Presented By: Department of Statistics
Statistics Department Seminar Series: Ethan Xingyuan Fang, Associate Professor, Department of Biostatistics & Bioinformatics, Duke University
"Offline Data-Driven Decision Making with Applications to Assortment Optimization"
Abstract: We present a unified offline decision-making framework. In the first part, we consider a class of assortment optimization problems in an offline data-driven setting. A firm does not know the underlying customer choice model but has access to an offline dataset consisting of the historically offered assortment set, customer choice, and revenue. The objective is to use the offline dataset to find an optimal assortment. Due to the combinatorial nature of assortment optimization, the problem of insufficient data coverage is likely to occur in the offline dataset. Therefore, designing a provably efficient offline learning algorithm becomes a significant challenge. To this end, we propose an algorithm referred to as Pessimistic ASsortment opTimizAtion (PASTA) following the spirit of pessimism. We show that the algorithm identifies the optimal assortment by only requiring the offline data to cover the optimal assortment under general settings. In particular, we establish a regret bound for the offline assortment optimization problem under the celebrated multinomial logit model and its generalizations, where the regret is shown to be minimax optimal. We will also discuss other novel combinatorial uncertainty quantification problems of assortment optimization.