Technical note: <scp>Finite‐time</scp> regret analysis of <scp>Kiefer‐Wolfowitz</scp> stochastic approximation algorithm and nonparametric <scp>multi‐product</scp> dynamic pricing with unknown demand

DOI10.1002/NAV.21902MaRDI QIDQ6072149zbMATH OpenOpenAlexFDO

Authors L. Jeff Hong, Jun Luo

Publication date 12 October 2023

Published in Naval Research Logistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/nav.21902

zbMATH Keywords

dynamic pricing and learningKiefer-Wolfowitz algorithmnonparametric pricing policyrevenue managementstochastic approximation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Stochastic approximation (62L20) Stochastic programming (90C15) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• A Stochastic Approximation Method
• Chasing demand: learning and earning in a changing environment
• Dynamic pricing under a general parametric choice model
• Dynamic Pricing with an Unknown Demand Model: Asymptotically Optimal Semi-Myopic Policies
• scientific article; zbMATH DE number 48727 (Why is no real title available?)
• scientific article; zbMATH DE number 1972910 (Why is no real title available?)
• Multivariate stochastic approximation using a simultaneous perturbation gradient approximation
• Non-stationary stochastic optimization
• On incomplete learning and certainty-equivalence control
• Regret and Convergence Bounds for a Class of Continuum-Armed Bandit Problems
• Robust Stochastic Approximation Approach to Stochastic Programming
• Stochastic Approximation of Minima with Improved Asymptotic Speed
• Stochastic convex optimization with bandit feedback
• Stochastic Estimation of the Maximum of a Regression Function

Cited in

(4)

• Pricing optimization and competition under the linear nested stochastic choice model
• An exact quadratic programming approach based on convex reformulation for seru scheduling problems
• Simulation optimization for queues with heavy-tailed service times
• Nonparametric multi-product dynamic pricing with demand learning via simultaneous price perturbation

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