Efficient Algorithms for the Dynamic Pricing Problem with Reference Price Effect

@article{Chen2017EfficientAF,
  title={Efficient Algorithms for the Dynamic Pricing Problem with Reference Price Effect},
  author={Xin Chen and Peng Hu and Zhenyu Hu},
  journal={Manag. Sci.},
  year={2017},
  volume={63},
  pages={4389-4408}
}
We analyze a finite-horizon dynamic pricing model in which demand at each period depends on not only the current price but also past prices through reference prices. A unique feature but also a significant challenge in this model is the asymmetry in reference price effect, which implies that the underlying optimization problem is nonsmooth and no standard optimization methods can be applied. We identify a few key structural properties of the problem, which enable us to develop strongly… 

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