相关论文: Guardrailed Elasticity Pricing: A Churn-Aware Fore…

We study the dynamic pricing and replenishment problems under inconsistent decision frequencies. Different from the traditional demand assumption, the discreteness of demand and the parameter within the Poisson distribution as a function of…

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…

Retention campaigns in customer relationship management often rely on churn prediction models evaluated using traditional metrics such as AUC and F1-score. However, these metrics fail to reflect financial outcomes and may mislead strategic…

Efficiently accommodating uncertain renewable resources in wholesale electricity markets is among the foremost priorities of market regulators in the US, UK and EU nations. However, existing deterministic market designs fail to internalize…

We describe a high performance parallel implementation of a derivative pricing model, within which we introduce a new parallel method for the calibration of the industry standard SABR (stochastic-\alpha \beta \rho) stochastic volatility…

This work is motivated by our collaboration with a large consumer packaged goods (CPG) company. We have found that while the company appreciates the advantages of dynamic pricing, they deem it operationally much easier to plan out a static…

We present a fast and robust calibration method for stochastic volatility models that admit Fourier-analytic transform-based pricing via characteristic functions. The design is structure-preserving: we keep the original pricing transform…

Inventory planning for retail chains requires translating demand forecasts into ordering decisions, including asymmetric shortages and holding costs. The VN2 Inventory Planning Challenge formalizes this setting as a weekly decision-making…

The estimation of loss distributions for dynamic portfolios requires the simulation of scenarios representing realistic joint dynamics of their components. We propose a novel data-driven approach for simulating realistic, high-dimensional…

While page views are often sold instantly through real-time auctions when users visit websites, they can also be sold in advance via guaranteed contracts. In this paper, we present a dynamic programming model to study how an online…

The rise of big data analytics has automated the decision-making of companies and increased supply chain agility. In this paper, we study the supply chain contract design problem faced by a data-driven supplier who needs to respond to the…

We consider decision-making problems under decision-dependent uncertainty (DDU), where the distribution of uncertain parameters depends on the decision variables and is only observable through a finite offline dataset. To address this…

As companies increase their efforts in retaining customers, being able to predict accurately ahead of time, whether a customer will churn in the foreseeable future is an extremely powerful tool for any marketing team. The paper describes in…

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 introduce a new class of adaptive policies called periodic-affine policies, that allows a decision maker to optimally manage and control large-scale newsvendor networks in the presence of uncertain demand without distributional…

This study presents a controlled parametric framework for analyzing energy storage planning under uncertainty in a multi-stage model predictive control setting. The framework enables a broad and systematic exploration through parametrized…

Firms that price perishable resources -- airline seats, hotel rooms, seasonal inventory -- now routinely use demand predictions, but these predictions vary widely in quality. Under hard capacity constraints, acting on an inaccurate…

It is of high interest for a company to identify customers expected to bring the largest profit in the upcoming period. Knowing as much as possible about each customer is crucial for such predictions. However, their demographic data,…

The supply of electrical energy is being increasingly sourced from renewable generation resources. The variability and uncertainty of renewable generation, compared to a dispatch-able plant, is a significant dissimilarity of concern to the…

The study efforts to explore and extend the crisis predictability by synthetically reviewing and comparing a full mixture of early warning models into two constitutions: crisis identifications and predictive models. Given empirical results…