  University  

Columbia  Records  music/video   columbia  

30/10/14   Dunnhumby  Talk   11  

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Diversified  search  results  

Diversifica2on  -­‐>  nega2ve  correla2on  -­‐>  reduce  the  risk:  see  our  sigir09  paper  on  porQolio  theory  of  informa2on  retrieval    

30/10/14   Dunnhumby  Talk   12  

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Recall  driven  personalised  search:  relevance  feedback  revisit  

•  www13  paper  

Figure 1: Example application, where Page 1 contains the diversified, exploratory relevance ranking, and

Page 2 contains a refined, personalised re-ranking of the next set of remaining documents, triggered by

the “Next” button and depending on the documents viewed on Page 1 (the left Page 2 ranking contains

documents about animals, the right ranking documents about cars). The same search process can continue

in the remaining results pages until the user leaves.

ing the search experience. Interaction can be split into twocategories, system driven and user driven. In system driveninteraction, the system directly involves the user in the in-teractive process; for instance, a user can narrow down ane-commerce search by filtering based on item attributes thesystem has intentionally specified [42]. Somewhat related isthe field of adaptive filtering, where a user refines an infor-mation stream over time by giving feedback [23].

User driven interactions can allow the user to opt-in, orremain unaware of the interaction due to the use of implicitfeedback, which can come from a number of sources, in-cluding scrolling behaviour, time spent on search page andclickthroughs, the latter two of which correspond well withexplicit user satisfaction [13]. Due to their abundance andthe low cost of recording them, clickthroughs have emergedas a common measure of implicit feedback, with much re-search into using search click logs for learning ranking algo-rithms [15].

When implicit feedback is used in interactive retrieval, theresearch can be split into long term and short term objec-tives. Long term interactive retrieval methods are usuallyconcerned with search personalisation or learning to rankover time, for instance, incorporating user behavior fromsearch logs into a learning to rank algorithm [1], re-rankingsearch results for specific users by accumulating user dataover time [33] and using clickthroughs to learn diverse rank-ings dynamically over time [20]. Such techniques are usefulfor improving a search system over time for popular queries,but are less able to deal with ad hoc web search and tailqueries. On the other hand, short term methods aim toimprove the immediate search session by incorporating usercontext such as clickthroughs and search history [28], butmay have issues with user privacy concerning using userdata.

In this paper, we propose a technical scheme for shortterm, interactive ranking that is able to use user feedbackfrom the top-ranked documents in order to generate con-textual re-rankings for the remaining documents in ad hocretrieval. The feedback could be collected either implicitly,such as from clickthroughs and search page navigation, orexplicitly, such as from user ratings. The proposed feedbackscheme naturally makes use of the fact that in many com-

mon retrieval scenarios, the search results are split into mul-tiple pages that the user traverses across by clicking a “nextpage” botton. A typical use case would be a user examin-ing a Search Engine Results Page (SERP) by going throughthe list, clicking on documents (e.g., to explore them) andreturning to the SERP in the same session. Then, whenthe user indicates that they’d like to view more results (i.e.the ‘Next Page’ button), the feedback elicited thus far isused in a Bayesian model update to unobtrusively re-rankthe remaining documents (which are not seen as yet), onthe client-side, into a list that is more likely to satisfy theinformation need of the user, which are shown in the nextSERP, as illustrated in Figure 1.We mathematically formulate the problem by considering

a Bayesian sequential model; we specify the user’s overallsatisfaction over the Interactive Exploratory Search processand optimise it as a whole. The expected relevance of doc-uments is sequentially updated taking into account the userfeedback thus far and the expected document dependency.A dynamic programming approach is used to optimise thebalance between exploration (learning the remaining docu-ments’ relevancy) and exploitation (presenting the most rel-evant documents thus far). Due to the optimisation calcu-lation being intractable, the solution is approximated usinga range of techniques such as monte carlo sampling and asequential ranking decision rule. Our formulation requiresno changes to the search User Interface (UI) and the updatestage can be performed on the client side in order to respectuser privacy and deal with computational e�ciency. We testthe method on TREC datasets, and the results show thatthe method outperforms other strong baselines, indicatingthat the proposed interactive scheme has significant poten-tials for exploratory search tasks.The remainder of the paper is organised as follows: in Sec-

tion 2 we continue our discussion about the related work; inSection 3 we present the proposed dynamical model. Itsinsights and its approximate solutions are presented in Sec-tions 4 and 5 respectively. The experiments are given inSection 6 and conclusions are presented in Section 7.

