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Relative Entropy, Exponential Utility, and Robust Dynamic Pricing

Citations

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Cited by:

  1. Omar Besbes & Assaf Zeevi, 2012. "Blind Network Revenue Management," Operations Research, INFORMS, vol. 60(6), pages 1537-1550, December.
  2. Yam, Sheung Chi Phillip & Yang, Hailiang & Yuen, Fei Lung, 2016. "Optimal asset allocation: Risk and information uncertainty," European Journal of Operational Research, Elsevier, vol. 251(2), pages 554-561.
  3. Vishal Gupta, 2019. "Near-Optimal Bayesian Ambiguity Sets for Distributionally Robust Optimization," Management Science, INFORMS, vol. 65(9), pages 4242-4260, September.
  4. Schlosser, Rainer & Gönsch, Jochen, 2023. "Risk-averse dynamic pricing using mean-semivariance optimization," European Journal of Operational Research, Elsevier, vol. 310(3), pages 1151-1163.
  5. Georgia Perakis & Guillaume Roels, 2008. "Regret in the Newsvendor Model with Partial Information," Operations Research, INFORMS, vol. 56(1), pages 188-203, February.
  6. Zeynep Turgay & Fikri Karaesmen & Egemen Lerzan Örmeci, 2018. "Structural properties of a class of robust inventory and queueing control problems," Naval Research Logistics (NRL), John Wiley & Sons, vol. 65(8), pages 699-716, December.
  7. Hang Thi Thanh Vu & Jeonghan Ko, 2022. "Integrated Inventory Transshipment and Missing-Data Treatment Using Improved Imputation-Level Adjustment for Efficient Cross-Filling," Sustainability, MDPI, vol. 14(19), pages 1-24, October.
  8. Moshe Haviv & Ramandeep S. Randhawa, 2014. "Pricing in Queues Without Demand Information," Manufacturing & Service Operations Management, INFORMS, vol. 16(3), pages 401-411, July.
  9. Maxime C. Cohen, & Georgia Perakis & Robert S. Pindyck, 2021. "A Simple Rule for Pricing with Limited Knowledge of Demand," Management Science, INFORMS, vol. 67(3), pages 1608-1621, March.
  10. Jun-ya Gotoh & Michael Jong Kim & Andrew E. B. Lim, 2020. "Worst-case sensitivity," Papers 2010.10794, arXiv.org.
  11. Denis Sauré & Assaf Zeevi, 2013. "Optimal Dynamic Assortment Planning with Demand Learning," Manufacturing & Service Operations Management, INFORMS, vol. 15(3), pages 387-404, July.
  12. Koenig, Matthias & Meissner, Joern, 2015. "Value-at-risk optimal policies for revenue management problems," International Journal of Production Economics, Elsevier, vol. 166(C), pages 11-19.
  13. Aleksandrina Goeva & Henry Lam & Huajie Qian & Bo Zhang, 2019. "Optimization-Based Calibration of Simulation Input Models," Operations Research, INFORMS, vol. 67(5), pages 1362-1382, September.
  14. Mengshi Lu & Zuo‐Jun Max Shen, 2021. "A Review of Robust Operations Management under Model Uncertainty," Production and Operations Management, Production and Operations Management Society, vol. 30(6), pages 1927-1943, June.
  15. Huina Gao & Michael O. Ball & Itir Z. Karaesmen, 2016. "Distribution-free methods for multi-period, single-leg booking control," Journal of Revenue and Pricing Management, Palgrave Macmillan, vol. 15(6), pages 425-453, December.
  16. William L. Cooper & Tito Homem-de-Mello & Anton J. Kleywegt, 2015. "Learning and Pricing with Models That Do Not Explicitly Incorporate Competition," Operations Research, INFORMS, vol. 63(1), pages 86-103, February.
  17. René Caldentey & Ying Liu & Ilan Lobel, 2017. "Intertemporal Pricing Under Minimax Regret," Operations Research, INFORMS, vol. 65(1), pages 104-129, February.
  18. Soumyadip Ghosh & Henry Lam, 2019. "Robust Analysis in Stochastic Simulation: Computation and Performance Guarantees," Operations Research, INFORMS, vol. 67(1), pages 232-249, January.
