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arXiv · 2511.19842

Strategy-robust Online Learning in Contextual Pricing

Joon Suk Huh·Kirthevasan Kandasamy
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Abstract

Learning effective pricing strategies is crucial in digital marketplaces, especially when buyers' valuations are unknown and must be inferred through interaction. We study the online contextual pricing problem, where a seller observes a stream of context-valuation pairs and dynamically sets prices. Moreover, departing from traditional online learning frameworks, we consider a strategic setting in which buyers may misreport valuations to influence future prices, a challenge known as strategic overfitting (Amin et al. 2013). We introduce a strategy-robust notion of regret for multi-buyer online environments, capturing worst-case strategic behavior in the spirit of the Price of Anarchy. Our first contribution is a polynomial-time approximation scheme (PTAS) for learning linear pricing policies in adversarial, adaptive environments, enabled by a novel online sketching technique. Building on this result, we propose our main construction: the Sparse Update Mechanism (SUM), a simple yet effective sequential mechanism that ensures robustness to all Nash equilibria among buyers. Moreover, our construction yields a black-box reduction from online expert algorithms to strategy-robust learners.

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Joon Suk Huh, Kirthevasan Kandasamy. 2025-11-25. Strategy-robust Online Learning in Contextual Pricing. https://arxiv.org/abs/2511.19842

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