$ε$-Policy Gradient for Online Pricing
This work addresses the problem of optimizing pricing strategies in dynamic environments, though it appears incremental as it extends the ε-greedy algorithm with gradient-based methods.
The paper tackles the online pricing learning task by proposing an ε-policy gradient algorithm that combines model-based and model-free reinforcement learning, achieving an expected regret of order O(√T) up to a logarithmic factor over T trials.
Combining model-based and model-free reinforcement learning approaches, this paper proposes and analyzes an $ε$-policy gradient algorithm for the online pricing learning task. The algorithm extends $ε$-greedy algorithm by replacing greedy exploitation with gradient descent step and facilitates learning via model inference. We optimize the regret of the proposed algorithm by quantifying the exploration cost in terms of the exploration probability $ε$ and the exploitation cost in terms of the gradient descent optimization and gradient estimation errors. The algorithm achieves an expected regret of order $\mathcal{O}(\sqrt{T})$ (up to a logarithmic factor) over $T$ trials.