Related papers: Stochastic optimization for dynamic pricing
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 propose a novel gradient-based online optimization framework for solving stochastic programming problems that frequently arise in the context of cyber-physical and robotic systems. Our problem formulation accommodates constraints that…
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 new method for stochastic control based on neural networks and using randomisation of discrete random variables is proposed and applied to optimal stopping time problems. The method models directly the policy and does not need the…
Motivated by Internet advertising applications, online allocation problems have been studied extensively in various adversarial and stochastic models. While the adversarial arrival models are too pessimistic, many of the stochastic (such as…
For online resource allocation problems, we propose a new demand arrival model where the sequence of arrivals contains both an adversarial component and a stochastic one. Our model requires no demand forecasting; however, due to the…
We study an online learning problem on dynamic pricing and resource allocation, where we make joint pricing and inventory decisions to maximize the overall net profit. We consider the stochastic dependence of demands on the price, which…
This paper considers a distributed stochastic strongly convex optimization, where agents connected over a network aim to cooperatively minimize the average of all agents' local cost functions. Due to the stochasticity of gradient estimation…
A widely used heuristic for solving stochastic optimization problems is to use a deterministic rolling horizon procedure, which has been modified to handle uncertainty (e.g. buffer stocks, schedule slack). This approach has been criticized…
We consider the problem of designing an expected-revenue maximizing mechanism for allocating multiple non-perishable goods of $k$ varieties to flexible consumers over $T$ time steps. In our model, a random number of goods of each variety…
This paper studies the static economic optimization problem of a system with a single aggregator and multiple prosumers in a Real-Time Balancing Market (RTBM). The aggregator, as the agent responsible for portfolio balancing, needs to…
We consider the unconstrained optimization problem whose objective function is composed of a smooth and a non-smooth conponents where the smooth component is the expectation a random function. This type of problem arises in some interesting…
We consider a distributed stochastic optimization problem in networks with finite number of nodes. Each node adjusts its action to optimize the global utility of the network, which is defined as the sum of local utilities of all nodes.…
In this paper we deal with stochastic optimization problems where the data distributions change in response to the decision variables. Traditionally, the study of optimization problems with decision-dependent distributions has assumed…
Lately, personalized marketing has become important for retail/e-retail firms due to significant rise in online shopping and market competition. Increase in online shopping and high market competition has led to an increase in promotional…
We present a simple dynamic equilibrium model for an online exchange where both buyers and sellers arrive according to a exogenously defined stochastic process. The structure of this exchange is motivated by the limit order book mechanism…
This paper aims to motivate stochastic optimization problems from a statistical perspective and a statistical learning perspective, where the goal is to maximize the log-likelihood or minimize the population risk. We briefly describe the…
Distribution shifts have long been regarded as troublesome external forces that a decision-maker should either counteract or conform to. An intriguing feedback phenomenon termed decision dependence arises when the deployed decision affects…
Strategic product placement can have a strong influence on customer purchase behavior in physical stores as well as online platforms. Motivated by this, we consider the problem of optimizing the placement of substitutable products in…
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.…