Xiaoran  Jin,  Marc  Sloan,  and  Jun  Wang.  InteracJve  Exploratory  Search  for  MulJ  Page  Search  Results,  www13  

exploratory  relevance  ranking   Personalised  re-­‐ranking  

30/10/14   Dunnhumby  Talk   13  

Page 14: On Search, Personalisation and Real-time Advertising

Recall  driven  search:  relevance  feedback  revisit  

•  www13  paper  

Figure 1: Example application, where Page 1 contains the diversified, exploratory relevance ranking, and

Page 2 contains a refined, personalised re-ranking of the next set of remaining documents, triggered by

the “Next” button and depending on the documents viewed on Page 1 (the left Page 2 ranking contains

documents about animals, the right ranking documents about cars). The same search process can continue

in the remaining results pages until the user leaves.

ing the search experience. Interaction can be split into twocategories, system driven and user driven. In system driveninteraction, the system directly involves the user in the in-teractive process; for instance, a user can narrow down ane-commerce search by filtering based on item attributes thesystem has intentionally specified [42]. Somewhat related isthe field of adaptive filtering, where a user refines an infor-mation stream over time by giving feedback [23].

User driven interactions can allow the user to opt-in, orremain unaware of the interaction due to the use of implicitfeedback, which can come from a number of sources, in-cluding scrolling behaviour, time spent on search page andclickthroughs, the latter two of which correspond well withexplicit user satisfaction [13]. Due to their abundance andthe low cost of recording them, clickthroughs have emergedas a common measure of implicit feedback, with much re-search into using search click logs for learning ranking algo-rithms [15].

When implicit feedback is used in interactive retrieval, theresearch can be split into long term and short term objec-tives. Long term interactive retrieval methods are usuallyconcerned with search personalisation or learning to rankover time, for instance, incorporating user behavior fromsearch logs into a learning to rank algorithm [1], re-rankingsearch results for specific users by accumulating user dataover time [33] and using clickthroughs to learn diverse rank-ings dynamically over time [20]. Such techniques are usefulfor improving a search system over time for popular queries,but are less able to deal with ad hoc web search and tailqueries. On the other hand, short term methods aim toimprove the immediate search session by incorporating usercontext such as clickthroughs and search history [28], butmay have issues with user privacy concerning using userdata.

In this paper, we propose a technical scheme for shortterm, interactive ranking that is able to use user feedbackfrom the top-ranked documents in order to generate con-textual re-rankings for the remaining documents in ad hocretrieval. The feedback could be collected either implicitly,such as from clickthroughs and search page navigation, orexplicitly, such as from user ratings. The proposed feedbackscheme naturally makes use of the fact that in many com-

mon retrieval scenarios, the search results are split into mul-tiple pages that the user traverses across by clicking a “nextpage” botton. A typical use case would be a user examin-ing a Search Engine Results Page (SERP) by going throughthe list, clicking on documents (e.g., to explore them) andreturning to the SERP in the same session. Then, whenthe user indicates that they’d like to view more results (i.e.the ‘Next Page’ button), the feedback elicited thus far isused in a Bayesian model update to unobtrusively re-rankthe remaining documents (which are not seen as yet), onthe client-side, into a list that is more likely to satisfy theinformation need of the user, which are shown in the nextSERP, as illustrated in Figure 1.We mathematically formulate the problem by considering

a Bayesian sequential model; we specify the user’s overallsatisfaction over the Interactive Exploratory Search processand optimise it as a whole. The expected relevance of doc-uments is sequentially updated taking into account the userfeedback thus far and the expected document dependency.A dynamic programming approach is used to optimise thebalance between exploration (learning the remaining docu-ments’ relevancy) and exploitation (presenting the most rel-evant documents thus far). Due to the optimisation calcu-lation being intractable, the solution is approximated usinga range of techniques such as monte carlo sampling and asequential ranking decision rule. Our formulation requiresno changes to the search User Interface (UI) and the updatestage can be performed on the client side in order to respectuser privacy and deal with computational e�ciency. We testthe method on TREC datasets, and the results show thatthe method outperforms other strong baselines, indicatingthat the proposed interactive scheme has significant poten-tials for exploratory search tasks.The remainder of the paper is organised as follows: in Sec-

tion 2 we continue our discussion about the related work; inSection 3 we present the proposed dynamical model. Itsinsights and its approximate solutions are presented in Sec-tions 4 and 5 respectively. The experiments are given inSection 6 and conclusions are presented in Section 7.

