Dynamic pricing with a poisson bandit model

Sequential Analysis

Volumn 26, Issue 4, 2007, Pages 355-365

  Wang, Xikui ^a  

^a UNIVERSITY OF MANITOBA   (Canada)

Author keywords

Bandit process; Bayesian method; Compound Poisson process; Gittins index; Markov decision processes; Optimal strategy; Play the winner rule

Indexed keywords

BANDIT PROCESS; BAYESIAN METHODS; COMPOUND POISSON PROCESS; GITTINS INDEX; MARKOV DECISION PROCESSES; OPTIMAL STRATEGIES; PLAY-THE-WINNER RULE;

BAYESIAN NETWORKS; ECONOMICS; FUNCTIONS; MARKOV PROCESSES; OPTIMIZATION; POISSON DISTRIBUTION;

COSTS;

EID: 35648939255     PISSN: 07474946     EISSN: 15324176     Source Type: Journal    
DOI: 10.1080/07474940701620808     Document Type: Conference Paper

References (5)

1. Berry, D. A. and Fristedt, B. (1985). Bandit Problems: Sequential Allocation of Experiments, London: Chapman and Hall.
2. Ghosh, M., Mukhopadhyay, N., and Sen, P. K. (1997). Sequential Estimation, New York: Wiley.
3. Gittins, J. C. (1989). Multi-Armed Bandit Allocation Indices, Chichester: Wiley.
4. Puterman, M. L. (2005). Markov Decision Processes: Discrete Stochastic Dynamic Programming, New York: Wiley.
5. Rothschild, M. (1974). A Two-Armed Bandit Theory of Market Pricing, Journal of Economic Theory 9: 185-202.