Constant Regret Resolving Heuristics for Price-Based Revenue Management

DOI10.1287/OPRE.2021.2219MaRDI QIDQ5060522zbMATH OpenOpenAlexFDO

Authors

Publication date 10 January 2023

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2009.02861

zbMATH Keywords

dynamic pricingprice-based revenue managementresolvingself-adjusting controls

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Dynamic programming (90C39) Approximation methods and heuristics in mathematical programming (90C59) Microeconomic theory (price theory and economic markets) (91B24)

Abstract: Price-based revenue management is an important problem in operations management with many practical applications. The problem considers a retailer who sells a product (or multiple products) over $T$ consecutive time periods and is subject to constraints on the initial inventory levels. While the optimal pricing policy could be obtained via dynamic programming, such an approach is sometimes undesirable because of high computational costs. Approximate policies, such as the re-solving heuristics, are often applied as computationally tractable alternatives. In this paper, we show the following two results. First, we prove that a natural re-solving heuristic attains $O(1)$ regret compared to the value of the optimal policy. This improves the $O(lnT)$ regret upper bound established in the prior work of cite{jasin2014reoptimization}. Second, we prove that there is an $Omega(lnT)$ gap between the value of the optimal policy and that of the fluid model. This complements our upper bound result by showing that the fluid is not an adequate information-relaxed benchmark when analyzing price-based revenue management algorithms.

Recommendations

• Stochastic regret minimization for revenue management problems with nonstationary demands
• A re-solving heuristic with bounded revenue loss for network revenue management with customer choice
• Technical note -- Joint learning and optimization of multi-product pricing with finite resource capacity and unknown demand parameters
• Revenue management with costly price adjustments
• Dynamic pricing without knowing the demand function: risk bounds and near-optimal algorithms

Cites work

• A Multiproduct Dynamic Pricing Problem and Its Applications to Network Yield Management
• A re-solving heuristic with bounded revenue loss for network revenue management with customer choice
• Algorithms for Online Matching, Assortment, and Pricing with Tight Weight-Dependent Competitive Ratios
• An approximation algorithm for network revenue management under nonstationary arrivals
• An asymptotically optimal policy for a quantity-based network revenue management problem
• Analysis of deterministic LP-based booking limit and bid price controls for revenue management
• Asymptotic Behavior of an Allocation Policy for Revenue Management
• Asymptotically optimal dynamic pricing for network revenue management
• Blind network revenue management
• Close the gaps: a learning-while-doing algorithm for single-product revenue management problems
• Dynamic Pricing and Learning with Finite Inventories
• Dynamic pricing under a general parametric choice model
• Dynamic pricing without knowing the demand function: risk bounds and near-optimal algorithms
• Envelope Theorems for Arbitrary Choice Sets
• Online allocation and pricing: constant regret via Bellman inequalities
• Online Network Revenue Management Using Thompson Sampling
• Optimal Dynamic Pricing of Inventories with Stochastic Demand over Finite Horizons
• Performance of an LP-based control for revenue management with unknown demand parameters
• Reoptimization and self-adjusting price control for network revenue management
• Simple policies for dynamic pricing with imperfect forecasts
• Uniformly bounded regret in the multisecretary problem

Cited in

(4)

• Stochastic regret minimization for revenue management problems with nonstationary demands
• Online allocation and pricing: constant regret via Bellman inequalities
• Technical note -- An improved analysis of LP-based control for revenue management
• Multi-product newsvendor problem with dynamic pricing: a decision interpolation approximation

This page was built for publication: Constant Regret Resolving Heuristics for Price-Based Revenue Management

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5060522)