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Dynamic Pricing Without Knowing the Demand Function: Risk Bounds and Near-Optimal Algorithms

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Cited by:

  1. Omar Besbes & Assaf Zeevi, 2012. "Blind Network Revenue Management," Operations Research, INFORMS, vol. 60(6), pages 1537-1550, December.
  2. Yevgeny Tsodikovich & Ehud Lehrer, 2019. "Stochastic revision opportunities in Markov decision problems," Annals of Operations Research, Springer, vol. 279(1), pages 251-270, August.
  3. Gur, Yonatan & Macnamara, Gregory & Saban, Daniela, 2020. "On the Disclosure of Promotion Value in Platforms with Learning Sellers," Research Papers 3865, Stanford University, Graduate School of Business.
  4. Ramesh Johari & Vijay Kamble & Yash Kanoria, 2021. "Matching While Learning," Operations Research, INFORMS, vol. 69(2), pages 655-681, March.
  5. Gad Allon & Itai Gurvich, 2010. "Pricing and Dimensioning Competing Large-Scale Service Providers," Manufacturing & Service Operations Management, INFORMS, vol. 12(3), pages 449-469, August.
  6. Ravi Kumar & Shahin Boluki & Karl Isler & Jonas Rauch & Darius Walczak, 2022. "Machine Learning based Framework for Robust Price-Sensitivity Estimation with Application to Airline Pricing," Papers 2205.01875, arXiv.org, revised Dec 2022.
  7. David Simchi-Levi & Rui Sun & Huanan Zhang, 2022. "Online Learning and Optimization for Revenue Management Problems with Add-on Discounts," Management Science, INFORMS, vol. 68(10), pages 7402-7421, October.
  8. Shen, Zuo-Jun Max & Xie, Jingui & Zheng, Zhichao & Zhou, Han, 2023. "Dynamic scheduling with uncertain job types," European Journal of Operational Research, Elsevier, vol. 309(3), pages 1047-1060.
  9. Benjamin R. Handel & Kanishka Misra, 2015. "Robust New Product Pricing," Marketing Science, INFORMS, vol. 34(6), pages 864-881, November.
  10. Yang, Chaolin & Xiong, Yi, 2020. "Nonparametric advertising budget allocation with inventory constraint," European Journal of Operational Research, Elsevier, vol. 285(2), pages 631-641.
  11. Yiwei Chen & Vivek F. Farias, 2013. "Simple Policies for Dynamic Pricing with Imperfect Forecasts," Operations Research, INFORMS, vol. 61(3), pages 612-624, June.
  12. Gah-Yi Ban & N. Bora Keskin, 2021. "Personalized Dynamic Pricing with Machine Learning: High-Dimensional Features and Heterogeneous Elasticity," Management Science, INFORMS, vol. 67(9), pages 5549-5568, September.
  13. Kirill Safonov, 2024. "Neural Network Approach to Demand Estimation and Dynamic Pricing in Retail," Papers 2412.00920, arXiv.org, revised Dec 2024.
  14. Arnoud V. den Boer & Bert Zwart, 2014. "Simultaneously Learning and Optimizing Using Controlled Variance Pricing," Management Science, INFORMS, vol. 60(3), pages 770-783, March.
  15. Anyan Qi & Hyun-Soo Ahn & Amitabh Sinha, 2017. "Capacity Investment with Demand Learning," Operations Research, INFORMS, vol. 65(1), pages 145-164, February.
  16. Jian Hu & Junxuan Li & Sanjay Mehrotra, 2019. "A Data-Driven Functionally Robust Approach for Simultaneous Pricing and Order Quantity Decisions with Unknown Demand Function," Operations Research, INFORMS, vol. 67(6), pages 1564-1585, November.
  17. Maryam Ghoreishi, 2019. "Testing the robustness of deterministic models of optimal dynamic pricing and lot-sizing for deteriorating items under stochastic conditions," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 27(4), pages 1131-1152, December.
  18. Hamsa Bastani & David Simchi-Levi & Ruihao Zhu, 2022. "Meta Dynamic Pricing: Transfer Learning Across Experiments," Management Science, INFORMS, vol. 68(3), pages 1865-1881, March.
  19. Yonatan Gur & Gregory Macnamara & Ilan Morgenstern & Daniela Saban, 2019. "Information Disclosure and Promotion Policy Design for Platforms," Papers 1911.09256, arXiv.org, revised Dec 2022.
  20. Hamid Nazerzadeh & Amin Saberi & Rakesh Vohra, 2013. "Dynamic Pay-Per-Action Mechanisms and Applications to Online Advertising," Operations Research, INFORMS, vol. 61(1), pages 98-111, February.
