相关论文: Competitive Robust Dynamic Pricing in Continuous T…

We present a simple dynamic equilibrium model for an online exchange where both buyers and sellers arrive according to a exogenously defined stochastic process. The structure of this exchange is motivated by the limit order book mechanism…

Variational inequality problems allow for capturing an expansive class of problems, including convex optimization problems, convex Nash games and economic equilibrium problems, amongst others. Yet in most practical settings, such problems…

The all-pay auction, a classic competitive model, is widely applied in scenarios such as political elections, sports competitions, and research and development, where all participants pay their bids regardless of winning or losing. However,…

This paper is concerned with personalized pricing models aimed at maximizing the expected revenues or profits for a single item. While it is essential for personalized pricing to predict the purchase probabilities for each consumer, these…

We consider a model of bilateral trade with private values. The value of the buyer and the cost of the seller are jointly distributed. The true joint distribution is unknown to the designer, however, the marginal distributions of the value…

We consider a dynamic pricing problem in network revenue management where customer behavior is predicted by a choice model, i.e., the multinomial logit (MNL) model. The problem, even in the static setting (i.e., customer demand remains…

Globally operating suppliers face the rising challenge of wholesale pricing under scarce data about retail demand, in contrast to better informed, locally operating retailers. At the same time, as local businesses proliferate, markets…

In this paper we present a theoretical framework for determining dynamic ask and bid prices of derivatives using the theory of dynamic coherent acceptability indices in discrete time. We prove a version of the First Fundamental Theorem of…

We consider a general queueing system with price-sensitive customers in which the service provider seeks to balance two objectives, maximizing the average revenue rate and minimizing the average queue length. Customers arrive according to a…

Intermittent demand forecasting is a ubiquitous and challenging problem in production systems and supply chain management. In recent years, there has been a growing focus on developing forecasting approaches for intermittent demand from…

Recoverable robust optimization is a multi-stage approach, where it is possible to adjust a first-stage solution after the uncertain cost scenario is revealed. We analyze this approach for a class of selection problems. The aim is to choose…

Quick response is a widely adopted strategy to mitigate overproduction in the manufacturing industry, yet recent research reveals a counter-intuitive paradox: while it reduces waste from unsold finished goods, it may incentivize firms to…

The assortment planning problem is a central piece in the revenue management strategy of any company in the retail industry. In this paper, we study a robust assortment optimization problem for substitutable products under a sequential…

We analyze the efficiency of markets with friction, particularly power markets. We model the market as a dynamic system with $(d_t;\,t\geq 0)$ the demand process and $(s_t;\,t\geq 0)$ the supply process. Using stochastic differential…

In this paper, we extend and improve the production chain model introduced by Kikuchi et al. (2018). Utilizing the theory of monotone concave operators, we prove the existence, uniqueness, and global stability of equilibrium price, hence…

Motivated by real-world applications such as rental and cloud computing services, we investigate pricing for reusable resources. We consider a system where a single resource with a fixed number of identical copies serves customers with…

We consider the problem of supply and demand balancing that is stated as a minimization problem for the total expected revenue function describing the behavior of both consumers and suppliers. In the considered market model we assume that…

We study the problem of computing an approximate Nash equilibrium of a game whose strategy space is continuous without access to gradients of the utility function. Such games arise, for example, when players' strategies are represented by…

We study linear Fisher markets with satiation. In these markets, sellers have earning limits and buyers have utility limits. Beyond natural applications in economics, these markets arise in the context of maximizing Nash social welfare when…

We design the first regret guarantees for robust dynamic pricing that decouple the dependence on the corruption $C$ and the time horizon $T$. In dynamic pricing, a seller with unlimited supply of a good interacts with a stream of buyers…