Related papers: Optimal Dynamic Mechanism Design with Stochastic S…
We consider a scenario where a retailer can set different prices for different consumers in a smart grid. The retailer's objective is to maximize the revenue, minimize the operating cost, and maximize the consumer's welfare. The retailer…
Production logistics has an important role as a chain that connects the components of the production system. The most important goal of production logistics plans is to keep the flow of the production system well. However, compared to the…
We consider the problem of dynamic pricing with limited supply. A seller has $k$ identical items for sale and is facing $n$ potential buyers ("agents") that are arriving sequentially. Each agent is interested in buying one item. Each…
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…
We study consumer demand in large-scale retail settings with many products, multiple categories and repeated purchase behavior. While inertia and brand loyalty are well documented, existing discrete choice models typically focus on single…
Dynamic pricing is the practice of adjusting the selling price of a product to maximize a firm's revenue by responding to market demand. The literature typically distinguishes between two settings: infinite inventory, where the firm has…
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…
This paper presents a dynamic pricing and energy management framework for electric vehicle (EV) charging service providers. To set the charging prices, the service providers faces three uncertainties: the volatility of wholesale electricity…
We study the problem of multi-dimensional revenue maximization when selling $m$ items to a buyer that has additive valuations for them, drawn from a (possibly correlated) prior distribution. Unlike traditional Bayesian auction design, we…
We propose a framework for studying optimal market making policies in a limit order book (LOB). The bid-ask spread of the LOB is modelled by a Markov chain with finite values, multiple of the tick size, and subordinated by the Poisson…
In an electric power system, demand fluctuations may result in significant ancillary cost to suppliers. Furthermore, in the near future, deep penetration of volatile renewable electricity generation is expected to exacerbate the variability…
We consider the optimal allocation of generic resources among multiple generic entities of interest over a finite planning horizon, where each entity generates stochastic returns as a function of its resource allocation during each period.…
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…
In dynamic programming and reinforcement learning, the policy for the sequential decision making of an agent in a stochastic environment is usually determined by expressing the goal as a scalar reward function and seeking a policy that…
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…
This paper focuses on price-based residential demand response implemented through dynamic adjustments of electricity prices during DR events. It extends existing DR models to a stochastic framework in which customer response is represented…
In this paper, the problem of smart grid energy management under stochastic dynamics is investigated. In the considered model, at the demand side, it is assumed that customers can act as prosumers who own renewable energy sources and can…
A mechanism is described that addresses the fundamental trade off between media producers who want to increase reach and consumers who provide attention based on the rate of utility received, and where overreach negatively impacts that…
We consider a stochastic optimal control problem in a market model with temporary and permanent price impact, which is related to an expected utility maximization problem under finite fuel constraint. We establish the initial condition…
In this paper, we formulate an optimal ordering policy as a stochastic control problem where each firm decides the amount of input goods to order from their upstream suppliers based on the current inventory level of its output good. For…