  21. J. Michael Harrison & N. Bora Keskin & Assaf Zeevi, 2012. "Bayesian Dynamic Pricing Policies: Learning and Earning Under a Binary Prior Distribution," Management Science, INFORMS, vol. 58(3), pages 570-586, March.
  22. den Boer, Arnoud V., 2015. "Tracking the market: Dynamic pricing and learning in a changing environment," European Journal of Operational Research, Elsevier, vol. 247(3), pages 914-927.
  23. Qi Feng & J. George Shanthikumar, 2022. "Developing operations management data analytics," Production and Operations Management, Production and Operations Management Society, vol. 31(12), pages 4544-4557, December.
  24. Maxime C. Cohen & Georgia Perakis & Robert S. Pindyck, 2015. "Pricing with Limited Knowledge of Demand," NBER Working Papers 21679, National Bureau of Economic Research, Inc.
  25. Xiao, Baichun & Yang, Wei, 2021. "A Bayesian learning model for estimating unknown demand parameter in revenue management," European Journal of Operational Research, Elsevier, vol. 293(1), pages 248-262.
  26. Jianyu Xu & Yu-Xiang Wang, 2022. "Towards Agnostic Feature-based Dynamic Pricing: Linear Policies vs Linear Valuation with Unknown Noise," Papers 2201.11341, arXiv.org, revised Apr 2022.
  27. Qi (George) Chen & Stefanus Jasin & Izak Duenyas, 2021. "Technical Note—Joint Learning and Optimization of Multi-Product Pricing with Finite Resource Capacity and Unknown Demand Parameters," Operations Research, INFORMS, vol. 69(2), pages 560-573, March.
  28. Boxiao Chen & David Simchi-Levi & Yining Wang & Yuan Zhou, 2022. "Dynamic Pricing and Inventory Control with Fixed Ordering Cost and Incomplete Demand Information," Management Science, INFORMS, vol. 68(8), pages 5684-5703, August.
  29. Renzhe Xu & Xingxuan Zhang & Peng Cui & Bo Li & Zheyan Shen & Jiazheng Xu, 2022. "Regulatory Instruments for Fair Personalized Pricing," Papers 2202.04245, arXiv.org, revised Feb 2022.
  30. Peter Seele & Claus Dierksmeier & Reto Hofstetter & Mario D. Schultz, 2021. "Mapping the Ethicality of Algorithmic Pricing: A Review of Dynamic and Personalized Pricing," Journal of Business Ethics, Springer, vol. 170(4), pages 697-719, May.
  31. Omar Besbes & Costis Maglaras, 2009. "Revenue Optimization for a Make-to-Order Queue in an Uncertain Market Environment," Operations Research, INFORMS, vol. 57(6), pages 1438-1450, December.
  32. Yash Kanoria & Hamid Nazerzadeh, 2020. "Dynamic Reserve Prices for Repeated Auctions: Learning from Bids," Papers 2002.07331, arXiv.org.
  33. Jianqing Fan & Yongyi Guo & Mengxin Yu, 2024. "Policy Optimization Using Semiparametric Models for Dynamic Pricing," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 119(545), pages 552-564, January.
  34. N. Bora Keskin & Assaf Zeevi, 2017. "Chasing Demand: Learning and Earning in a Changing Environment," Mathematics of Operations Research, INFORMS, vol. 42(2), pages 277-307, May.
  35. Pai, Mallesh & Hansen, Karsten, 2020. "Algorithmic Collusion: Supra-competitive Prices via Independent Algorithms," CEPR Discussion Papers 14372, C.E.P.R. Discussion Papers.
  36. Shipra Agrawal & Nikhil R. Devanur, 2019. "Bandits with Global Convex Constraints and Objective," Operations Research, INFORMS, vol. 67(5), pages 1486-1502, September.
  37. Thomas Loots & Arnoud V. den Boer, 2023. "Data‐driven collusion and competition in a pricing duopoly with multinomial logit demand," Production and Operations Management, Production and Operations Management Society, vol. 32(4), pages 1169-1186, April.
  38. Catherine Cleophas & Daniel Kadatz & Sebastian Vock, 2017. "Resilient revenue management: a literature survey of recent theoretical advances," Journal of Revenue and Pricing Management, Palgrave Macmillan, vol. 16(5), pages 483-498, October.
  39. Ilan Lobel, 2021. "Revenue Management and the Rise of the Algorithmic Economy," Management Science, INFORMS, vol. 67(9), pages 5389-5398, September.
