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Dynamic Pricing with Finitely Many Unknown Valuations [article]

Nicolò Cesa-Bianchi, Tommaso Cesari, Vianney Perchet
2019 arXiv   pre-print
dynamic pricing when the distribution of buyers' private values is supported on an unknown set of points in [0,1] of unknown cardinality K.  ...  This setting can be viewed as an instance of a stochastic K-armed bandit problem where the location of the arms (the K unknown valuations) must be learned as well.  ...  In contrast with previous approaches, which typically assume parametric [10] or locally smooth [20] demand curves, our model with finitely many valuations is equivalent to assuming that the demand  ... 
arXiv:1807.03288v2 fatcat:xyymp2svu5ckxljtcsffomqgaa

The Promise and Perils of Myopia in Dynamic Pricing With Censored Information

Meenal Chhabra, Sanmay Das, Ilya Ryzhov
2018 Proceedings of the Twenty-Seventh International Joint Conference on Artificial Intelligence  
In the partially censored case, we prove that myopic pricing with a Pareto prior is Bayes optimal and has finite regret.  ...  A seller with unlimited inventory of a digital good interacts with potential buyers with i.i.d. valuations.  ...  The buyers' valuations are i.i.d draws from a known distribution function f v (x) with unknown parameters. At each time t, the seller quotes a price q t .  ... 
doi:10.24963/ijcai.2018/693 dblp:conf/ijcai/ChhabraDR18 fatcat:5zryhktfpzh4xmjr4m5gld6kmq

The illusions of dynamic replication

Emanuel Derman *, Nassim Nicholas Taleb
2005 Quantitative finance (Print)  
on it as little as possible; and (iii) there is a much simpler way to derive many option pricing formulas: many of the results of dynamic option replication can be obtained more simply, by regarding (  ...  Since the option price is incompatible with the Black-Scholes formula, the correct hedge ratio is unknown. . One cannot hedge continuously.  ... 
doi:10.1080/14697680500305105 fatcat:77qr5l2jdfgnzdbtazsptyj4xu

Learning Automata Based Method for Grid Computing Resource Valuation with Resource Suitability Criteria

Ali Sarhadi
2011 International Journal of Grid Computing & Applications  
After allocate of resource, valuation of it based on its complete time is done. With this method the valuation of resource is based on their suitability for jobs execution.  ...  Pricing policies are based on the demand from the users and the supply of resources is the main driver in the competitive, economic market model.  ...  Figure 3 :Figure 5 : 35 Resource Error Rate Many method for resource valuation in grid computing environment are represented such as Fixed Price Model،Posted Price Model،Bargaining Model،Tendering/Contract-net  ... 
doi:10.5121/ijgca.2011.2401 fatcat:spvelutr6fhsfgyxc2hssg4ziy

Adaptive Strategies for Dynamic Pricing Agents

Sara Ramezani, Peter A.N. Bosman, Han La Poutre
2011 2011 IEEE/WIC/ACM International Conferences on Web Intelligence and Intelligent Agent Technology  
We design two adaptive heuristic dynamic pricing strategies in a duopoly where each firm has a finite inventory of a single type of good.  ...  We design adaptive dynamic pricing strategies and optimize their parameters with an Evolutionary Algorithm (EA) offline while the strategies can deal with stochastic market dynamics quickly online.  ...  In this paper we study dynamic pricing of a limited supply of goods in a competitive finite-horizon market.  ... 
doi:10.1109/wi-iat.2011.193 dblp:conf/iat/RamezaniBP11 fatcat:7v2wuhhibvgbdliqi4cwgqrumq

Dynamic Pricing with Online Learning and Strategic Consumers: An Application of the Aggregating Algorithm

Tatsiana Levina, Yuri Levin, Jeff McGill, Mikhail Nediak
2009 Operations Research  
These are subsequently altered with a random step characterizing the stochastic predictors. The company's pricing policy is optimized with a simulation-based procedure integrated with AA.  ...  We study the problem faced by a monopolistic company that is dynamically pricing a perishable product or service and simultaneously learning the demand characteristics of its customers.  ...  Acknowledgments The authors thank the associate editor and two anonymous referees for their many constructive suggestions that greatly helped to improve the exposition of this paper.  ... 
doi:10.1287/opre.1080.0577 fatcat:pqeahj73gve3rhscc2wifcy7ni

Online Market Equilibrium with Application to Fair Division [article]

Yuan Gao, Christian Kroer, Alex Peysakhovich
2021 arXiv   pre-print
We propose a simple, scalable and interpretable allocation and pricing dynamics termed as PACE.  ...  When items are drawn i.i.d. from an unknown distribution (with a possibly continuous support), we show that PACE leads to an online market equilibrium asymptotically.  ...  Since Θ is compact, it is measurable with a finite measure. For the finite case Θ = [m], we have s = (s 1 , . . . , s m ) ∈ R m + .  ... 
arXiv:2103.12936v2 fatcat:qm7qmphfvrelbbjny6yzo7upqa

Revenue Maximizing Mechanisms with Strategic Customers and Unknown Demand: Name-Your-Own-Price

