Technical note -- Dynamic data-driven estimation of nonparametric choice models
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Abstract: We study non-parametric estimation of choice models, which were introduced to alleviate unreasonable assumptions in traditional parametric models, and are prevalent in several application areas. Existing literature focuses only on the static observational setting where all of the observations are given upfront, they are not equipped with explicit convergence rate guarantees, and consequently they cannot provide an a priori analysis for the model accuracy vs sparsity trade-off on the actual estimated model returned by their algorithms. As opposed to this, we focus on estimating a non-parametric choice model from observational data in a emph{dynamic} setting, where observations are obtained over time. We show that choice model estimation can be cast as a convex-concave saddle-point (SP) joint estimation and optimization (JEO) problem, and we provide a primal-dual framework for deriving algorithms to solve this based on online convex optimization. By tailoring our framework carefully to the choice model estimation problem, we obtain tractable algorithms with provable convergence guarantees and explicit bounds on the sparsity of the estimated model. Our numerical experiments confirm the effectiveness of the algorithms derived from our framework.
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Cites work
- A Nonparametric Approach to Multiproduct Pricing
- Complexity bounds for primal-dual methods minimizing the model of objective function
- Exploiting problem structure in optimization under uncertainty via online convex optimization
- scientific article; zbMATH DE number 3156726 (Why is no real title available?)
- New analysis and results for the Frank-Wolfe method
- On general minimax theorems
- On the solution of stochastic optimization and variational problems in imperfect information regimes
- Stocking Retail Assortments Under Dynamic Consumer Substitution
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