  19. den Boer, Arnoud V., 2015. "Tracking the market: Dynamic pricing and learning in a changing environment," European Journal of Operational Research, Elsevier, vol. 247(3), pages 914-927.
  20. Gabrel, Virginie & Murat, Cécile & Thiele, Aurélie, 2014. "Recent advances in robust optimization: An overview," European Journal of Operational Research, Elsevier, vol. 235(3), pages 471-483.
  21. Choi, Tsan-Ming & Sethi, Suresh, 2010. "Innovative quick response programs: A review," International Journal of Production Economics, Elsevier, vol. 127(1), pages 1-12, September.
  22. Bo Feng & Jixin Zhao & Zheyu Jiang, 2022. "Robust pricing for airlines with partial information," Annals of Operations Research, Springer, vol. 310(1), pages 49-87, March.
  23. Sen Lin & Bo Li & Antonio Arreola-Risa & Yiwei Huang, 2023. "Optimizing a single-product production-inventory system under constant absolute risk aversion," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(3), pages 510-537, October.
  24. Zeynep Turgay & Fikri Karaesmen & E. Örmeci, 2015. "A dynamic inventory rationing problem with uncertain demand and production rates," Annals of Operations Research, Springer, vol. 231(1), pages 207-228, August.
  25. Koenig, Matthias & Meissner, Joern, 2010. "List pricing versus dynamic pricing: Impact on the revenue risk," European Journal of Operational Research, Elsevier, vol. 204(3), pages 505-512, August.
  26. Yuri Levin & Jeff McGill & Mikhail Nediak, 2008. "Risk in Revenue Management and Dynamic Pricing," Operations Research, INFORMS, vol. 56(2), pages 326-343, April.
  27. Alper Atamtürk & Muhong Zhang, 2007. "Two-Stage Robust Network Flow and Design Under Demand Uncertainty," Operations Research, INFORMS, vol. 55(4), pages 662-673, August.
  28. Paul Glasserman & Xingbo Xu, 2013. "Robust Portfolio Control with Stochastic Factor Dynamics," Operations Research, INFORMS, vol. 61(4), pages 874-893, August.
  29. Schur, Rouven & Gönsch, Jochen & Hassler, Michael, 2019. "Time-consistent, risk-averse dynamic pricing," European Journal of Operational Research, Elsevier, vol. 277(2), pages 587-603.
  30. Michael Jong Kim & Andrew E.B. Lim, 2016. "Robust Multiarmed Bandit Problems," Management Science, INFORMS, vol. 62(1), pages 264-285, January.
  31. Qinghe Sun & Li Chen & Mabel C. Chou & Qiang Meng, 2023. "Mitigating the financial risk behind emission cap compliance: A case in maritime transportation," Production and Operations Management, Production and Operations Management Society, vol. 32(1), pages 283-300, January.
  32. Andersson, Jonas & Jörnsten, Kurt & Nonås, Sigrid Lise & Sandal, Leif & Ubøe, Jan, 2013. "A maximum entropy approach to the newsvendor problem with partial information," European Journal of Operational Research, Elsevier, vol. 228(1), pages 190-200.
  33. Arnoud V. den Boer & Bert Zwart, 2014. "Simultaneously Learning and Optimizing Using Controlled Variance Pricing," Management Science, INFORMS, vol. 60(3), pages 770-783, March.
  34. Maxime C. Cohen & Georgia Perakis & Robert S. Pindyck, 2015. "Pricing with Limited Knowledge of Demand," NBER Working Papers 21679, National Bureau of Economic Research, Inc.
  35. Jun-Ya Gotoh & Michael Jong Kim & Andrew E. B. Lim, 2017. "Calibration of Distributionally Robust Empirical Optimization Models," Papers 1711.06565, arXiv.org, revised May 2020.
  36. Gönsch, Jochen, 2017. "A survey on risk-averse and robust revenue management," European Journal of Operational Research, Elsevier, vol. 263(2), pages 337-348.
  37. Will Ma & David Simchi-Levi & Chung-Piaw Teo, 2021. "On Policies for Single-Leg Revenue Management with Limited Demand Information," Operations Research, INFORMS, vol. 69(1), pages 207-226, January.