Xiaoran  Jin,  Marc  Sloan,  and  Jun  Wang.  InteracJve  Exploratory  Search  for  MulJ  Page  Search  Results,  www13  

 

Exploratory  ranking   Personalised  re-­‐ranking  

30/10/14   Dunnhumby  Talk   14  

Page 15: On Search, Personalisation and Real-time Advertising

Recall  driven  search:  relevance  feedback  revisit  

•  We  consider  MulJ  Page  Search  Results  •  Intend  to  opJmise  overall  expected  effecJveness  over  the  search  journey  

•  Our  derivaJon  shows  that    –  Page  1  contains  the  diversified,  exploratory  relevance  ranking  

–  Page  2  contains,  personalised  re-­‐ranking  of  the  next  set  of  remaining  documents,  where  the  relevance  feedback  is  triggered  by  the  “Next”  bugon  

certain objective function. This rank action is denoted asvector s

t = [st1

, . . . , stM ] where stj is the index of the docu-ment retrieved at rank j at the tth research page i.e., s1 isthe page 1 (initial) ranking and s

2 is the page 2 (modified)ranking. We let s represent all rank actions s

1 . . . sT . Wedenote r = [r

1

, . . . , rK ] as the vector of feedback informa-tion obtained from the user for a given page, where K is thenumber of documents given feedback with 0 K M , andri is the feedback information gained (the rating providedby the user) of relevance feedback for document i, either bymeasuring a direct rating or by observing clickthroughs.We use a weighted sum of the expected DCG@M scores of

the rankings of the T upcoming result pages, denoted hereby (note that Rstj

⌘ Rtstj)

Us =TX

t

0

@�t

tMX

j=1+(t�1)M

E(Rstj)

log2

(j + 1)

1

A (2)

to represent the user’s overall satisfaction, where E(Rstj) =

✓stj is the expected relevance of a document at rank j in

result page t. We have chosen the objective function as itis simple and both rewards finding the most relevant docu-ments and also ranking them in the correct order, althoughother IR metrics can be adopted similarly. The rank weight

1

log2 jis used to give greater weight to ranking the most rele-

vant documents in higher positions. The tunable parameter�i � 0 is used to adjust the importance of result pages andthus the level of exploration in the initial page(s). When �

1

is assigned to be zero, the initial ranking is chosen so as tomaximise the next page(s) ranking and thus the priority ispurely on exploration [39]. It could also be a decay functionreflecting the fact that less users are likely to reach the laterresult pages. An extreme case is that when �t = 0, 8t > 1,there is no exploration at all and the documents are rankedaccording to the PRP. In this paper, we fix �t a priori, whileleaving the study of adaptive �t according to learned infor-mation intents [3, 21] for future work.

T indicates how far ahead we consider when ranking doc-uments in the current page. Our experiments using TRECdata indicate that setting T = 2 (only considering the im-mediate next page) gives the best results. To simplify ourderivations, we consider T = 2 for the remaining derivationswhile the resulting algorithms can be easily generalised tothe case where T > 2. Thus, our overall objective is to findthe optimal rank action s

⇤ such that U is maximised

s

⇤ = argmaxs

⇢�

MX

j=1

✓s1jlog

2

(j + 1)

+ (1� �)2MX

j=1+M

✓s2jlog

2

(j + 1)

�(3)

where we use � to balance the importance of pages 1 and2 when T = 2. The statistical process is represented by anInfluence Diagram as shown in Figure 2.

