Causal Multi-Task Demand Learning

원문 초록

We study multi-task demand learning for retail pricing, where firms seek to estimate heterogeneous linear price-response functions across many decision contexts. Each context has rich covariates but limited price variation, motivating transfer across tasks. However, such transfer is complicated by endogeneity: prices may be arbitrarily correlated with unobserved task-level demand determinants. We propose a meta-learning framework that identifies the conditional mean of task-specific causal demand parameters despite this confounding, provided each task contains at least two distinct, locally exogenous price points. The key is to carefully design the information available to the learner. We condition on the full price history to address cross-task confounding, but withhold the demand outcomes associated with two locally exogenous price points to preserve identifiability. These withheld outcomes provide supervision through a randomized query. We establish that this information design is maximally uniformly valid for the squared-loss objective: any refinement of the conditioning set that reveals information about the withheld outcomes or the query index admits a data-generating process under which the objective no longer identifies the conditional mean causal target. Synthetic experiments demonstrate improved estimation of causal demand parameters under strong confounding, while retail experiments show improved held-out demand prediction relative to standard transfer-learning baselines.