A recent line of work, starting with Beigman and Vohra (2006) and
Zadimoghaddam and Roth (2012), has addressed the problem of {\em learning} a
utility function from revealed preference data. The goal here is to make use of
past data describing the purchases of a utility maximizing agent when faced
with certain prices and budget constraints in order to produce a hypothesis
function that can accurately forecast the {\em future} behavior of the agent.
In this work we advance this line of work by providing sample complexity
guarantees and efficient algorithms for a number of important classes. By
drawing a connection to recent advances in multi-class learning, we provide a
computationally efficient algorithm with tight sample complexity guarantees
(Θ(d/ϵ) for the case of d goods) for learning linear utility
functions under a linear price model. This solves an open question in
Zadimoghaddam and Roth (2012). Our technique yields numerous generalizations
including the ability to learn other well-studied classes of utility functions,
to deal with a misspecified model, and with non-linear prices