Perturbed Pricing
Computer Science and Game Theory
2020-10-26 v1 Optimization and Control
Statistics Theory
Applications
Statistics Theory
Abstract
We propose a simple randomized rule for the optimization of prices in revenue management with contextual information. It is known that the certainty equivalent pricing rule, albeit popular, is sub-optimal. We show that, by allowing a small amount of randomization around these certainty equivalent prices, the benefits of optimal pricing and low regret are achievable.
Cite
@article{arxiv.2010.12300,
title = {Perturbed Pricing},
author = {Neil Walton and Yuqing Zhang},
journal= {arXiv preprint arXiv:2010.12300},
year = {2020}
}
Comments
25 pages, 4 figures