arXiv subjects

Antoine Désir

Publications and source records attributed to Antoine Désir.

3 recordsLinked to original sources

arXiv2026

Scalable Dynamic Pricing of Substitutable Products through Structure-Guided Policy Learning

Problem definition: We study dynamic pricing of substitutable products with finite, product-specific inventories. Customer substitution couples pricing decisions across products, while the inventory state makes exact dynamic programming intractable at realistic scale. Methodology / results: We develop two MNL-guided policy-learning approaches that replace the dynamic program with a statistical mapping from inventory states to pricing decisions. The first learns prices directly, while the second learns inventory opportunity costs and converts them into prices using the optimal MNL pricing rule. Both policies are trained using decision-focused learning. We also propose an efficient method to generate anticipative customer-choice targets to train our policies. Managerial implications: We conduct an extensive numerical evaluation of our approaches. On small instances for which the optimal dynamic program can be computed, the learned policies achieve average optimality gaps below 0.4%. On larger airline-motivated instances, they consistently improve on the tested revenue-management benchmarks. The comparison between the two architectures also highlights the role of model structure: using the MNL pricing characterization is particularly effective when demand is well described by MNL, while directly learning prices provides greater flexibility under heterogeneous mixed-MNL demand.

math.OC↗

arXiv2026

Representing Random Utility Choice Models with Neural Networks

Motivated by the successes of deep learning, we propose a class of neural network-based discrete choice models, called RUMnets, inspired by the random utility maximization (RUM) framework. This model formulates the agents' random utility function using a sample average approximation. We show that RUMnets sharply approximate the class of RUM discrete choice models: any model derived from random utility maximization has choice probabilities that can be approximated arbitrarily closely by a RUMnet. Reciprocally, any RUMnet is consistent with the RUM principle. Our approach is closely related to ranking-based models and mixtures of multinomial logits proposed in previous literature, in a more general contextual setting. We derive an upper bound on the generalization error of RUMnets fitted on choice data, and provide theoretical insights on their ability to predict choices on new, unseen data depending on critical parameters of the dataset and architecture. The models are estimated by leveraging open-source libraries for training neural networks. We find that RUMnets are competitive against several choice modeling and machine learning methods in terms of predictive accuracy on two real-world datasets. We also conduct synthetic experiments that isolate the effects of each component of the architecture.

cs.LG↗

arXiv2023

Fixed point label attribution for real-time bidding

Problem definition: Most of the display advertising inventory is sold through real-time auctions. The participants of these auctions are typically bidders (Google, Criteo, RTB House, Trade Desk for instance) who participate on behalf of advertisers. In order to estimate the value of each display opportunity, they usually train advanced machine learning algorithms using historical data. In the labeled training set, the inputs are vectors of features representing each display opportunity and the labels are the generated rewards. In practice, the rewards are given by the advertiser and are tied to whether or not a particular user converts. Consequently, the rewards are aggregated at the user level and never observed at the display level. A fundamental task that has, to the best of our knowledge, been overlooked is to account for this mismatch and split, or attribute, the rewards at the right granularity level before training a learning algorithm. We call this the label attribution problem. Methodology/results: In this paper, we develop an approach to the label attribution problem, which is both theoretically justified and practical. In particular, we develop a fixed point algorithm that allows for large scale implementation and showcase our solution using a large scale publicly available dataset from Criteo, a large Demand Side Platform. We dub our approach the Fixed Point Label Attribution (FiPLA) Algorithm. Managerial implications: There is often a hidden leap of faith when transforming the advertiser's signal into display labelling. DSP providers should be careful when building their machine learning pipeline and carefully solve the label attribution step.

cs.GT↗