Simple Policies for Dynamic Pricing with Imperfect Forecasts

  title={Simple Policies for Dynamic Pricing with Imperfect Forecasts},
  author={Yiwei Chen and Vivek F. Farias},
  journal={Operations Research},
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… CONTINUE READING

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