Seminar: Bora Keskin, University of Chicago
Chasing Demand and Earning in a Changing Environment
Bora Keskin
University of Chicago
Date: April 11, 2014
Time:聽02:00 pm - 03:30 pm
Location:聽Room 310
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We consider a dynamic pricing problem in which a seller faces an unknown demand model聽that can change over time. We measure the amount of change over a time horizon of T聽periods聽using a quadratic variation metric, and allow a finite 鈥渂udget" for such changes. We first derive a聽lower bound on the expected performance gap between any pricing policy and a clairvoyant who聽knows a priori the temporal evolution of the underlying demand model, and then design families聽of near-optimal pricing policies, the revenue performance of which asymptotically matches said聽lower bound. We also show that the seller can achieve a substantially better revenue performance聽in demand environments that change in 鈥渂ursts" than it would in a demand environment that聽changes 鈥渟moothly." Finally, we extend our analysis to the case of rapidly changing demand聽settings, and obtain a range of results that quantify the net effect of the volatility in the demand聽environment on the seller鈥檚 revenue performance.
For more information, please contact Gina Ceolin at: gina.ceolin [at] mcgill.ca.听
