Comment: A previous version of this paper has been accepted to NeurIPS 2020. This version fixes errors and updates referencesIn non-truthful auctions, agents' utility for a strategy depends on the strategies of the opponents and also the prior distribution over their private types
the set of Bayes Nash equilibria generally has an intricate dependence on the prior. Using the First Price Auction as our main demonstrating example, we show that $\tilde O(n / \epsilon^2)$ samples from the prior with $n$ agents suffice for an algorithm to learn the interim utilities for all monotone bidding strategies. As a consequence, this number of samples suffice for learning all approximate equilibria. We give almost matching (up to polylog factors) lower bound on the sample complexity for learning utilities. We also consider a setting where agents must pay a search cost to discover their own types. Drawing on a connection between this setting and the first price auction, discovered recently by Kleinberg et al. (2016), we show that $\tilde O(n / \epsilon^2)$ samples suffice for utilities and equilibria to be estimated in a near welfare-optimal descending auction in this setting. En route, we improve the sample complexity bound, recently obtained by Guo et al. (2021), for the Pandora's Box problem, which is a classical model for sequential consumer search.