Papers › Dynamic Pricing in the Linear Valuation Model using Shape Constraints
Dynamic Pricing in the Linear Valuation Model using Shape Constraints
Daniele Bracale, Moulinath Banerjee, Yuekai Sun, Kevin Stoll, Salam Turki
We propose a shape-constrained approach to dynamic pricing for censored data in the linear valuation model eliminating the need for tuning parameters commonly required by existing methods. Previous works have addressed the challenge of unknown market noise distribution F₀ using strategies ranging from kernel methods to reinforcement learning algorithms, such as bandit techniques and upper confidence bounds (UCB), under the assumption that F₀ satisfies Lipschitz (or stronger) conditions. In contrast, our method relies on isotonic regression under the weaker assumption that F₀ is α-H\"older continuous for some α∈(0,1], for which we derive a regret upper bound. Simulations and experiments with real-world data obtained by Welltower Inc (a major healthcare Real Estate Investment Trust) consistently demonstrate that our method attains lower empirical regret in comparison to several existing methods in the literature while offering the advantage of being tuning-parameter free.
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