Dynamic pricing with online learning and strategic consumers: An application of the aggregating algorithm

Operations Research

Volumn 57, Issue 2, 2009, Pages 327-341

  Levina, Tatsiana ^a   Levin, Yuri ^a   McGill, Jeff ^a   Nediak, Mikhail ^a  

^a QUEEN S UNIVERSITY   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

CONSUMER CHOICES; CONSUMER DEMANDS; DEMAND MODELS; DYNAMIC PRICING; LEARNING PROCEDURES; NUMERICAL EXPERIMENTS; NUMERICAL IMPLEMENTATIONS; ON-LINE LEARNING; PERISHABLE PRODUCTS; PRICING POLICIES; SAMPLE DISTRIBUTIONS; SIMULATION-BASED;

COMMERCE; COMPETITION; COSTS; EDUCATION; INTERNET; RANDOM PROCESSES; SALES;

LEARNING ALGORITHMS;

EID: 65349151940     PISSN: 0030364X     EISSN: 15265463     Source Type: Journal    
DOI: 10.1287/opre.1080.0577     Document Type: Article

References (28)

1. Assuncao, J., R. Meyer. 1993. The rational effect of price promotions on sales and consumption. Management Sci. 39(5) 517-535.
2. Aviv, Y., A. Pazgal. 2005a. Pricing of short-cycle products through active learning. Working paper, Washington University, St. Louis.
3. Aviv, Y., A. Pazgal. 2005b. A partially observed Markov decision process for dynamic pricing. Management Sci. 51(9) 1400-1416.
4. Aviv, Y, A. Pazgal. 2008. Optimal pricing of seasonal products in the presence of forward-looking consumers. Manufacturing Service Oper. Management 10(3) 339-359.
5. Balvers, R., T. Cosimano. 1990. Actively learning about demand and the dynamics of price adjustment. Econom. J. 100 882-898.
6. Bertsimas, D., G. Perakis. 2006. Dynamic pricing: A learning approach. Mathematical and Computational Models for Congestion Charging, Vol. 101. Applied Optimization. Springer, New York, 45-79.
7. Besanko, D., W. Winston. 1990. Optimal price skimming by a monopolist facing rational consumers. Management Sci. 36(5) 555-567.
8. Besbes, O., A. Zeevi. 2007. Blind network revenue management. Working paper, Columbia University, New York.
9. Bitran, G., R. Caldentey. 2003. An overview of pricing models for revenue management. Manufacturing Sen'ice Oper. Management 5(3) 203-229.
10. Carvalho, A., M. Puterman. 2005. Learning and pricing in an Internet environment with binomial demand. J. Revenue Pricing Management 3(4) 320-336.
11. Conn, A., K. Scheinberg, P. Toint. 1997. Recent progress in unconstrained nonlinear optimization without derivatives. Math. Programming 79(1-3, Ser. B) 397-414.
12. Cover, T. 1991. Universal portfolios. Math. Finance 1 1-29.
13. Elmaghraby, W., P. Keskinocak. 2003. Dynamic pricing in the presence of inventory considerations: Research overview, current practices and future directions. Management Sci. 49(10) 1287-1309.
14. Elmaghraby, W., A. Guleii, P. Keskinocak. 2008. Designing optimal pre- announced markdowns in the presence of rational customers with multi-unit demands. Manufacturing Service Oper. Management 10(1) 126-148.
15. Gallego, G., G. van Ryzin. 1994. Optimal dynamic pricing of inventories with stochastic demand over finite horizons. Management Sci. 40(8) 999-1020.
16. Levin, Y., J. McGill, M. Nediak. 2005. Optimal dynamic pricing of perishable items by a monopolist facing strategic consumers. Working paper, Queen's University, Kingston, Ontario, Canada.
17. Levina, T. 2004. Using the aggregating algorithm for portfolio selection. Ph.D. thesis, Rutgers University, Newark, NJ.
18. Levina, T. 2006. Online methods for portfolio selection. K. Voges, N. Pope, eds. Business Applications and Computational Intelligence. Idea Group, Inc., Hershey, PA, 431-459. Lin, K. 2006. Dynamic pricing with real-time demand learning. Eur. J. Oper: Res. 174(1) 522-538.
19. Liu, Q., G. van Ryzin. 2008. Strategic capacity rationing to induce early purchases. Management Sci. 54(6) 1115-1131.
20. McGill, J., G. van Ryzin. 1999. Revenue management: Research overview and prospects. Transportation Sci. 33(2) 233-256.
21. Petruzzi, N., M. Dada. 2002. Dynamic pricing and inventory control with learning. Naval Res. Logist. 49 303-325.
22. Phillips, R. 2005. Pricing and Revenue Optimization. Stanford University Press, Stanford, CA.
23. Shaked, M., I. Shanthikumar. 1994. Stochastic Orders and Their Applications. Probability and Mathematical Statistics. Academic Press, Boston.
24. Su, X. 2007. Inter-temporal pricing with strategic customer behavior. Management Sci. 53(5) 726-741.
25. Sutton, R., A. Barto. 1998. Reinforcement Learning: An Introduction. MIT Press, Boston.
26. Talluri, K., G. van Ryzin. 2004. The Theory and Practice of Revenue Management. Kluwer Academic Publishers, Norwell, MA.
27. Vovk, V. 1990. Aggregating strategies. Proc. Third Annual Workshop on Computational Learning Theoiy. Morgan Kaufmann, San Mateo, CA, 371-383.
28. Vovk, V. 1999. Derandomizing stochastic prediction strategies. Machine Learning 35 247-282.