Transfer Faster, Price Smarter: Minimax Dynamic Pricing under Cross-Market Preference Shift
Yi Zhang, Elynn Chen, Yujun Yan
摘要
We study contextual dynamic pricing when a target market can leverage K auxiliary markets -- offline logs or concurrent streams -- whose mean utilities differ by a structured preference shift. We propose Cross-Market Transfer Dynamic Pricing (CM-TDP), the first algorithm that provably handles such model-shift transfer and delivers minimax-optimal regret for both linear and non-parametric utility models. For linear utilities of dimension d, where the difference between source- and target-task coefficients is -sparse, CM-TDP attains regret . For nonlinear demand residing in a reproducing kernel Hilbert space with effective dimension , complexity and task-similarity parameter , the regret becomes , matching information-theoretic lower bounds up to logarithmic factors. The RKHS bound is the first of its kind for transfer pricing and is of independent interest. Extensive simulations show up to 50% lower cumulative regret and 5 times faster learning relative to single-market pricing baselines. By bridging transfer learning, robust aggregation, and revenue optimization, CM-TDP moves toward pricing systems that transfer faster, price smarter.
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- Transfer Q-Learning with Composite MDP StructuresJinhang Chai, Elynn Y. Chen, Lin YangICML 2025
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