3.1 Relevance Belief UpdateWe start by considering the problem in reverse; given that

we’ve already displayed a ranking to the user, how can weuse their feedback to update our ranking in the second resultpage. After receiving some observation of feedback ri, andwith the user requesting more documents, we can set the

θ,Σ θ’,Σ’

U1 U2

s1 r s2

Figure 2: The interactive search process as illus-

trated by an influence diagram over two stages. In

the diagram, the non-filled circular nodes represent

random variables;the rectangular nodes represent

the rank action at each result page. The rhombus

node is the instant utility.

conditional distribution of the probability of relevance giventhe feedback as

P (R2|r) / P (R2, r)

= P (R2

1

, R2

2

, . . . , R2

N , Rs11= rs11

, . . . , Rs1k= rs1k

) (4)

where rs1jis the observed feedback on the document re-

trieved at rank j and k is number of documents with user’sjudgements after the first result page.If we reorder the vector R and ✓ as

R =

✓R\s1

Rs1

◆,✓ =

✓✓\s1✓s1

◆, (5)

where \s1 means excluding documents which have feed-back after the first result page, ⌃ becomes the covariancematrix of the new R, given by

⌃ =

✓⌃

11

⌃12

⌃21

⌃22

◆(6)

Then, we can specify the conditional distribution

P (R2|r) / exp(�12(

✓R\s1

r

◆� ✓)T ·⌃�1 · (

✓R\s1

r

◆� ✓))

(7)

giving us the following posterior update functions

R

2 ⇠ N (✓2,⌃2) (8)

✓2 = ✓1

\s1 + ⌃12

⌃�1

22

(r� ✓1

s1) (9)

2 = ⌃11

� ⌃12

⌃�1

22

⌃21

(10)

These formulas can then be used to generate new, pos-terior relevance score estimates for the documents, on theclient-side, based on the feedback received in result page 1.These score updates can be used to re-rank the documentsin result page 2 and displayed to the user.

3.2 User FeedbackBefore presenting a ranked list at result page 1 and di-

rectly observing r, it remains an unknown variable and canbe predicted using our prior knowledge. In order to per-form exploration (active learning), we will need to be able

Xiaoran  Jin,  Marc  Sloan,  and  Jun  Wang.  InteracJve  Exploratory  Search  for  MulJ  Page  Search  Results,  www13    

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How  it  works  

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x   x  doc  about  apple  ceo  

X:  doc  about  apple  fruit    

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¤  O:  doc  about  apple  iphone  

Page  1:  diversified,  exploratory  relevance  ranking  considers    Relevancy  +  Variance  +  |CorrelaJons|  Page  2:  personalised  re-­‐ranking  

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How  it  works  

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¤  

¤  O:  doc  about  apple  iphone  

Page  1:  diversified,  exploratory  relevance  ranking  considers    Relevancy  +  Variance  +  |CorrelaJons|  

Q  

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How  it  works  

30/10/14   Dunnhumby  Talk  

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¤  O:  doc  about  apple  iphone  

Page  1:  diversified,  exploratory  relevance  ranking  considers    Relevancy  +  Variance  +  |CorrelaJons|  

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How  it  works  

30/10/14   Dunnhumby  Talk  

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¤   ¤  

x   x  doc  about  apple  ceo  

X:  doc  about  apple  fruit    

¤  

¤  O:  doc  about  apple  iphone  

Page  1:  diversified,  exploratory  relevance  ranking  considers    Relevancy  +  Variance  +  |CorrelaJons|  

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-­‐1  

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How  it  works  

30/10/14   Dunnhumby  Talk  

x   x  

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¤   ¤  

x   x  doc  about  apple  ceo  

X:  doc  about  apple  fruit    

¤  

¤  O:  doc  about  apple  iphone  

Page  2:  Personalised  reranking:  

Q  

-­‐1  

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How  it  works  

30/10/14   Dunnhumby  Talk  

x   x  

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x   x  x  x  

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x   x  doc  about  apple  ceo  

X:  doc  about  apple  fruit    

¤  

¤  O:  doc  about  apple  iphone  

Page  2:  Personalised  reranking:  

Q  

-­‐1  

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Q  

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Page 22: On Search, Personalisation and Real-time Advertising

Summary  

30/10/14   Dunnhumby  Talk   22  

Page 23: On Search, Personalisation and Real-time Advertising

Is  Personalized  Rec.  Always  BeFer?   Non-­‐personalized  

Top  Ar2sts  in  October Personalized:  