  40. Victor F. Araman & René Caldentey, 2009. "Dynamic Pricing for Nonperishable Products with Demand Learning," Operations Research, INFORMS, vol. 57(5), pages 1169-1188, October.
  41. Yining Wang & Xi Chen & Xiangyu Chang & Dongdong Ge, 2021. "Uncertainty Quantification for Demand Prediction in Contextual Dynamic Pricing," Production and Operations Management, Production and Operations Management Society, vol. 30(6), pages 1703-1717, June.
  42. Hao Zhang, 2022. "Analytical Solution to a Discrete-Time Model for Dynamic Learning and Decision Making," Management Science, INFORMS, vol. 68(8), pages 5924-5957, August.
  43. Huashuai Qu & Ilya O. Ryzhov & Michael C. Fu & Eric Bergerson & Megan Kurka & Ludek Kopacek, 2020. "Learning Demand Curves in B2B Pricing: A New Framework and Case Study," Production and Operations Management, Production and Operations Management Society, vol. 29(5), pages 1287-1306, May.
  44. N. Bora Keskin & Assaf Zeevi, 2014. "Dynamic Pricing with an Unknown Demand Model: Asymptotically Optimal Semi-Myopic Policies," Operations Research, INFORMS, vol. 62(5), pages 1142-1167, October.
  45. Yining Wang & Boxiao Chen & David Simchi-Levi, 2021. "Multimodal Dynamic Pricing," Management Science, INFORMS, vol. 67(10), pages 6136-6152, October.
  46. Omar Besbes & Assaf Zeevi, 2015. "On the (Surprising) Sufficiency of Linear Models for Dynamic Pricing with Demand Learning," Management Science, INFORMS, vol. 61(4), pages 723-739, April.
  47. Stefanus Jasin, 2014. "Reoptimization and Self-Adjusting Price Control for Network Revenue Management," Operations Research, INFORMS, vol. 62(5), pages 1168-1178, October.
  48. Xi Chen & Jianjun Gao & Dongdong Ge & Zizhuo Wang, 2022. "Bayesian dynamic learning and pricing with strategic customers," Production and Operations Management, Production and Operations Management Society, vol. 31(8), pages 3125-3142, August.
  49. Francis de Véricourt & Huseyin Gurkan, 2022. "Is your machine better than you? You may never know," ESMT Research Working Papers ESMT-22-02, ESMT European School of Management and Technology.
  50. Victor F. Araman & René A. Caldentey, 2022. "Diffusion Approximations for a Class of Sequential Experimentation Problems," Management Science, INFORMS, vol. 68(8), pages 5958-5979, August.
  51. Soonhui Lee & Tito Homem-de-Mello & Anton Kleywegt, 2012. "Newsvendor-type models with decision-dependent uncertainty," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 76(2), pages 189-221, October.
  52. Boxiao Chen & Xiuli Chao & Cong Shi, 2021. "Nonparametric Learning Algorithms for Joint Pricing and Inventory Control with Lost Sales and Censored Demand," Mathematics of Operations Research, INFORMS, vol. 46(2), pages 726-756, May.
  53. Will Ma & David Simchi-Levi & Chung-Piaw Teo, 2021. "On Policies for Single-Leg Revenue Management with Limited Demand Information," Operations Research, INFORMS, vol. 69(1), pages 207-226, January.
  54. Yusen Xia & Jian Yang & Tingting Zhou, 2019. "Revenue management under randomly evolving economic conditions," Naval Research Logistics (NRL), John Wiley & Sons, vol. 66(1), pages 73-89, February.
  55. Omar Besbes & Assaf Zeevi, 2011. "On the Minimax Complexity of Pricing in a Changing Environment," Operations Research, INFORMS, vol. 59(1), pages 66-79, February.
  56. Boxiao Chen & Xiuli Chao & Hyun-Soo Ahn, 2019. "Coordinating Pricing and Inventory Replenishment with Nonparametric Demand Learning," Operations Research, INFORMS, vol. 67(4), pages 1035-1052, July.
  57. Michael N. Katehakis & Yifeng Liu & Jian Yang, 2022. "A revisit to the markup practice of irreversible dynamic pricing," Annals of Operations Research, Springer, vol. 317(1), pages 77-105, October.
  58. Karsten T. Hansen & Kanishka Misra & Mallesh M. Pai, 2021. "Frontiers: Algorithmic Collusion: Supra-competitive Prices via," Marketing Science, INFORMS, vol. 40(1), pages 1-12, January.
  59. Sentao Miao & Xi Chen & Xiuli Chao & Jiaxi Liu & Yidong Zhang, 2022. "Context‐based dynamic pricing with online clustering," Production and Operations Management, Production and Operations Management Society, vol. 31(9), pages 3559-3575, September.
