Robust Dynamic Pricing with Strategic Customers

We consider the canonical revenue management (RM) problem wherein a seller must sell an inventory of some product over a finite horizon via an anonymous, posted price mechanism. Unlike typical models in RM, we assume that customers are forward looking. In particular, customers arrive randomly over time and strategize about their times of purchases. The private valuations of these customers decay over time and the customers incur monitoring costs; both the rates of decay and these monitoring costs are private information. This setting has resisted the design of optimal dynamic mechanisms heretofore. Optimal pricing schemes-an almost necessary mechanism format for practical RM considerations-have been similarly elusive. The present paper proposes a mechanism we dub robust pricing. Robust pricing is guaranteed to achieve expected revenues that are at least within 29% of those under an optimal (not necessarily posted price) dynamic mechanism. We thus provide the first approximation algorithm for this problem. The robust pricing mechanism is practical, since it is an anonymous posted price mechanism and since the seller can compute the robust pricing policy for a problem without any knowledge of the distribution of customer discount factors and monitoring costs. The robust pricing mechanism also enjoys the simple interpretation of solving a dynamic pricing problem for myopic customers with the additional requirement of a novel “restricted sub-martingale constraint” on prices that discourages rapid discounting. We believe this interpretation is attractive to practitioners. Finally, numerical experiments suggest that the robust pricing mechanism is, for all intents, near optimal

Residual Tensor Train: A Quantum-inspired Approach for Learning Multiple Multilinear Correlations

States of quantum many-body systems are defined in a high-dimensional Hilbert space, where rich and complex interactions among subsystems can be modelled. In machine learning, complex multiple multilinear correlations may also exist within input features. In this paper, we present a quantum-inspired multilinear model, named Residual Tensor Train (ResTT), to capture the multiple multilinear correlations of features, from low to high orders, within a single model. ResTT is able to build a robust decision boundary in a high-dimensional space for solving fitting and classification tasks. In particular, we prove that the fully-connected layer and the Volterra series can be taken as special cases of ResTT. Furthermore, we derive the rule for weight initialization that stabilizes the training of ResTT based on a mean-field analysis. We prove that such a rule is much more relaxed than that of TT, which means ResTT can easily address the vanishing and exploding gradient problem that exists in the existing TT models. Numerical experiments demonstrate that ResTT outperforms the state-of-the-art tensor network and benchmark deep learning models on MNIST and Fashion-MNIST datasets. Moreover, ResTT achieves better performance than other statistical methods on two practical examples with limited data which are known to have complex feature interactions.Comment: 12 pages, 6 figure

CLR-DRNets: Curriculum Learning with Restarts to Solve Visual Combinatorial Games

We introduce a curriculum learning framework for challenging tasks that require a combination of pattern recognition and combinatorial reasoning, such as single-player visual combinatorial games. Our work harnesses Deep Reasoning Nets (DRNets) [Chen et al., 2020], a framework that combines deep learning with constraint reasoning for unsupervised pattern demixing. We propose CLR-DRNets (pronounced Clear-DRNets), a curriculum-learning-with-restarts framework to boost the performance of DRNets. CLR-DRNets incrementally increase the difficulty of the training instances and use restarts, a new model selection method that selects multiple models from the same training trajectory to learn a set of diverse heuristics and apply them at inference time. An enhanced reasoning module is also proposed for CLR-DRNets to improve the ability of reasoning and generalize to unseen instances. We consider Visual Sudoku, i.e., Sudoku with hand-written digits or letters, and Visual Mixed Sudoku, a substantially more challenging task that requires the demixing and completion of two overlapping Visual Sudokus. We propose an enhanced reasoning module for the DRNets framework for encoding these visual games We show how CLR-DRNets considerably outperform DRNets and other approaches on these visual combinatorial games