Towards Agnostic Feature-Based Dynamic Pricing: Linear Policies vs Linear Valuation with Unknown Noise

Abstract

In feature-based dynamic pricing, a seller sets appropriate prices for a sequence of products (described by feature vectors) on the fly by learning from the binary outcomes of previous sales sessions ("Sold" if valuation $\geq$ price, and "Not Sold" otherwise). Existing works either assume noiseless linear valuation or precisely-known noise distribution, which limits the applicability of those algorithms in practice when these assumptions are hard to verify. In this work, we study two more agnostic models: (a) a "linear policy" problem where we aim at competing with the best linear pricing policy while making no assumptions on the data, and (b) a "linear noisy valuation" problem where the random valuation is linear plus an unknown and assumption-free noise. For the former model, we show a $\Theta(d^{1/3}T^{2/3})$ minimax regret up to logarithmic factors. For the latter model, we present an algorithm that achieves an $O(T^{3/4})$ regret and improve the best-known lower bound from $Omega(T^{3/5})$ to $\Omega(T^{2/3})$. These results demonstrate that no-regret learning is possible for feature-based dynamic pricing under weak assumptions, but also reveal a disappointing fact that the seemingly richer pricing feedback is not significantly more useful than the bandit-feedback in regret reduction.