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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…

The problem of market clearing is to set a price for an item such that quantity demanded equals quantity supplied. In this work, we cast the problem of predicting clearing prices into a learning framework and use the resulting models to…

In this paper, we study the price responsiveness of electricity consumption from empirical commercial and industrial load data obtained from Texas. Employing a dynamical system perspective, we show that price responsive demand can be…

We consider a robust version of the revenue maximization problem, where a single seller wishes to sell $n$ items to a single unit-demand buyer. In this robust version, the seller knows the buyer's marginal value distribution for each item…

Traditional optimal commodity tax analysis, dating back to Ramsey (1927), prescribes that to maximize welfare one should impose higher taxes on goods with lower demand elasticities. Yet policy makers do not stress minimizing efficiency…

The paper [12] examines a concept of equilibrium policies instead of optimal controls in stochastic optimization to analyze a mean-variance portfolio selection problem. We follow the same approach in order to investigate the Merton…

Accurate and fast demand forecast is one of the hot topics in supply chain for enabling the precise execution of the corresponding downstream processes (inbound and outbound planning, inventory placement, network planning, etc). We develop…

Designing models that are both expressive and preserve known invariances of tasks is an increasingly hard problem. Existing solutions tradeoff invariance for computational or memory resources. In this work, we show how to leverage…

In this paper we study the single-item revenue management problem, with no information given about the demand trajectory over time. When the item is sold through accepting/rejecting different fare classes, Ball and Queyranne (2009) have…

Recommendation for e-commerce with a mix of durable and nondurable goods has characteristics that distinguish it from the well-studied media recommendation problem. The demand for items is a combined effect of form utility and time utility,…

In this paper, we consider the revealed preferences problem from a learning perspective. Every day, a price vector and a budget is drawn from an unknown distribution, and a rational agent buys his most preferred bundle according to some…

This paper is concerned with the determination of pricing strategies for a firm that in each period of a finite horizon receives replenishment quantities of a single product which it sells in two markets, e.g., a long-distance market and an…

This paper considers utility indifference valuation of derivatives under model uncertainty and trading constraints, where the utility is formulated as an additive stochastic differential utility of both intertemporal consumption and…

Using established principles from Statistics and Information Theory, we show that invariance to nuisance factors in a deep neural network is equivalent to information minimality of the learned representation, and that stacking layers and…

We study the problem of a seller dynamically pricing $d$ distinct types of indivisible goods, when faced with the online arrival of unit-demand buyers drawn independently from an unknown distribution. The goods are not in limited supply,…

Unfair pricing policies have been shown to be one of the most negative perceptions customers can have concerning pricing, and may result in long-term losses for a company. Despite the fact that dynamic pricing models help companies maximize…

Recently, there has been a growing interest in developing inventory control policies which are robust to model misspecification. One approach is to posit that nature selects a worst-case distribution for any stochastic primitives from some…

Finding the optimal product prices and product assortment are two fundamental problems in revenue management. Usually, a seller needs to jointly determine the prices and assortment while managing a network of resources with limited…

We apply marginal analysis \`a la Bulow and Roberts (1989) to characterize revenue-maximizing selling mechanisms for a multiproduct monopoly. We derive marginal revenue from price perturbations over arbitrary sets of bundles and show that…

Good economic mechanisms depend on the preferences of participants in the mechanism. For example, the revenue-optimal auction for selling an item is parameterized by a reserve price, and the appropriate reserve price depends on how much the…