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Contextual Dynamic Pricing with Heterogeneous Buyers

Thodoris Lykouris
Sloan Nietert
Princewill Okoroafor
Chara Podimata
Julian Zimmert
Main:13 Pages
Bibliography:2 Pages
1 Tables
Appendix:23 Pages
Abstract

We initiate the study of contextual dynamic pricing with a heterogeneous population of buyers, where a seller repeatedly posts prices (over TT rounds) that depend on the observable dd-dimensional context and receives binary purchase feedback. Unlike prior work assuming homogeneous buyer types, in our setting the buyer's valuation type is drawn from an unknown distribution with finite support size KK_{\star}. We develop a contextual pricing algorithm based on optimistic posterior sampling with regret O~(KdT)\widetilde{O}(K_{\star}\sqrt{dT}), which we prove to be tight in dd and TT up to logarithmic terms. Finally, we refine our analysis for the non-contextual pricing case, proposing a variance-aware zooming algorithm that achieves the optimal dependence on KK_{\star}.

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