  60. Arnoud V. den Boer & N. Bora Keskin, 2020. "Discontinuous Demand Functions: Estimation and Pricing," Management Science, INFORMS, vol. 66(10), pages 4516-4534, October.
  61. Wang Chi Cheung & Will Ma & David Simchi-Levi & Xinshang Wang, 2022. "Inventory Balancing with Online Learning," Management Science, INFORMS, vol. 68(3), pages 1776-1807, March.
  62. Bo Feng & Jixin Zhao & Zheyu Jiang, 2022. "Robust pricing for airlines with partial information," Annals of Operations Research, Springer, vol. 310(1), pages 49-87, March.
  63. Moshe Haviv & Ramandeep S. Randhawa, 2014. "Pricing in Queues Without Demand Information," Manufacturing & Service Operations Management, INFORMS, vol. 16(3), pages 401-411, July.
  64. Zeqi Ye & Hansheng Jiang, 2023. "Smoothness-Adaptive Dynamic Pricing with Nonparametric Demand Learning," Papers 2310.07558, arXiv.org, revised Oct 2023.
  65. Philipp Afèche & Barış Ata, 2013. "Bayesian Dynamic Pricing in Queueing Systems with Unknown Delay Cost Characteristics," Manufacturing & Service Operations Management, INFORMS, vol. 15(2), pages 292-304, May.
  66. Meng Qi & Ho‐Yin Mak & Zuo‐Jun Max Shen, 2020. "Data‐driven research in retail operations—A review," Naval Research Logistics (NRL), John Wiley & Sons, vol. 67(8), pages 595-616, December.
  67. Wang, Jiamin & Xiao, Baichun, 2017. "A minmax regret price control model for managing perishable products with uncertain parameters," European Journal of Operational Research, Elsevier, vol. 258(2), pages 652-663.
  68. Ruben van de Geer & Arnoud V. den Boer & Christopher Bayliss & Christine Currie & Andria Ellina & Malte Esders & Alwin Haensel & Xiao Lei & Kyle D. S. Maclean & Antonio Martinez-Sykora & Asbj{o}rn Nil, 2018. "Dynamic Pricing and Learning with Competition: Insights from the Dynamic Pricing Challenge at the 2017 INFORMS RM & Pricing Conference," Papers 1804.03219, arXiv.org.
  69. Ausseil, Rosemonde & Ulmer, Marlin W. & Pazour, Jennifer A., 2024. "Online acceptance probability approximation in peer-to-peer transportation," Omega, Elsevier, vol. 123(C).
  70. Yuri Levin & Mikhail Nediak & Andrei Bazhanov, 2014. "Quantity Premiums and Discounts in Dynamic Pricing," Operations Research, INFORMS, vol. 62(4), pages 846-863, August.
  71. Ruohan Zhan & Zhimei Ren & Susan Athey & Zhengyuan Zhou, 2024. "Policy Learning with Adaptively Collected Data," Management Science, INFORMS, vol. 70(8), pages 5270-5297, August.
  72. Maxime C. Cohen, & Georgia Perakis & Robert S. Pindyck, 2021. "A Simple Rule for Pricing with Limited Knowledge of Demand," Management Science, INFORMS, vol. 67(3), pages 1608-1621, March.
  73. Ningyuan Chen & Guillermo Gallego, 2018. "A Primal-dual Learning Algorithm for Personalized Dynamic Pricing with an Inventory Constraint," Papers 1812.09234, arXiv.org, revised Oct 2021.
  74. J. Michael Harrison & Nur Sunar, 2015. "Investment Timing with Incomplete Information and Multiple Means of Learning," Operations Research, INFORMS, vol. 63(2), pages 442-457, April.
  75. Yiwei Chen & Cong Shi, 2023. "Network revenue management with online inverse batch gradient descent method," Production and Operations Management, Production and Operations Management Society, vol. 32(7), pages 2123-2137, July.
  76. Jianyu Xu & Dan Qiao & Yu-Xiang Wang, 2022. "Doubly Fair Dynamic Pricing," Papers 2209.11837, arXiv.org.
  77. Xi Chen & David Simchi-Levi & Yining Wang, 2022. "Privacy-Preserving Dynamic Personalized Pricing with Demand Learning," Management Science, INFORMS, vol. 68(7), pages 4878-4898, July.
  78. Trivikram Dokka Venkata Satyanaraya & Sonali Sen Gupta & Fabrice Talla Nobibon & Alain Zemkoho, 2017. "Robust Toll Pricing," Working Papers 194217799, Lancaster University Management School, Economics Department.
