A Re-Solving Heuristic with Bounded Revenue Loss for Network Revenue Management with Customer Choice

• 成果类型: Article
• 署名作者: Jasin, Stefanus; Kumar, Sunil
• 署名单位: University of Michigan System; University of Michigan; University of Chicago
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.1120.0537
• 发表日期: 2012
• 页码: 313-345
• 关键词: bid prices; inventory; POLICY; MODEL

摘要

We consider a network revenue management problem with customer choice and exogenous prices. We study the performance of a class of certainty-equivalent heuristic control policies. These heuristics periodically re-solve the deterministic linear program (DLP) that results when all future random variables are replaced by their average values and implement the solutions in a probabilistic manner. We provide an upper bound for the expected revenue loss under such policies when compared to the optimal policy. Using this bound, we construct a schedule of re-solving times such that the resulting expected revenue loss, obtained by re-solving the DLP at these times and implementing the solution as a probabilistic scheme, is bounded by a constant that is independent of the size of the problem.