Bayesian dithering for learning: Asymptotically optimal policies in dynamic pricing

• Main Authors: HUH, Woonghee Tim, KIM, Michael Jong, LIN, Meichun
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2022
• 主題: Bayesian learning; dynamic pricing; exploration-exploitation; regret analysis; Operations and Supply Chain Management; Operations Research, Systems Engineering and Industrial Engineering
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/7312

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...