Certainty-Equivalent Pricing with Dependent Demand and Limited Price-Changing Opportunities

• 成果类型: Article; Early Access
• 署名作者: Ahn, Hyun-Soo; Ryan, Christopher Thomas; Uichanco, Joline; Zhang, Mengzhenyu
• 署名单位: University of Michigan System; University of Michigan; University of British Columbia; University of London; University College London
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.2022.0330
• 发表日期: 2025
• 关键词: Network Revenue Management; product diffusion; Inventory models; decisions; policies; strategies; adoption; sales

摘要

When underlying demand follows a complex stochastic process, pricing problems are difficult to solve. In such cases, certainty equivalent (CE) policies, based on the solution to the deterministic relaxation of the stochastic pricing problem, can be used as practical alternatives. CE policies have lighter computational and informational requirements compared with solving the problem to optimality. Although the effectiveness of CE pricing policies has been theoretically studied when demands are independent, performance is not well known when demands are state-dependent and price-changing opportunities are limited. This paper analyzes the performance of CE policies in a pricing problem where future demand depends on sales and inventory, and the firm has limited opportunities to change by m) becomes large, the percentage revenue loss decreases at the rate of Theta(1= ffiffififfi prices. We show that CE policies are asymptotically optimal; as the problem scale (denoted extend the result to the joint pricing and (initial) inventory problem.