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

TL;DR

This paper introduces a novel transfer dynamic pricing algorithm that leverages auxiliary markets with structured preference shifts to achieve minimax-optimal regret, significantly improving learning speed and pricing accuracy.

Contribution

The paper presents CM-TDP, the first algorithm to handle structured model-shift transfer in dynamic pricing, with provable regret bounds for both linear and non-parametric utility models.

Findings

Achieves up to 50% lower cumulative regret in simulations.

Faster learning with up to 5 times improvement over single-market baselines.

Provides the first regret bounds for transfer pricing in RKHS settings.

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 $s_{0}$-sparse, CM-TDP attains regret $\tilde{O}((d*K^{-1}+s_{0})\log T)$. For nonlinear demand residing in a reproducing kernel Hilbert space with effective dimension $\alpha$, complexity $\beta$ and task-similarity parameter $H$, the regret becomes $\tilde{O}\!(K^{-2\alpha\beta/(2\alpha\beta+1)}T^{1/(2\alpha\beta+1)} + H^{2/(2\alpha+1)}T^{1/(2\alpha+1)})$, 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.