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- W4361230715 abstract "We consider dynamic pricing strategies in a streamed longitudinal data set-up where the objective is to maximize, over time, the cumulative profit across a large number of customer segments. We consider a dynamic probit model with the consumers' preferences as well as price sensitivity varying over time. Building on the well-known finding that consumers sharing similar characteristics act in similar ways, we consider a global shrinkage structure, which assumes that the consumers' preferences across the different segments can be well approximated by a spatial autoregressive (SAR) model. In such a streamed longitudinal set-up, we measure the performance of a dynamic pricing policy via regret, which is the expected revenue loss compared to a clairvoyant that knows the sequence of model parameters in advance. We propose a pricing policy based on penalized stochastic gradient descent (PSGD) and explicitly characterize its regret as functions of time, the temporal variability in the model parameters as well as the strength of the auto-correlation network structure spanning the varied customer segments. Our regret analysis results not only demonstrate asymptotic optimality of the proposed policy but also show that for policy planning it is essential to incorporate available structural information as policies based on unshrunken models are highly sub-optimal in the aforementioned set-up." @default.
- W4361230715 created "2023-03-31" @default.
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- W4361230715 date "2023-03-27" @default.
- W4361230715 modified "2023-09-30" @default.
- W4361230715 title "Structured Dynamic Pricing: Optimal Regret in a Global Shrinkage Model" @default.
- W4361230715 doi "https://doi.org/10.48550/arxiv.2303.15652" @default.
- W4361230715 hasPublicationYear "2023" @default.
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