Related papers: Estimating profitable price bounds for prescriptiv…
We consider the problem of identifying the most profitable product design from a finite set of candidates under unknown consumer preference. A standard approach to this problem follows a two-step strategy: First, estimate the preference of…
In applications of imprecise probability, analysts must compute lower (or upper) expectations, defined as the infimum of an expectation over a set of parameter values. Monte Carlo methods consistently approximate expectations at fixed…
Predictive process monitoring is concerned with the analysis of events produced during the execution of a process in order to predict the future state of ongoing cases thereof. Existing techniques in this field are able to predict, at each…
In the multi-unit pricing problem, multiple units of a single item are for sale. A buyer's valuation for $n$ units of the item is $v \min \{ n, d\} $, where the per unit valuation $v$ and the capacity $d$ are private information of the…
A limit order book provides information on available limit order prices and their volumes. Based on these quantities, we give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that…
Cutting plane methods, particularly outer approximation, are a well-established approach for solving nonlinear discrete optimization problems without relaxing the integrality of decision variables. While powerful in theory, their…
In this paper we introduce a completely continuous and time-variate model of the evolution of market limit orders based on the existence, uniqueness, and regularity of the solutions to a type of stochastic partial differential equations…
The manufacturing industry is under growing pressure to enhance sustainability while preserving economic competitiveness. As a result, manufacturers have been trying to determine how to integrate onsite renewable energy and real-time…
Traditional recommendation systems make recommendations based solely on the customer's past purchases, product ratings and demographic data without considering the profitability the items being recommended. In this work we study the…
Pricing financial or real options with arbitrary payoffs in regime-switching models is an important problem in finance. Mathematically, it is to solve, under certain standard assumptions, a general form of optimal stopping problems in…
We consider a dynamic pricing problem where customer response to the current price is impacted by the customer price expectation, aka reference price. We study a simple and novel reference price mechanism where reference price is the…
The fast growth of communication technology within the concept of smart grids can provide data and control signals from/to all consumers in an online fashion. This could foster more participation for end-user customers. These types of…
In today's online advertising markets, it is common for advertisers to set long-term budgets. Correspondingly, advertising platforms adopt budget control methods to ensure that advertisers' payments lie within their budgets. Most budget…
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…
The need for control strategies that can address dynamic system uncertainty is becoming increasingly important. In this work, we propose a Model Predictive Control by quantifying the risk of failure in our system model. The proposed control…
State-of-the-art methods in convex and non-convex optimization employ higher-order derivative information, either implicitly or explicitly. We explore the limitations of higher-order optimization and prove that even for convex optimization,…
We consider the problem of a firm seeking to use personalized pricing to sell an exogenously given stock of a product over a finite selling horizon to different consumer types. We assume that the type of an arriving consumer can be observed…
We consider dynamic pricing with many products under an evolving but low-dimensional demand model. Assuming the temporal variation in cross-elasticities exhibits low-rank structure based on fixed (latent) features of the products, we show…
As Internet-based commerce becomes increasingly widespread, large data sets about the demand for and pricing of a wide variety of products become available. These present exciting new opportunities for empirical economic and business…
Many smart grid frameworks, such as demand response programs, require accurate information about consumers' parameters (e.g., flexibility) at the aggregator side to optimize grid operations. Existing works typically rely on perfect…