Related papers: Robust Product-line Pricing under Generalized Extr…
We present tight bounds and heuristics for personalized, multi-product pricing problems. Under mild conditions we show that the best price in the direction of a positive vector results in profits that are guaranteed to be at least as large…
The multidimensional Uncertain Volatility Model leads to robust option pricing problems under joint volatility and correlation uncertainty. Their numerical resolution quickly becomes challenging because the associated stochastic control…
The assortment planning problem is a central piece in the revenue management strategy of any company in the retail industry. In this paper, we study a robust assortment optimization problem for substitutable products under a sequential…
The problem of allocating scarce items to individuals is an important practical question in market design. An increasingly popular set of mechanisms for this task uses the concept of market equilibrium: individuals report their preferences,…
This paper studies robust variants of an extended model of the classical Heterogeneous Vehicle Routing Problem (HVRP), where a mixed fleet of vehicles with different capacities, availabilities, fixed costs and routing costs is used to serve…
A popular approach for addressing uncertainty in variational inequality problems is by solving the expected residual minimization (ERM) problem. This avenue necessitates distributional information associated with the uncertainty and…
We study assortment and price optimization under the generalized nested logit (GNL) model, one of the most general and flexible modeling frameworks in discrete choice modeling. Despite its modeling advantages, optimization under GNL is…
We study procurement design when the buyer is uncertain about both the value of the good and the seller's cost. The buyer has a conjectured model but does not fully trust it. She first identifies mechanisms that maximize her worst-case…
We propose a new Robust Optimization method for the energy offering problem of a price-taker generating company that wants to build offering curves for its generation units, in order to maximize its profit while taking into account the…
Price differentiation is a common strategy in many markets. In this paper, we study a static multiproduct price optimization problem with demand given by a discrete mixed multinomial logit model. By considering a mixed logit model that…
We explore a multiple-stage variant of the min-max robust selection problem with budgeted uncertainty that includes queries. First, one queries a subset of items and gets the exact values of their uncertain parameters. Given this…
In robust decision-making under non-Bayesian uncertainty, different robust optimization criteria, such as maximin performance, minimax regret, and maximin ratio, have been proposed. In many problems, all three criteria are well-motivated…
We study deterministic monopoly pricing under partial knowledge of the market, where the seller has access only to summary statistics of the valuation distribution, such as the mean, dispersion, and maximum value. Using tools from…
We study a robust selling problem where a seller attempts to sell one item to a buyer but is uncertain about the buyer's valuation distribution. Existing literature shows that robust screening provides a stronger theoretical guarantee than…
In the frictionless discrete time financial market of Bouchard et al.(2015) we consider a trader who, due to regulatory requirements or internal risk management reasons, is required to hedge a claim $\xi$ in a risk-conservative way relative…
In this paper we consider multidimensional mechanism design problem for selling discrete substitutable items to a group of buyers. Previous work on this problem mostly focus on stochastic description of valuations used by the seller.…
Robust and distributionally robust optimization are modeling paradigms for decision-making under uncertainty where the uncertain parameters are only known to reside in an uncertainty set or are governed by any probability distribution from…
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…
Accounting for model uncertainty in risk management and option pricing leads to infinite dimensional optimization problems which are both analytically and numerically intractable. In this article we study when this hurdle can be overcome…
We study the robust sequential screening problem of a monopolist seller of multiple cloud computing services facing a buyer who has private information about his demand distribution for these services. At the time of contracting, the buyer…