Multi-Product Dynamic Pricing in High-Dimensions with Heterogeneous Price Sensitivity

@article{Javanmard2020MultiProductDP,
  title={Multi-Product Dynamic Pricing in High-Dimensions with Heterogeneous Price Sensitivity},
  author={Adel Javanmard and Hamid Nazerzadeh and Simeng Shao},
  journal={2020 IEEE International Symposium on Information Theory (ISIT)},
  year={2020},
  pages={2652-2657}
}
We consider the problem of multi-product dynamic pricing, in a contextual setting, for a seller of differentiated products. In this environment, the customers arrive over time and products are described by high-dimensional feature vectors. Each customer chooses a product according to the widely used Multinomial Logit (MNL) choice model and her utility depends on the product features as well as the prices offered. The seller a-priori does not know the parameters of the choice model but can learn… 
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