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Seminar: Bora Keskin, University of Chicago


11 Apr 2014 14:00
Bronfman Building : Room 310, 1001 rue Sherbrooke Ouest Montreal Quebec Canada , H3A 1G5

Chasing Demand and Earning in a Changing Environment

Bora Keskin
University of Chicago

Date: April 11, 2014
Time: 02:00 pm - 03:30 pm
Location: Room 310


We consider a dynamic pricing problem in which a seller faces an unknown demand model that can change over time. We measure the amount of change over a time horizon of T periods using a quadratic variation metric, and allow a finite “budget" for such changes. We first derive a lower bound on the expected performance gap between any pricing policy and a clairvoyant who knows a priori the temporal evolution of the underlying demand model, and then design families of near-optimal pricing policies, the revenue performance of which asymptotically matches said lower bound. We also show that the seller can achieve a substantially better revenue performance in demand environments that change in “bursts" than it would in a demand environment that changes “smoothly." Finally, we extend our analysis to the case of rapidly changing demand settings, and obtain a range of results that quantify the net effect of the volatility in the demand environment on the seller’s revenue performance.

For more information, please contact Gina Ceolin at: gina [dot] ceolin [at] mcgill [dot] ca

Source Site: /desautels