# Uncertainty Quantification for Demand Prediction in Contextual Dynamic Pricing

arXiv: https://arxiv.org/abs/2003.07017 · HTML: https://mlsanity.com/paper/2003.07017/

## Key facts

- Cited by 7 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 16 Mar 2020.

## Built on by (most cited first, 7 of 7)

- [Policy Optimization Using Semi-parametric Models for Dynamic Pricing](https://mlsanity.com/paper/2109.06368/) (2021)
- [Distribution-free Contextual Dynamic Pricing](https://mlsanity.com/paper/2109.07340/) (2021)
- [Differential Privacy in Personalized Pricing with Nonparametric Demand Models](https://mlsanity.com/paper/2109.04615/) (2021)
- [Fairness-aware Online Price Discrimination with Nonparametric Demand Models](https://mlsanity.com/paper/2111.08221/) (2021)
- [Balanced Off-Policy Evaluation for Personalized Pricing](https://mlsanity.com/paper/2302.12736/) (2023)
- [Utility Fairness in Contextual Dynamic Pricing with Demand Learning](https://mlsanity.com/paper/2311.16528/) (2023)
- [Optimal Contextual Pricing under Agnostic Non-Lipschitz Demand](https://mlsanity.com/paper/2605.05609/) (2026)

## Abstract (arXiv)

Data-driven sequential decision has found a wide range of applications in modern operations management, such as dynamic pricing, inventory control, and assortment optimization. Most existing research on data-driven sequential decision focuses on designing an online policy to maximize the revenue. However, the research on uncertainty quantification on the underlying true model function (e.g., demand function), a critical problem for practitioners, has not been well explored. In this paper, using the problem of demand function prediction in dynamic pricing as the motivating example, we study the problem of constructing accurate confidence intervals for the demand function. The main challenge is that sequentially collected data leads to significant distributional bias in the maximum likelihood estimator or the empirical risk minimization estimate, making classical statistics approaches such as the Wald's test no longer valid. We address this challenge by developing a debiased approach and provide the asymptotic normality guarantee of the debiased estimator. Based this the debiased estimator, we provide both point-wise and uniform confidence intervals of the demand function.