Related papers: Dynamic Pricing for Air Cargo Revenue Management
We consider a general class of dynamic resource allocation problems within a stochastic optimal control framework. This class of problems arises in a wide variety of applications, each of which intrinsically involves resources of different…
We introduce a generic solver for dynamic portfolio allocation problems when the market exhibits return predictability, price impact and partial observability. We assume that the price modeling can be encoded into a linear state-space and…
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…
Within a decade, almost every major auto company, along with fleet operators such as Uber, have announced plans to put autonomous vehicles on the road. At the same time, electric vehicles are quickly emerging as a next-generation technology…
In this paper, we present long-awaited algorithmic advances toward the efficient construction of near-optimal replenishment policies for a true inventory management classic, the economic warehouse lot scheduling problem. While this paradigm…
Rapidly generating an optimal chasing motion of a drone to follow a dynamic target among obstacles is challenging due to numerical issues rising from multiple conflicting objectives and non-convex constraints. This study proposes to resolve…
We consider the problem of choosing prices of a set of products so as to maximize profit, taking into account self-elasticity and cross-elasticity, subject to constraints on the prices. We show that this problem can be formulated as…
We consider robust pricing and hedging for options written on multiple assets given market option prices for the individual assets. The resulting problem is called the multi-marginal martingale optimal transport problem. We propose two…
Motivated by posted price auctions where buyers are grouped in an unknown number of latent types characterized by their private values for the good on sale, we investigate revenue maximization in stochastic dynamic pricing when the…
We consider a monopolist seller with $n$ heterogeneous items, facing a single buyer. The buyer has a value for each item drawn independently according to (non-identical) distributions, and her value for a set of items is additive. The…
In recent years, information relaxation and duality in dynamic programs have been studied extensively, and the resulted primal-dual approach has become a powerful procedure in solving dynamic programs by providing lower-upper bounds on the…
In this paper we study a continuous time stochastic inventory model for a commodity traded in the spot market and whose supply purchase is affected by price and demand uncertainty. A firm aims at meeting a random demand of the commodity at…
We consider the problem of maximizing the expected revenue from selling $k$ homogeneous goods to $n$ unit-demand buyers who arrive sequentially with independent and identically distributed valuations. In this setting the optimal posted…
Most work in mechanism design assumes that buyers are risk neutral; some considers risk aversion arising due to a non-linear utility for money. Yet behavioral studies have established that real agents exhibit risk attitudes which cannot be…
We consider markets consisting of a set of indivisible items, and buyers that have {\em sharp} multi-unit demand. This means that each buyer $i$ wants a specific number $d_i$ of items; a bundle of size less than $d_i$ has no value, while a…
This paper studies the problem of optimal flow control in dynamic inventory systems. A dynamic optimal distribution problem, including time-varying supply and demand, capacity constraints on the transportation lines, and convex flow cost…
We build the time series of optimal realized portfolio weights from high-frequency data and we suggest a novel Dynamic Conditional Weights (DCW) model for their dynamics. DCW is benchmarked against popular model-based and model-free…
This paper deals with a problem of production planning, which is a version of the capacitated single-item lot sizing problem with backordering under demand uncertainty, modeled by uncertain cumulative demands. The well-known interval…
Electric vehicles (EVs) are being rapidly adopted due to their economic and societal benefits. Autonomous mobility-on-demand (AMoD) systems also embrace this trend. However, the long charging time and high recharging frequency of EVs pose…
We consider decision-making problems under decision-dependent uncertainty (DDU), where the distribution of uncertain parameters depends on the decision variables and is only observable through a finite offline dataset. To address this…