Policy Optimization Using Semiparametric Models for Dynamic Pricing
In this paper, we study the contextual dynamic pricing problem where the market value of a product is linear in its observed features plus some market noise. Products are sold one at a time, and only a binary response indicating success or failure of a sale is observed. Our model setting is similar to Javanmard and Nazerzadeh [2019] except that we expand the demand curve to a semiparametric model and need to learn dynamically both parametric and nonparametric components. We…