Simple Policies for Dynamic Pricing with Imperfect Forecasts

• 成果类型: Article
• 署名作者: Chen, Yiwei; Farias, Vivek F.
• 署名单位: Renmin University of China; Massachusetts Institute of Technology (MIT)
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.2013.1166
• 发表日期: 2013
• 页码: 612-624
• 关键词: revenue management; supply chain; demand; PRODUCTS

摘要

We consider the classical single-product dynamic pricing problem allowing the scale of demand intensity to be modulated by an exogenous market size stochastic process. This is a natural model of dynamically changing market conditions. We show that for a broad family of Gaussian market-size processes, simple dynamic pricing rules that are essentially agnostic to the specification of this market-size process perform provably well. The pricing policies we develop are shown to compensate for forecast imperfections (or a lack of forecast information altogether) by frequent reoptimization and reestimation of the instantaneous market size.