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A retention strategy based on an enlightened lapse model is a powerful profitabilitylever for a life insurer. Some machine learning models are excellent at predicting lapse,but from the insurer's perspective, predicting which policyholder…
Algorithmic pricing raises a question of interpretation as well as intervention: when autonomous deep-learning pricing systems sustain supracompetitive prices, what strategic pattern have they learned, and how might market institutions…
The growing penetration of electric vehicles (EVs) significantly changes typical load curves in smart grids. With the development of fast charging technology, the volatility of EV charging demand is increasing, which requires additional…
The high increase in the number of companies competing in mature markets makes customer retention an important factor for any company to survive. Thus, many methodologies (e.g., data mining and statistics) have been proposed to analyse and…
This paper proposes a scenario-based framework for predictive maintenance scheduling under uncertainty in a finite planning horizon. The considered setting involves multiple assets for which maintenance decisions are informed by three…
We study online interval scheduling in the irrevocable setting, where each interval must be immediately accepted or rejected upon arrival. The objective is to maximize the total length of accepted intervals while ensuring that no two…
Portfolio optimization in real-world financial markets is notoriously difficult due to non-stationarity, noisy data, and high transaction costs. Standard predict-then-optimize methods first forecast returns and then solve for weights,…
The stochastic knapsack has been used as a model in wide ranging applications from dynamic resource allocation to admission control in telecommunication. In recent years, a variation of the model has become a basic tool in studying problems…
We develop a novel observation-driven model for high-frequency prices. We account for irregularly spaced observations, simultaneous transactions, discreteness of prices, and market microstructure noise. The relation between trade durations…
Unexpected advertising items in sponsored search may reduce users' reliance on organic search, resulting in hidden cost for the e-commerce platform. To address this problem and promote sustainable growth, we propose a dynamic reserve price…
In sponsored content and service markets, the content and service providers are able to subsidize their target mobile users through directly paying the mobile network operator, to lower the price of the data/service access charged by the…
Rolling forecasts have been almost overlooked in the renewable energy storage literature. In this paper, we provide a new approach for handling uncertainty not just in the accuracy of a forecast, but in the evolution of forecasts over time.…
In this paper, we study multiple problems from sponsored product optimization in ad system, including position-based de-biasing, click-conversion multi-task learning, and calibration on predicted click-through-rate (pCTR). We propose a…
Congestion game is a widely used model for modern networked applications. A central issue in such applications is that the selfish behavior of the participants may result in resource overloading and negative externalities for the system…
We study the robust sequential screening problem of a monopolist seller of multiple cloud computing services facing a buyer who has private information about his demand distribution for these services. At the time of contracting, the buyer…
In this paper, we solve the multiple product price optimization problem under interval uncertainties of the price sensitivity parameters in the demand function. The objective of the price optimization problem is to maximize the overall…
A data-driven approach called CaNN (Calibration Neural Network) is proposed to calibrate financial asset price models using an Artificial Neural Network (ANN). Determining optimal values of the model parameters is formulated as training…
With the fast development of Internet companies throughout the world, customer churn has become a serious concern. To better help the companies retain their customers, it is important to build a customer churn prediction model to identify…
We study the optimal dynamic pricing of an expiring ticket or voucher, sold by a time-sensitive seller to strategic buyers who arrive stochastically with private values. The expiring nature creates a conflict: the seller's urgency to sell…