Related papers: Demand Response Under Stochastic, Price-Dependent …
We study competitive dynamic pricing among multiple sellers, motivated by the rise of large-scale experimentation and algorithmic pricing in retail and online marketplaces. Sellers repeatedly set prices using simple learning rules and…
We consider a sequential decision making process, such as renewable energy trading or electrical production scheduling, whose outcome depends on the future realization of a random factor, such as a meteorological variable. We assume that…
Modern market management systems continue to evolve due to the intentions to improve system security and reliability. This evolvement has been leading to a transition of market auction models from a deterministic structure with…
Same-day delivery for e-commerce has become a popular service. Companies usually offer several time delivery options with the earliest one being next hour delivery. Due to tight delivery deadlines and thin margins, companies often find it…
We consider a profit maximization problem in an urban mobility on-demand service, of which the operator owns a fleet, provides both exclusive and shared trip services, and dynamically determines prices of offers. With knowledge of the…
We investigate the problem of serving deferrable and nondeferrable electric demands with colocated stochastic supply and grid-imported electricity. Deferrable demands arrive randomly and can be delayed within their service deadlines.…
The increase of renewables in the grid and the volatility of the load create uncertainties in the day-ahead prices of electricity markets. Adaptive robust optimization (ARO) and stochastic optimization have been used to make commitment and…
In this paper, we propose and study the effectiveness of customer engagement plans that clearly specify the amount of intervention in customer's load settings by the grid operator for peak load reduction. We suggest two different types of…
In response to the increasing deployment of battery storage systems for cost reduction and grid stress mitigation, this study presents the development of a new real-time Markov decision process model to efficiently schedule battery systems…
In this paper we introduce the problem of dynamic pricing of power for smart-grid networks. This is studied within a network utility maximization (NUM) framework in a deterministic setting with a single provider, multiple users and a finite…
In multi-period stochastic optimization problems, the future optimal decision is a random variable whose distribution depends on the parameters of the optimization problem. We analyze how the expected value of this random variable changes…
This paper investigates the problem of tracking solutions of stochastic optimization problems with time-varying costs that depend on random variables with decision-dependent distributions. In this context, we propose the use of an online…
In this paper we present an end-to-end framework for addressing the problem of dynamic pricing (DP) on E-commerce platform using methods based on deep reinforcement learning (DRL). By using four groups of different business data to…
Building on a prominent agent-based model, we present a new structural stochastic volatility asset pricing model of fundamentalists vs. chartists where the prices are determined based on excess demand. Specifically, this allows for…
We propose and analyze numerically a simple dynamical model that describes the firm behaviors under uncertainty of demand forecast. Iterating this simple model and varying some parameters values we observe a wide variety of market dynamics…
Dynamic pricing is a promising strategy to address the challenges of smart charging, as traditional time-of-use (ToU) rates and stationary pricing (SP) do not dynamically react to changes in operating conditions, reducing revenue for…
Dynamic pricing of goods in a competitive environment to maximize revenue is a natural objective and has been a subject of research over the years. In this paper, we focus on a class of markets exhibiting the substitutes property with…
We consider the revenue management problem of finding profit-maximising prices for delivery time slots in the context of attended home delivery. This multi-stage optimal control problem admits a dynamic programming formulation that is…
The prospective participation of smart buildings in the electricity system is strongly related to the increasing active role of demand-side resources in the electrical grid. In addition, the growing penetration of smart meters and recent…
We construct an utility-based dynamic asset pricing model for a limit order market. The price is nonlinear in volume and subject to market impact. We solve an optimal hedging problem under the market impact and derive the dynamics of the…