Transfer Faster, Price Smarter: Minimax Dynamic Pricing under Cross-Market Preference Shift
Abstract
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.
Keywords
Cite
@article{arxiv.2505.17203,
title = {Transfer Faster, Price Smarter: Minimax Dynamic Pricing under Cross-Market Preference Shift},
author = {Yi Zhang and Elynn Chen and Yujun Yan},
journal= {arXiv preprint arXiv:2505.17203},
year = {2025}
}