Ar2sts  Recommended  for  You

Page 24: On Search, Personalisation and Real-time Advertising

Personalized  vs  Non-­‐Personalized

Dataset:  Movielens-­‐100k

Page 25: On Search, Personalisation and Real-time Advertising

Personalized  vs  Non-­‐Personalized

•  Personalized  top-­‐N  CF  as  a  learning  model  –  Improve  the  object  of  overall  relevance  – But  does  NOT  improve  on  each  user

POP BPR

Top-­‐N  Performance Low  bias  

High  variance

Page 26: On Search, Personalisation and Real-time Advertising

Switch  between  Two  PorQolios

Porqolio  DominaJon

Page 27: On Search, Personalisation and Real-time Advertising

Case  Study  1

•  Demography:  50  years  old  male  programmer  •  History:  86  feedbacks,  most  of  which  are  unpopular  items  

Page 28: On Search, Personalisation and Real-time Advertising

Case  Study  1

•  Analysis:  BPR  porqolio  dominates  POP  porqolio  •  Results:  BPR  has  beger  ranking  performance  

Page 29: On Search, Personalisation and Real-time Advertising

Case  Study  2

•  Demography:  28  years  old  male  engineer  •  History:  15  feedbacks,  most  of  which  are  popular  items  

Page 30: On Search, Personalisation and Real-time Advertising

Case  Study  2

•  Analysis:  POP  porqolio  dominates  BPR  porqolio  •  Results:  POP  has  beger  ranking  performance  

Page 31: On Search, Personalisation and Real-time Advertising

Cold-­‐start  problem  in  recommmender  systems  

Page 32: On Search, Personalisation and Real-time Advertising

Interac2ve  Recommender  Systems

Page 33: On Search, Personalisation and Real-time Advertising

Possible  Solu2ons

Zhao,  Xiaoxue,  Weinan  Zhang,  and  Jun  Wang.  "InteracJve  collaboraJve  filtering."  CIKM,  2013.  

Page 34: On Search, Personalisation and Real-time Advertising

Objec2ve  

Cold-­‐start  problem   Interac2ve  mechanism  for  CF

Zhao,  Xiaoxue,  Weinan  Zhang,  and  Jun  Wang.  "InteracJve  collaboraJve  filtering."  CIKM,  2013.  

Page 35: On Search, Personalisation and Real-time Advertising

Proposed  EE  algorithms

Thompson  Sampling

Linear-­‐UCB

General  Linear-­‐UCB

Zhao,  Xiaoxue,  Weinan  Zhang,  and  Jun  Wang.  "InteracJve  collaboraJve  filtering."  CIKM,  2013.  

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Cold-­‐start  users

Zhao,  Xiaoxue,  Weinan  Zhang,  and  Jun  Wang.  "InteracJve  collaboraJve  filtering."  CIKM,  2013.  

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Summary  

30/10/14   Dunnhumby  Talk   37  

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Real-­‐2me  Adver2sing  

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Life  of  a  display  ad  in  the  RTB  environment:  0.36  seconds  

39  

Ad Exchange

Demand-Side Platform

Advertiser

Data Management

Platform

0.  Ad  Request  1.  Bid  Request  (user,  context)  

2.  Bid  Response  (ad,  bid)  

3.  Ad  AucJon  4.  Win  NoJce  (paying  price)  

5.  Ad  (with  tracking)  

6.  User  Feedback  (click,  conversion,  etc.)  

User  InformaJon  

User  Demography:                  Male,  25,  Student,  etc.  User  SegmentaJons:                Ad  science,  London,  etc.  

Webpage  

User  

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DSP  (Demand  Side  PlaQorm)  

30/10/14  

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Bidder  in  DSP

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Op2mal  Bidder:  Problem  Defini2on  

 Bid  Engine  Bid  Request   Bid  Price  

42  

Input:  bid  request  include    Cookie  informaJon  (anonymous  profile),  website  category  &  page,  user  terminal,  locaJon  etc  Output:  bid  price  Considera2ons:  Historic  data,  CRM  (first  party  data),  DMP  (3rd  party  data  from  Data  Management  Plaqorm)            

What  is  the  op2mal  bidder  given  a  budget  constraint?  e.g.,  Maximise        Subject  to  the  budget  constraint    

