A Primal–Dual Learning Algorithm for Personalized Dynamic Pricing with an Inventory Constraint
From MaRDI portal
Publication:5870348
DOI10.1287/MOOR.2021.1220zbMATH Open1505.90008arXiv1812.09234OpenAlexW2906115048MaRDI QIDQ5870348FDOQ5870348
Authors: Ningyuan Chen, Guillermo Gallego 
Publication date: 9 January 2023
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Abstract: We consider the problem of a firm seeking to use personalized pricing to sell an exogenously given stock of a product over a finite selling horizon to different consumer types. We assume that the type of an arriving consumer can be observed but the demand function associated with each type is initially unknown. The firm sets personalized prices dynamically for each type and attempts to maximize the revenue over the season. We provide a learning algorithm that is near-optimal when the demand and capacity scale in proportion. The algorithm utilizes the primal-dual formulation of the problem and learns the dual optimal solution explicitly. It allows the algorithm to overcome the curse of dimensionality (the rate of regret is independent of the number of types) and sheds light on novel algorithmic designs for learning problems with resource constraints.
Full work available at URL: https://arxiv.org/abs/1812.09234
Recommendations
- Dynamic Pricing and Learning with Finite Inventories
- Dynamic pricing without knowing the demand function: risk bounds and near-optimal algorithms
- Dynamic pricing with finite price sets: a non-parametric approach
- Personalized dynamic pricing of limited inventories
- Coordinating Pricing and Inventory Replenishment with Nonparametric Demand Learning
Dynamic programming (90C39) Inventory, storage, reservoirs (90B05) Microeconomic theory (price theory and economic markets) (91B24)
Cites Work
- \(X\)-armed bandits
- Prediction, Learning, and Games
- Title not available (Why is that?)
- Improved Rates for the Stochastic Continuum-Armed Bandit Problem
- Regret analysis of stochastic and nonstochastic multi-armed bandit problems
- A Multiproduct Dynamic Pricing Problem and Its Applications to Network Yield Management
- Dynamic Pricing with an Unknown Demand Model: Asymptotically Optimal Semi-Myopic Policies
- Dynamic pricing for nonperishable products with demand learning
- Dynamic pricing without knowing the demand function: risk bounds and near-optimal algorithms
- Dynamic pricing with a prior on market response
- Dynamic pricing under a general parametric choice model
- Dynamic Pricing and Learning with Finite Inventories
- Technical note: Dynamic pricing and demand learning with limited price experimentation
- Contextual bandits with similarity information
- Dynamic selling mechanisms for product differentiation and learning
- Close the gaps: a learning-while-doing algorithm for single-product revenue management problems
- Dynamic pricing in high-dimensions
- On incomplete learning and certainty-equivalence control
- Blind network revenue management
- Online Network Revenue Management Using Thompson Sampling
- Nonparametric pricing analytics with customer covariates
- Nonparametric self-adjusting control for joint learning and optimization of multiproduct pricing with finite resource capacity
Cited In (5)
- SOLO FTRL algorithm for production management with transfer prices
- Nonparametric pricing analytics with customer covariates
- Differential Privacy in Personalized Pricing with Nonparametric Demand Models
- Personalized dynamic pricing of limited inventories
- Joint dynamic pricing and marketing-mix strategies for revenue management applications with stochastic demand
This page was built for publication: A Primal–Dual Learning Algorithm for Personalized Dynamic Pricing with an Inventory Constraint
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5870348)