Alex Gershkov, Benny Moldovanu, Philipp Strack
2014 Social Science Research Network  
We characterize revenue maximizing direct mechanism and show that it can be implemented by a "Name-Your-Own-Price" dynamic auction mechanism.  ...  This mechanism has many common features with the "Name Your Own Price" mechanism, pioneered by Priceline.com.  ...  Moreover, the efficient dynamic allocation policy τ * is monotone with respect to valuations. Proof.  ... 
doi:10.2139/ssrn.2527653 fatcat:3b5poz3onvbe3pgot3hmgdfofu

Using bid data for the management of sequential, multi-unit, online auctions with uniformly distributed bidder valuations

Edieal Pinker, Abraham Seidmann, Yaniv Vakrat
2010 European Journal of Operational Research  
when bidder valuation distributions are known.  ...  We have observed that many sellers, instead of offering their entire inventory in a single auction, split it into sequential auctions of smaller lots, thereby reducing the negative market impact of larger  ...  It is typically more difficult to derive structural results for finite-horizon dynamic programs than for those with an infinitehorizon.  ... 
doi:10.1016/j.ejor.2009.05.029 fatcat:fqr7uogya5arrgx5ooa6vtelza

Towards Agnostic Feature-based Dynamic Pricing: Linear Policies vs Linear Valuation with Unknown Noise [article]

Jianyu Xu, Yu-Xiang Wang
2022 arXiv   pre-print
valuation" problem where the random valuation is linear plus an unknown and assumption-free noise.  ...  "Sold" if valuationprice, and "Not Sold" otherwise).  ...  This discretization method, along with the price markdown, can be easily transferred to any pricing problem settings with unknown i.i.d. noise.  ... 
arXiv:2201.11341v2 fatcat:xi4hniw7nzbmpo5vutjgrwmfpu

Optimal Pricing Mechanisms with Unknown Demand

Ilya R. Segal
2002 Social Science Research Network  
The standard profit-maximizing multiunit auction intersects the submitted demand curve with a preset reservation supply curve, which is determined using the distribution from which the buyers' valuations  ...  The resulting profit converges to the optimal monopoly profit with known demand as the number of buyers goes to infinity, and convergence can be substantially faster than with sequential price experimentation  ...  Many Internet pricing mechanisms are realized in this dynamic fashion. 31 An interesting distinguishing feature of our mechanism is that in its dynamic realiza-31 A downside of such transparency is that  ... 
doi:10.2139/ssrn.297674 fatcat:4mfhmkbtirg3rng2rhwmkolvxi

Optimal Pricing Mechanisms with Unknown Demand

Ilya Segal
2003 The American Economic Review  
The standard profit-maximizing multiunit auction intersects the submitted demand curve with a preset reservation supply curve, which is determined using the distribution from which the buyers' valuations  ...  The resulting profit converges to the optimal monopoly profit with known demand as the number of buyers goes to infinity, and convergence can be substantially faster than with sequential price experimentation  ...  Many Internet pricing mechanisms are realized in this dynamic fashion. 31 An interesting distinguishing feature of our mechanism is that in its dynamic realiza-31 A downside of such transparency is that  ... 
doi:10.1257/000282803322156963 fatcat:ct55nffm7fdv7kj6xmp6facojm

Prior-Free Dynamic Auctions with Low Regret Buyers

Yuan Deng, Jon Schneider, Balasubramanian Sivan
2019 Neural Information Processing Systems  
In this work, we do away with this assumption and consider the prior-free setting where the buyer's value each round is chosen adversarially (possibly adaptively).  ...  We show how to achieve the same approximation factor in the prior-independent setting (where the distribution is unknown to the seller), and an approximation factor of O(1/ log H) in the prior-free setting  ...  The design space of dynamic auctions, in which a buyer bids on many items over the course of many rounds, is very rich and has room for exceedingly complex auctions.  ... 
dblp:conf/nips/DengSS19a fatcat:75gwb7dgxvch3hg4ylfewpmtn4

Bayesian Dynamic Pricing in Queueing Systems with Unknown Delay Cost Characteristics

Philipp Afèche, Barış Ata
2013 Manufacturing & Service Operations Management  
We identify two cases: prices converge (1) almost surely to the optimal prices in either scenario or (2) with positive probability to suboptimal prices.  ...  We study an observable M/M/1 queue that serves an unknown proportion of patient and impatient customers.  ...  Research assistance with the numerical study by Seyed M. Emadi is gratefully acknowledged.  ... 
doi:10.1287/msom.1120.0418 fatcat:up733rwssnhgzd3va22ig4uuim

Maximizing seller's profit for electronic commerce [chapter]

Bella Belegradek, Konstantinos Kalpakis, Yelena Yesha
1998 Lecture Notes in Computer Science  
The seller at each moment of time posts a price for his/her product. Based of the posted price, at each moment of time, a buyer decides whether or not to buy a unit of that product from the seller.  ...  Further, we assume that the maximal unit price the buyer is willing to pay does not change over time. The question then is how should the seller price his/her product to maximize profits?  ...  ), when the buyer's valuation is an unknown constant in a given range.  ... 
doi:10.1007/bfb0053399 fatcat:ohizqf72svhnfmz632v6yhbasm
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