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43  

The  General  Process  for  Bidding  Op2misa2on  

Red:  hard  constraints  Green:  features  Blue:  models  Note  that  “Frequency  &  recency  rules”  are  also  used  as  features  

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Op2mal  bidder:  the  formula2on •  FuncJonal  OpJmisaJon  Problem  

–  Dependency  assumpJon:    

•  SoluJon:  Calculus  of  variaJons  

context+ad  features  

CTR  esJmaJon  winning  funcJon  

bidding  funcJon  

Weinan  Zhang,  Shuai  Yuan,  Jun  Wang,  OpJmal  Real-­‐Time  Bidding  for  Display  AdverJsing,  KDD’14  

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Op2mal  bidder:  the  solu2on

Weinan  Zhang,  Shuai  Yuan,  Jun  Wang,  OpJmal  Real-­‐Time  Bidding  for  Display  AdverJsing,  KDD’14  

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Experiments

Offline   Online  

Winner  of  the  first  global  Real-­‐Jme  Bidding  algorithm  contest  2013-­‐2014  

Weinan  Zhang,  Shuai  Yuan,  Jun  Wang,  OpJmal  Real-­‐Time  Bidding  for  Display  AdverJsing,  KDD’14  

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UCL  OpenBidder  Benchmarking  System  

47  

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(RTB)  Ads  prices  are  vola2le    

The  price  movement  of  a  display  opportunity  from  Yahoo!  ads  data  Under  GSP  (generalized  second  price  aucJon)    

Selling Futures Online Advertising Slots viaOption Contracts

Jun Wang and Bowei Chen{j.wang, bowei.chen}@cs.ucl.ac.uk

Department of Computer Science, University College London, UK

§1 MotivationAffected by the dual force of supply and demand, the agreed prices

of an online ad slot often exhibit abrupt and extreme changes over

time (see Figure 1). This makes the cost of displaying ad slots (for

advertisers) and the advertising incomes (for publishers and search

engines) unpredictable. Thus there are increasing needs of a new

advertising trading mechanism to manage the risk of cost or income.

(a)

Jun/2002 Jan/2003 Jun/20030

10

20

30

40

50

Time

Pric

e (U

S $)

Ad slot price (GSP)

(b)

Jan/2003 Jun/2003−1

−0.5

0

0.5

1

1.5

Time

Pric

e (U

S $)

Price change rate

(c)

Figure 1: Plots of a selected Yahoo! online advertisement from 2002 to 2003: (a) advertisers’

bidding prices; (b) accepted generalized second-prices (GSPs); (c) change rates of the GSPs.

§2 Ad Option and Its Pricing

An Ad Option is defined as a contract signed by advertisers

and publishers or search engines. The ad option can give its

buyer (normally advertisers) the right to buy a certain amount of

advertising impressions or clicks from its seller (normally publishers

or search engines) in the future time at a prefixed price. The ad

option buyer needs to pay its seller an upfront fee at the current

time, called Ad Option Price.

There are two benefits of the ad option contract: 1) it is a new

advertising trading mechanism that bridges the spot and the future

markets together; 2) it can help advertisers, publishers and search en-

gines to manage their future cost and incomes smoother, less volatile

and be easier to predict.

A key question is:“How much of an ad option price shouldbe?" Let us consider an example of ad option pricing for impression-

based ad slots. In the future time, assume there are total M impres-

sions to sell and two movement directions of ad slot price, say, Aut+�tand Adt+�t. The publisher would like to sell ↵M impressions via ad

options and sell (1� ↵)M impressions on the spot markets.

Figure 2: The binomial tree framework for the ad slot price movement.

The future ad slot price can be estimated from forecasting models,

i.e. E(At+�t) and var(At+�t), where � in the Figure 2 is an estimation

parameter. The future incomes of publisher are assumed to be risk-

less. That is, we let the upside and downside incomes equal and

obtain the number of the ad options to sell. To avoid the arbitrage,

the future advertising income is expected to be at least equal to the

current income from the spot markets. Based on that we then obtain

the fair ad option price.

