Bayesian dithering for learning: Asymptotically optimal policies in dynamic pricing

• Main Authors: HUH, Woonghee Tim, KIM, Michael Jong, LIN, Meichun
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2022
• Subjects: Bayesian learning; dynamic pricing; exploration-exploitation; regret analysis; Operations and Supply Chain Management; Operations Research, Systems Engineering and Industrial Engineering
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/7312
• Institution: Singapore Management University

We consider a dynamic pricing and learning problem where a seller prices multiple products and learns from sales data about unknown demand. We study the parametric demand model in a Bayesian setting. To avoid the classical problem of incomplete learning, we propose dithering policies under which pri...