  79. Raad Khraishi & Ramin Okhrati, 2022. "Offline Deep Reinforcement Learning for Dynamic Pricing of Consumer Credit," Papers 2203.03003, arXiv.org.
  80. Maxime C. Cohen & Ilan Lobel & Renato Paes Leme, 2020. "Feature-Based Dynamic Pricing," Management Science, INFORMS, vol. 66(11), pages 4921-4943, November.
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  82. Ming Chen & Zhi-Long Chen, 2018. "Robust Dynamic Pricing with Two Substitutable Products," Manufacturing & Service Operations Management, INFORMS, vol. 20(2), pages 249-268, May.
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  84. Yang, Xiangyu & Zhang, Jianghua & Hu, Jian-Qiang & Hu, Jiaqiao, 2024. "Nonparametric multi-product dynamic pricing with demand learning via simultaneous price perturbation," European Journal of Operational Research, Elsevier, vol. 319(1), pages 191-205.
  85. Athanassios N. Avramidis, 2020. "A pricing problem with unknown arrival rate and price sensitivity," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 92(1), pages 77-106, August.
  86. Adel Javanmard & Jingwei Ji & Renyuan Xu, 2024. "Multi-Task Dynamic Pricing in Credit Market with Contextual Information," Papers 2410.14839, arXiv.org, revised Oct 2024.
  87. Arnoud V. den Boer, 2014. "Dynamic Pricing with Multiple Products and Partially Specified Demand Distribution," Mathematics of Operations Research, INFORMS, vol. 39(3), pages 863-888, August.
  88. Chawla, Shuchi & Devanur, Nikhil R. & Karlin, Anna R. & Sivan, Balasubramanian, 2022. "Simple pricing schemes for consumers with evolving values," Games and Economic Behavior, Elsevier, vol. 134(C), pages 344-360.
  89. Po-Yi Liu & Chi-Hua Wang & Henghsiu Tsai, 2022. "Non-Stationary Dynamic Pricing Via Actor-Critic Information-Directed Pricing," Papers 2208.09372, arXiv.org, revised Sep 2022.
  90. Amine Allouah & Omar Besbes, 2020. "Prior-Independent Optimal Auctions," Management Science, INFORMS, vol. 66(10), pages 4417-4432, October.
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  93. Denis Sauré & Assaf Zeevi, 2013. "Optimal Dynamic Assortment Planning with Demand Learning," Manufacturing & Service Operations Management, INFORMS, vol. 15(3), pages 387-404, July.
  94. Mila Nambiar & David Simchi-Levi & He Wang, 2019. "Dynamic Learning and Pricing with Model Misspecification," Management Science, INFORMS, vol. 65(11), pages 4980-5000, November.
  95. Anyan Qi & Hyun-Soo Ahn & Amitabh Sinha, 2017. "Capacity Investment with Demand Learning," Operations Research, INFORMS, vol. 65(1), pages 145-164, February.
  96. Kazemi, Mohammad Sadegh & Fotopoulos, Stergios B. & Wang, Xinchang, 2023. "Minimizing online retailers’ revenue loss under a time-varying willingness-to-pay distribution," International Journal of Production Economics, Elsevier, vol. 257(C).
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  99. Yash Kanoria & Hamid Nazerzadeh, 2021. "Incentive-Compatible Learning of Reserve Prices for Repeated Auctions," Operations Research, INFORMS, vol. 69(2), pages 509-524, March.
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  116. Omar Besbes & Costis Maglaras, 2012. "Dynamic Pricing with Financial Milestones: Feedback-Form Policies," Management Science, INFORMS, vol. 58(9), pages 1715-1731, September.
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  121. Arnoud V. den Boer & Bert Zwart, 2015. "Dynamic Pricing and Learning with Finite Inventories," Operations Research, INFORMS, vol. 63(4), pages 965-978, August.
  122. Ruben Geer & Arnoud V. Boer & Christopher Bayliss & Christine S. M. Currie & Andria Ellina & Malte Esders & Alwin Haensel & Xiao Lei & Kyle D. S. Maclean & Antonio Martinez-Sykora & Asbjørn Nilsen Ris, 2019. "Dynamic pricing and learning with competition: insights from the dynamic pricing challenge at the 2017 INFORMS RM & pricing conference," Journal of Revenue and Pricing Management, Palgrave Macmillan, vol. 18(3), pages 185-203, June.
  123. Muzaffer Buyruk & Ertan Güner, 2022. "Personalization in airline revenue management: an overview and future outlook," Journal of Revenue and Pricing Management, Palgrave Macmillan, vol. 21(2), pages 129-139, April.
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