Semi-parametric dynamic contextual pricing

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Tác giả: Jose Blanchet, Ramesh Johari, Virag Shah

Ngôn ngữ: eng

Ký hiệu phân loại: 003.85 Dynamic systems

Thông tin xuất bản: 2019

Mô tả vật lý:

Bộ sưu tập: Báo, Tạp chí

ID: 162536

Comment: 28 pages, 1 table, 1 figureMotivated by the application of real-time pricing in e-commerce platforms, we consider the problem of revenue-maximization in a setting where the seller can leverage contextual information describing the customer's history and the product's type to predict her valuation of the product. However, her true valuation is unobservable to the seller, only binary outcome in the form of success-failure of a transaction is observed. Unlike in usual contextual bandit settings, the optimal price/arm given a covariate in our setting is sensitive to the detailed characteristics of the residual uncertainty distribution. We develop a semi-parametric model in which the residual distribution is non-parametric and provide the first algorithm which learns both regression parameters and residual distribution with $\tilde O(\sqrt{n})$ regret. We empirically test a scalable implementation of our algorithm and observe good performance.
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