Models of the Spiral-Down Effect in Revenue Management
Operations Research
A Nonparametric Asymptotic Analysis of Inventory Planning with Censored Demand
Mathematics of Operations Research
Mathematics of Operations Research
Dynamic Pricing with a Prior on Market Response
Operations Research
Online algorithms for the newsvendor problem with and without censored demands
FAW'10 Proceedings of the 4th international conference on Frontiers in algorithmics
Dynamic ordering and pricing for a perishable goods supply chain
Computers and Industrial Engineering
The impact of sampling methods on bias and variance in stochastic linear programs
Computational Optimization and Applications
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We consider the combined problem of pricing and ordering for a perishable product with unknown demand distribution and censored demand observations resulting from lost sales, faced by a monopolistic retailer. We develop an adaptive pricing and ordering policy with the asymptotic property that the average realized profit per period converges with probability one to the optimal value under complete information on the distribution. The pricing mechanism is modeled as a multiarmed bandit problem, while the order quantity decision, made after the price level is established, is based on a stochastic approximation procedure with multiplicative updates.