Related papers: Some Mathematical Aspects of Price Optimisation

We consider partially observable Markov decision processes (POMDPs) with a set of target states and every transition is associated with an integer cost. The optimization objective we study asks to minimize the expected total cost till the…

We consider the multi-period portfolio optimization problem with a single asset that can be held long or short. Due to the presence of transaction costs, maximizing the immediate reward at each period may prove detrimental, as frequent…

Variable annuities, as a class of retirement income products, allow equity market exposure for a policyholder's retirement fund with electable additional guarantees to limit the downside risk of the market. Management fees and guarantee…

When sales of a product are affected by randomness in demand, retailers can use dynamic pricing strategies to maximise their profits. In this article the pricing problem is formulated as a stochastic optimal control problem, where the…

We study a mathematical model for the optimization of the price of real estate (RE). This model can be characterised by a limited amount of goods, fixed sales horizon and presence of intermediate sales and revenue goals. We develop it as an…

The optimal objective is a fundamental aspect of reinforcement learning (RL), as it determines how policies are evaluated and optimized. While total return maximization is the ideal objective in RL, discounted return maximization is the…

Renewable energy brings huge uncertainties to the power system, which challenges the traditional power system operation with limited flexible resources. One promising solution is to introduce dynamic pricing to more consumers, which, if…

Pricing decisions stand out as one of the most critical tasks a company faces, particularly in today's digital economy. As with other business decision-making problems, pricing unfolds in a highly competitive and uncertain environment.…

Users can arbitrage against Time-of-Use (ToU) pricing with storage by charging in off-peak period and discharge in peak periods. In this paper we design the optimal control policy and the solve optimal investment for general ToU scheme. We…

We investigate upper bounds on the length of cost optimal plans that are valid for problems with 0-cost actions. We employ these upper bounds as horizons for a SAT-based encoding of planning with costs. Given an initial upper bound on the…

We introduce a general framework for continuous-time betting markets, in which a bookmaker can dynamically control the prices of bets on outcomes of random events. In turn, the prices set by the bookmaker affect the rate or intensity of…

Optimal shelflisting invites profit maximization to become sensitive to the ways in which purchasing decisions are order-dependent. We study the computational complexity of the corresponding product arrangement problem when consumers are…

We address the challenging problem of dynamically pricing complementary items that are sequentially displayed to customers. An illustrative example is the online sale of flight tickets, where customers navigate through multiple web pages.…

This paper extends the optimal-trading framework developed in arXiv:2409.03586v1 to compute optimal strategies with real-world constraints. The aim of the current paper, as with the previous, is to study trading in the context of…

Operation management problems (such as Production Planning and Scheduling) are represented and formulated as optimization models. The resolution of such optimization models leads to solutions which have to be operated in an organization.…

This note provides upper bounds on the number of operations required to compute by value iterations a nearly optimal policy for an infinite-horizon discounted Markov decision process with a finite number of states and actions. For a given…

Optimal execution of a portfolio have been a challenging problem for institutional investors. Traders face the trade-off between average trading price and uncertainty, and traditional methods suffer from the curse of dimensionality. Here,…

This paper considers optimal control problem of a large insurance company under a fixed insolvency probability. The company controls proportional reinsurance rate, dividend pay-outs and investing process to maximize the expected present…

In addition to their benefits, optimization systems can have negative economic, moral, social, and political effects on populations as well as their environments. Frameworks like fairness have been proposed to aid service providers in…

We study a sequential decision-making model where a set of items is repeatedly matched to the same set of agents over multiple rounds. The objective is to determine a sequence of matchings that either maximizes the utility of the least…