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Transfer Faster, Price Smarter: Minimax Dynamic Pricing under Cross-Market Preference Shift

Methodology 2025-10-24 v2 Machine Learning Applications

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 s0s_{0}-sparse, CM-TDP attains regret O~((dK1+s0)logT)\tilde{O}((d*K^{-1}+s_{0})\log T). For nonlinear demand residing in a reproducing kernel Hilbert space with effective dimension α\alpha, complexity β\beta and task-similarity parameter HH, the regret becomes O~ ⁣(K2αβ/(2αβ+1)T1/(2αβ+1)+H2/(2α+1)T1/(2α+1))\tilde{O}\!(K^{-2\alpha\beta/(2\alpha\beta+1)}T^{1/(2\alpha\beta+1)} + H^{2/(2\alpha+1)}T^{1/(2\alpha+1)}), 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}
}