Related papers: Intertemporal Price Discrimination with Time-Varyi…
This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…
An increasing number of applications require to recognize the class of an incoming time series as quickly as possible without unduly compromising the accuracy of the prediction. In this paper, we put forward a new optimization criterion…
We introduce a general model of resource allocation with customer choice. In this model, there are multiple resources that are available over a finite horizon. The resources are non-replenishable and perishable. Each unit of a resource can…
A monopolistic seller aims to sell an indivisible item to multiple potential buyers. Each buyer's valuation depends on their private type and the item's quality. The seller can observe the quality but it is unknown to buyers. This quality…
Motivated by the application of real-time pricing in e-commerce platforms, we consider the problem of revenue-maximization in a setting where the seller can leverage contextual information describing the customer's history and the product's…
A seller sells an object over time but is uncertain how the buyer learns their willingness-to-pay. We consider informational robustness under \textit{limited commitment}, where the seller offers a price \textit{each period} to maximize…
The interval scheduling problem is one variant of the scheduling problem. In this paper, we propose a novel variant of the interval scheduling problem, whose definition is as follows: given jobs are specified by their {\em release times},…
We study the dynamic pricing problem faced by a monopolistic retailer who sells a storable product to forward-looking consumers. In this framework, the two major pricing policies (or mechanisms) studied in the literature are the…
We study revenue optimization pricing algorithms for repeated posted-price auctions where a seller interacts with a single strategic buyer that holds a fixed private valuation. We show that, in the case when both the seller and the buyer…
Markov decision processes (MDPs) are standard models for probabilistic systems with non-deterministic behaviours. Long-run average rewards provide a mathematically elegant formalism for expressing long term performance. Value iteration (VI)…
This paper proposes a two-stage pricing strategy for nondurable (such as typical electronics) products, where retail price is cut down at certain time points of the product lifecycle. We consider learning effect of electronic products that,…
We consider a nonlinear pricing environment with private information. We provide profit guarantees (and associated mechanisms) that the seller can achieve across all possible distributions of willingness to pay of the buyers. With a…
We study an online contextual dynamic pricing problem, where customers decide whether to purchase a product based on its features and price. We introduce a novel approach to modeling a customer's expected demand by incorporating…
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…
Selling a perfectly divisible item to potential buyers is a fundamental task with apparent applications to pricing communication bandwidth and cloud computing services. Surprisingly, despite the rich literature on single-item auctions,…
We address a dynamic pricing problem for airlines aiming to maximize expected revenue from selling cargo space on a single-leg flight. The cargo shipments' weight and volume are uncertain and their precise values remain unavailable at the…
Value functions arise as a component of algorithms as well as performance metrics in statistics and engineering applications. Computation of the associated Bellman equations is numerically challenging in all but a few special cases. A…
We evaluate the average waiting time between observing the price of financial markets and the next price change, especially in an on-line foreign exchange trading service for individual customers via the internet. Basic technical idea of…
Given a batch of human computation tasks, a commonly ignored aspect is how the price (i.e., the reward paid to human workers) of these tasks must be set or varied in order to meet latency or cost constraints. Often, the price is set…
A company provides a service at different time slots, each slot being endowed with a capacity. A non-atomic population of users is willing to purchase this service. The population is modeled as a continuous measure over the preferred times.…