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Semi-parametric dynamic contextual pricing

Virag Shah,J. Blanchet,Ramesh Johari

Published 2019 in Neural Information Processing Systems

ABSTRACT

Motivated 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.

PUBLICATION RECORD

  • Publication year

    2019

  • Venue

    Neural Information Processing Systems

  • Publication date

    2019-01-07

  • Fields of study

    Mathematics, Business, Computer Science, Economics

  • Identifiers
    arXiv 1901.02045
  • External record

    Open on Semantic Scholar

  • Source metadata

    Semantic Scholar

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