  38. Fleischhacker, Adam J. & Fok, Pak-Wing, 2015. "On the relationship between entropy, demand uncertainty, and expected loss," European Journal of Operational Research, Elsevier, vol. 245(2), pages 623-628.
  39. Henry Lam, 2016. "Robust Sensitivity Analysis for Stochastic Systems," Mathematics of Operations Research, INFORMS, vol. 41(4), pages 1248-1275, November.
  40. Doan, Xuan Vinh & Lei, Xiao & Shen, Siqian, 2020. "Pricing of reusable resources under ambiguous distributions of demand and service time with emerging applications," European Journal of Operational Research, Elsevier, vol. 282(1), pages 235-251.
  41. Jose Blanchet & Karthyek Murthy, 2019. "Quantifying Distributional Model Risk via Optimal Transport," Mathematics of Operations Research, INFORMS, vol. 44(2), pages 565-600, May.
  42. Josef Broder & Paat Rusmevichientong, 2012. "Dynamic Pricing Under a General Parametric Choice Model," Operations Research, INFORMS, vol. 60(4), pages 965-980, August.
  43. H Xiong & J Xie & X Deng, 2011. "Risk-averse decision making in overbooking problem," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 62(9), pages 1655-1665, September.
  44. Rana, Rupal & Oliveira, Fernando S., 2014. "Real-time dynamic pricing in a non-stationary environment using model-free reinforcement learning," Omega, Elsevier, vol. 47(C), pages 116-126.
  45. Jochen Gönsch & Michael Hassler & Rouven Schur, 2018. "Optimizing conditional value-at-risk in dynamic pricing," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 40(3), pages 711-750, July.
  46. Ferrer, Juan-Carlos & Oyarzún, Diego & Vera, Jorge, 2012. "Risk averse retail pricing with robust demand forecasting," International Journal of Production Economics, Elsevier, vol. 136(1), pages 151-160.
  47. Rainer Schlosser, 2016. "Stochastic dynamic multi-product pricing with dynamic advertising and adoption effects," Journal of Revenue and Pricing Management, Palgrave Macmillan, vol. 15(2), pages 153-169, April.
  48. Yingjie Lan & Huina Gao & Michael O. Ball & Itir Karaesmen, 2008. "Revenue Management with Limited Demand Information," Management Science, INFORMS, vol. 54(9), pages 1594-1609, September.
  49. René Caldentey & Ying Liu & Ilan Lobel, 2017. "Intertemporal Pricing Under Minimax Regret," Operations Research, INFORMS, vol. 65(1), pages 104-129, February.
  50. Ming Chen & Zhi-Long Chen, 2018. "Robust Dynamic Pricing with Two Substitutable Products," Manufacturing & Service Operations Management, INFORMS, vol. 20(2), pages 249-268, May.
  51. Arnoud V. den Boer, 2014. "Dynamic Pricing with Multiple Products and Partially Specified Demand Distribution," Mathematics of Operations Research, INFORMS, vol. 39(3), pages 863-888, August.
  52. Youyi Feng & Baichun Xiao, 2008. "Technical Note---A Risk-Sensitive Model for Managing Perishable Products," Operations Research, INFORMS, vol. 56(5), pages 1305-1311, October.
  53. Dan A. Iancu & Nikolaos Trichakis, 2014. "Pareto Efficiency in Robust Optimization," Management Science, INFORMS, vol. 60(1), pages 130-147, January.
  54. Motoh Tsujimura & Hidekazu Yoshioka, 2023. "A robust consumption model when the intensity of technological progress is ambiguous," Mathematics and Financial Economics, Springer, volume 17, number 2, June.
  55. Zizhuo Wang & Shiming Deng & Yinyu Ye, 2014. "Close the Gaps: A Learning-While-Doing Algorithm for Single-Product Revenue Management Problems," Operations Research, INFORMS, vol. 62(2), pages 318-331, April.
  56. Omar Besbes & Assaf Zeevi, 2009. "Dynamic Pricing Without Knowing the Demand Function: Risk Bounds and Near-Optimal Algorithms," Operations Research, INFORMS, vol. 57(6), pages 1407-1420, December.
  57. Michael Jong Kim, 2016. "Robust Control of Partially Observable Failing Systems," Operations Research, INFORMS, vol. 64(4), pages 999-1014, August.
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