Optimal Contextual Pricing under Agnostic Non-Lipschitz Demand

Fuente: arXiv
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Autores principales: Xu, Jianyu, Wang, Yu-Xiang
Formato: Preprint
Publicado: 2026
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author Xu, Jianyu
Wang, Yu-Xiang
author_facet Xu, Jianyu
Wang, Yu-Xiang
contents We study contextual dynamic pricing with linear valuations and bounded-support agnostic noise, whose induced demand curve may be non-Lipschitz with arbitrary jumps and atoms. Such discontinuities break the cross-context interpolation arguments used by smooth-demand pricing algorithms, while the best previous method achieved only $\tilde O(T^{3/4})$ regret. We propose Conservative-Markdown Redirect-UCB Pricing, a polynomial-time algorithm that combines randomized parameter estimation, conservative residual-grid probing, and confidence-based one-step redirection. Our algorithm achieves $\tilde O(T^{2/3})$ optimal regret, matching the known lower bounds of Kleinberg and Leighton (2003) up to logarithmic factors and improving over the previous upper bound of Xu and Wang (2022). Under stochastic well-conditioned contexts, this closes the long-existing open regret gap in linear-valuation contextual pricing under agnostic non-Lipschitz noise distribution.
format Preprint
id arxiv_https___arxiv_org_abs_2605_05609
institution arXiv
publishDate 2026
record_format arxiv
spellingShingle Optimal Contextual Pricing under Agnostic Non-Lipschitz Demand
Xu, Jianyu
Wang, Yu-Xiang
Machine Learning
Econometrics
91B06, 91B24, 62P20, 62C20, 90B50
I.2.6
We study contextual dynamic pricing with linear valuations and bounded-support agnostic noise, whose induced demand curve may be non-Lipschitz with arbitrary jumps and atoms. Such discontinuities break the cross-context interpolation arguments used by smooth-demand pricing algorithms, while the best previous method achieved only $\tilde O(T^{3/4})$ regret. We propose Conservative-Markdown Redirect-UCB Pricing, a polynomial-time algorithm that combines randomized parameter estimation, conservative residual-grid probing, and confidence-based one-step redirection. Our algorithm achieves $\tilde O(T^{2/3})$ optimal regret, matching the known lower bounds of Kleinberg and Leighton (2003) up to logarithmic factors and improving over the previous upper bound of Xu and Wang (2022). Under stochastic well-conditioned contexts, this closes the long-existing open regret gap in linear-valuation contextual pricing under agnostic non-Lipschitz noise distribution.
title Optimal Contextual Pricing under Agnostic Non-Lipschitz Demand
topic Machine Learning
Econometrics
91B06, 91B24, 62P20, 62C20, 90B50
I.2.6
url https://arxiv.org/abs/2605.05609