Related papers: An exact pricing algorithm for revenue maximizatio…

Devising dynamic pricing policy with always valid online statistical learning procedure is an important and as yet unresolved problem. Most existing dynamic pricing policy, which focus on the faithfulness of adopted customer choice models,…

We consider a revenue maximization model, in which a company aims at designing a menu of contracts, given a population of customers. A standard approach consists in constructing an incentive-compatible continuum of contracts, i.e., a menu…

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…

We consider a periodical equilibrium pricing problem for multiple firms over a planning horizon of T periods. At each period, firms set their selling prices and receive stochastic demand from consumers. Firms do not know their underlying…

We consider the problem of learning from revealed preferences in an online setting. In our framework, each period a consumer buys an optimal bundle of goods from a merchant according to her (linear) utility function and current prices,…

We study envy-free pricing mechanisms in matching markets with $m$ items and $n$ budget constrained buyers. Each buyer is interested in a subset of the items on sale, and she appraises at some single-value every item in her preference-set.…

We describe an approximate dynamic programming approach to compute lower bounds on the optimal value function for a discrete time, continuous space, infinite horizon setting. The approach iteratively constructs a family of lower bounding…

This article presents a detailed technical framework for modeling with Bertrand-Nash equilibrium prices under Mixed Logit demand. Two coercive fixed-point equations provide more stable computational methods than those obtained from the…

We provide an explicit characterization of the optimal market making strategy in a discrete-time Limit Order Book (LOB). In our model, the number of filled orders during each period depends linearly on the distance between the fundamental…

A price-maker company extracts an exhaustible commodity from a reservoir, and sells it instantaneously in the spot market. In absence of any actions of the company, the commodity's spot price evolves either as a drifted Brownian motion or…

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…

We consider a novel pricing and advertising framework, where a seller not only sets product price but also designs flexible 'advertising schemes' to influence customers' valuation of the product. We impose no structural restriction on the…

We study a finite-horizon dynamic pricing problem for event tickets with limited inventory and time-varying demand. The central practical difficulty is that the total demand function $L(t)$ is not observed directly and must be estimated…

This paper tackles challenges in pricing and revenue projections due to consumer uncertainty. We propose a novel data-based approach for firms facing unknown consumer type distributions. Unlike existing methods, we assume firms only observe…

We consider a robust version of the revenue maximization problem, where a single seller wishes to sell $n$ items to a single unit-demand buyer. In this robust version, the seller knows the buyer's marginal value distribution for each item…

We investigate online pricing in two-sided markets where a platform repeatedly posts prices based on binary accept/reject feedback to maximize gains-from-trade (GFT) or profit. We characterize the regret achievable across three mechanism…

There is an opportunity in modern power systems to explore the demand flexibility by incentivizing consumers with dynamic prices. In this paper, we quantify demand flexibility using an efficient tool called time-varying elasticity, whose…

This paper examines whether one can learn to play an optimal action while only knowing part of true specification of the environment. We choose the optimal pricing problem as our laboratory, where the monopolist is endowed with an…

We study the pricing behavior of third-party platforms facing strategic agents. Assuming the platform is a revenue maximizer, it observes market features that generally affect demand. Since only the equilibrium price and quantity are…

One of the most celebrated results in mechanism design is Myerson's characterization of the revenue optimal auction for selling a single item. However, this result relies heavily on the assumption that buyers are indifferent to risk. In…