Bid-Price Controls for Network Revenue Management: Martingale Characterization of Optimal Bid Prices

• 成果类型: Article
• 署名作者: Akan, Mustafa; Ata, Baris
• 署名单位: Carnegie Mellon University; Northwestern University
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.1090.0411
• 发表日期: 2009
• 页码: 912-936
• 关键词: STOCHASTIC DIFFERENTIAL-EQUATIONS; approximation

摘要

We consider a continuous-time, rate-based model of network revenue management. Under mild assumptions, we construct a simple epsilon- optimal bid-price control, which can be viewed as a perturbation of a bid-price control in the classical sense [Williamson, E. L. 1992. Airline network seat control. Ph.D. thesis, MIT, Cambridge, MA]. We show that the associated bid-price process forms a martingale and the corresponding booking controls converge in an appropriate sense to an optimal control as epsilon tends to 0. Moreover, we show that there exists an optimal generalized bid-price control, where the bid-price process forms a martingale and is used in conjunction with a capacity usage limit process. We also discuss its connection to the bid-price controls in the classical sense and sufficient conditions for the (near) optimality of the latter.