Related papers: An exact algorithm for the static pricing problem …
This paper discusses the revenue management (RM) problem to maximize revenue by pricing items or services. One challenge in this problem is that the demand distribution is unknown and varies over time in real applications such as airline…
We present a novel method for mixed-integer optimization problems with multivariate and Lipschitz continuous nonlinearities. In particular, we do not assume that the nonlinear constraints are explicitly given but that we can only evaluate…
Motivated by e-commerce, we study the online assortment optimization problem. The seller offers an assortment, i.e. a subset of products, to each arriving customer, who then purchases one or no product from her offered assortment. A…
We consider nonlinear model predictive control (MPC) with multiple competing cost functions. In each step of the scheme, a multiobjective optimal control problem with a nonlinear system and terminal conditions is solved. We propose an…
Topology optimization problems often support multiple local minima due to a lack of convexity. Typically, gradient-based techniques combined with continuation in model parameters are used to promote convergence to more optimal solutions;…
This paper proposes a hybrid approach to optimal day-ahead pricing for demand response management. At the customer-side, compared with the existing work, a detailed, comprehensive and complete energy management system, which includes all…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
We model a market in which nonstrategic vendors sell items of different types and offer bundles at discounted prices triggered by demand volumes. Each buyer acts strategically in order to maximize her utility, given by the difference…
This article presents a proof of the existence of Bertrand-Nash equilibrium prices with multi-product firms and under the Logit model of demand that does not rely on restrictive assumptions on product characteristics, firm homogeneity or…
This paper presents a novel deep learning framework for solving multiple optimal stopping problems in high dimensions. While deep learning has recently shown promise for single stopping problems, the multiple exercise case involves complex…
This paper studies the problem of steering the distribution of a discrete-time dynamical system from an initial distribution to a target distribution in finite time. The formulation is fully nonlinear, allowing the use of general control…
In this paper we introduce the problem of dynamic pricing of power for smart-grid networks. This is studied within a network utility maximization (NUM) framework in a deterministic setting with a single provider, multiple users and a finite…
Production planning must account for uncertainty in a production system, arising from fluctuating demand forecasts. Therefore, this article focuses on the integration of updated customer demand into the rolling horizon planning cycle. We…
In several multiobjective decision problems Pairwise Comparison Matrices (PCM) are applied to evaluate the decision variants. The problem that arises very often is the inconsistency of a given PCM. In such a situation it is important to…
In distributed optimization and iterative consensus literature, a standard problem is for $N$ agents to minimize a function $f$ over a subset of Euclidean space, where the cost function is expressed as a sum $\sum f_i$. In this paper, we…
The share-of-choice product design (SOCPD) problem is to find the product, as defined by its attributes, that maximizes market share arising from a collection of customer types or segments. When customers follow a logit model of choice, the…
In the present article we propose a mixed-integer approximation of adjustable-robust optimization (ARO) problems, that have both, continuous and discrete variables on the lowest level. As these trilevel problems are notoriously hard to…
A fundamental economic question is that of designing revenue-maximizing mechanisms in dynamic environments. This paper considers a simple yet compelling market model to tackle this question, where forward-looking buyers arrive at the market…
We consider a general class of two-stage distributionally robust optimization (DRO) problems where the ambiguity set is constrained by fixed marginal probability laws that are not necessarily discrete. We derive primal and dual formulations…
Demand response for residential users is essential to the realization of modern smart grids. This paper proposes a multiobjective approach to designing a demand response program that considers the energy costs of residential users and the…