§3 Experiments and ConclusionIn the experiments we have used Yahoo! online advertising dataset

and have investigated Geometric Brownian motion and mean-reverting

process to describe the movement of ad slot prices. Figure 3 shows

that � = 1.3 gives the smallest mean value of RMSEs, so we choose

it as the optimal default value. Table 1 then illustrates clearly that the

publisher’s risk is reduced substantially when he increases the number

of ad options from zero to the number of ad options suggested by

the pricing model (↵M/1000).

0 0.5 1 1.5 25

10

15

20

λ

Mea

n of

RM

SEs

(US

$)

Mean of RMSEs

Figure 3: The impact of parameter � on the accuracy of estimated ad option prices.

Table 1: Risk vs. reward of a Yahoo! online ad.

Time 0 options

12↵M1000 options

↵M1000 options

5 294.6 (116.5) 263.2 (67.2) 231.8 (18.9)

10 313.3 (104.4) 284.2 (60.2) 255.2 (32.4)

30 334.8 (127.9) 301.9 (87.9) 269.0 (57.9)

60 333.0 (122.1) 305.9 (81.3) 278.9 (52.7)

Note: the figures out of the brackets are the expectations while those

in the brackets are the standard deviations.

30/10/14   Dunnhumby  Talk   48  

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Automa2ng  Ads  Futures/Op2on  Contracts  

•  Need  Ad’s  Futures  Contract  and  Risk-­‐reduc5on  Capabili5es  –  Technologies  are  constrained  mainly  to  “spots”  markets,  i.e.,  any  transacJon  where  delivery  takes  place  right  away  (in  Real-­‐Jme  AdverJsing  and  Sponsored  Search)    

– No  principled  technologies  to  support  efficient  forward  pricing  &risk  management  mechanisms  

•  If    we  got  Futures  Market  or  provide  Op2on  Contracts,    adverJsers  could  lock  in  the  campaign  cost  and  Publishers  could  lock  in  a  profit  in  the  future  

30/10/14   Dunnhumby  Talk   49  

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Adve

rtise

r Demand Side

Platform (DSP)

RTB / Spot Exchange

Supply Side

Platform (SSP) Pu

blish

er

3rd party data providers, ad serving, ad agency, ad

networks, campaign analytics

-10% to -30%

Futures  Exchange  (Programma2c  Guarantee)  

Futures Exchange

50  

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Acknowledgements  

•  Thanks  to  my  PhD  students  Weinan  Zhang,  Shuai  Yuan,  Marc  Sloan,  Xiaoxue  Zhao    

30/10/14   Dunnhumby  Talk   51  

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For  more  informa2on,  please  refer  to  1.  Wang,  Jun,  and  Jianhan  Zhu.  "Porqolio  theory  of  informaJon  retrieval."  

SIGIR,  2009.  2.  Jin,  Xiaoran,  Marc  Sloan,  and  Jun  Wang.  "InteracJve  exploratory  search  

for  mulJ  page  search  results."  WWW,  2013.  3.  Zhang,  Weinan,  et  al.  "To  personalize  or  not:  a  risk  management  

perspecJve."  Proceedings  of  the  7th  ACM  conference  on  Recommender  systems.  ACM,  2013.  

4.  Gorla,  Jagadeesh,  et  al.  "ProbabilisJc  group  recommendaJon  via  informaJon  matching."  WWW,  2013.  

5.  Shuai  Yuan,  Jun  Wang,  Real-­‐Jme  Bidding  for  Online  AdverJsing:  Measurement  and  Analysis,  AdKDD’13  hgp://arxiv-­‐web3.library.cornell.edu/abs/1306.6542  

6.  Weinan  Zhang,  Shuai  Yuan,  Jun  Wang,  OpJmal  Real-­‐Time  Bidding  for  Display  AdverJsing,  KDD’14  

7.  Shuai  Yuan,  Jun  Wang,  Bowei  Chen,  An  Empirical  Study  of  Reserve  Price  OpJmisaJon  in  Real-­‐Time  Bidding  

8.  Bowei  Chen,  Jun  Wang,    Ingemar  Cox,  and  Mohan  Kankanhalli,  MulJ-­‐Keyword  MulJ-­‐Click  OpJon  Contracts  for  Sponsored  Search  AdverJsing,  under  submission,  2013    hgp://arxiv.org/abs/1307.4980    

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Thanks  for  your  aFen2on  

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