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作者：VANOMMEREN, JCW
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作者：Dai, J. G.; Glynn, Peter W.; Xu, Yaosheng
作者单位：Cornell University; Stanford University; University of Chicago
摘要：We prove that under a multiscale heavy traffic condition, the stationary distribution of the scaled queue length vector process in any generalized Jackson network has a product-form limit. Each component in the product form follows an exponential distribution, corresponding to the Brownian approximation of a single station queue. The single station can be constructed precisely, and its parameters have a good intuitive interpretation.
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作者：Miao, Sentao; Wang, Yining; Zhang, Tiawei
作者单位：University of Colorado System; University of Colorado Boulder; University of Texas System; University of Texas Dallas; New York University
摘要：This paper proposes an approach that can be applied to solve several important revenue management (RM) problems with demand learning and potentially large action space constrained by initial unreplenishable resources. This approach combines the technique of the primal-dual method in optimization and upper confidence bound algorithm in learning. Three important RM problems are studied in this paper: network revenue management, dynamic assortment selection with a multinomial-logit choice model, ...
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作者：Aflaki, Arian; Zhang(Ken), Qian
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; California State University System; California State Polytechnic University Pomona
摘要：We study a firm setting prices for a product with limited inventories sold over two periods to heterogeneous customers. The firm is uncertain about customer valuations and learns from their purchasing behavior. This information can be used for future personalized pricing (P-Pricing). The firm can be of two types; a P-type firm may implement P-Pricing, whereas a U-type firm must set uniform prices for all customers. Customers are uncertain about the firm type and inventory. Upon observing the f...
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作者：Berczi, Kristof; Codazzi, Laura; Golak, Julian; Grigoriev, Alexander
作者单位：Eotvos Lorand University; Eotvos Lorand University; Hamburg University of Technology; University of Hamburg; Maastricht University
摘要：In combinatorial markets, the goal is typically to determine a pair of pricing and allocation of items that results in an efficient distribution of resources or maximizes the seller's profit. In dynamic pricing schemes, agents arrive in an unspecified sequential order, and the prices can be updated between agent arrivals, which makes the concept fairness of dynamic prices highly nontrivial. In markets with expected price deflation, typical agent follows the prices prior to their purchase and b...
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作者：Haghtalab, Nika; Lykouris, Thodoris; Nietert, Sloan; Wei, Alexander
作者单位：University of California System; University of California Berkeley; Massachusetts Institute of Technology (MIT); Cornell University
摘要：We study Stackelberg games where a principal repeatedly interacts with a non-myopic long-lived agent without knowing the agent's payoff function. Although learning in Stackelberg games is well understood when the agent is myopic, dealing with non-myopic agents poses additional complications. In particular, non-myopic agents may strategize and select actions that are inferior in the present in order to mislead the principal's learning algorithm and obtain better outcomes in the future. We provi...
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作者：Zhang, Yiyang; Liu, Junyi; Zhaoa, Xiaobo
作者单位：Tsinghua University
摘要：Focusing on stochastic programming (SP) with covariate information, this paper proposes an empirical risk minimization (ERM) method embedded within a nonconvex piecewise affine decision rule (PADR), which aims to learn the direct mapping from features to optimal decisions. We establish the nonasymptotic consistency result of our PADRbased ERM model for unconstrained problems, which illustrates the role of piece number in balancing the trade-off between the approximation and estimation errors. ...
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作者：Vera, Alberto; Banerjee, Siddhartha; Gurvich, Itai
作者单位：Cornell University; Cornell University; Northwestern University
摘要：Theorem 3 of Vera et al. (2021) states a constant regret result for a menu-pricing problem. This erratum preserves theorem 3 but revises its proof. The revision has implications also for the assortment problem in section 5.5 of the paper.
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作者：Li, Shukai; Mehrotra, Sanjay
作者单位：New York University; NYU Shanghai; Northwestern University
摘要：We investigate an individual's decision-making problem in a competitive and uncertain environment, where N learners (decision makers) confront unknown objective functions, lack competitor data, and optimize actions over a finite horizon of T epochs. Within a general framework, we explore what conditions ensure good performance of learning policies solely based on individual data. We show that when learner objective functions exhibit a tatonnement stability property and individual data are info...
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作者：Gong, Xueping; You, Wei; Zhang, Tiheng
作者单位：Xiamen University; Hong Kong University of Science & Technology
摘要：We study contextual dynamic pricing, where a decision maker posts personalized prices based on observable contexts and receives binary purchase feedback indicating whether the customer's valuation exceeds the price. Each valuation is modeled as an unknown latent function of the context, corrupted by independent and identically distributed market noise from an unknown distribution. Relying only on Lipschitz continuity of the noise distribution and bounded valuations, we propose a minimax-optima...
