Smoothness-Adaptive Dynamic Pricing Algorithm

This repository implements the simulations of the Hölder smoothness dynamic pricing algorithm $\mathrm{HSDP}(\beta)$ which requires the prior knowledge of Hölder smoothness parameter $\beta$, and our smoothness -adaptive dynamic pricing algorithm $\mathrm{SADP}$. We compare the performance of the two policies: $\mathrm{HSDP}(\tilde{\beta})$ are initiated with different misspecified $\tilde{\beta}$ values, while $\mathrm{SADP}$ adapts to smoothness itself.

Reference:

Ye, Zeqi, and Hansheng Jiang. "Smoothness-Adaptive Dynamic Pricing with Nonparametric Demand Learning." arXiv preprint arXiv:2310.07558* (2023).