Bayesian Dynamic Pricing in Queueing Systems with Unknown Delay Cost Characteristics

Published Online:https://doi.org/10.1287/msom.1120.0418

References

  • Aghion P, Bolton P, Harris C, Julien B. Optimal learning by experimentation. Rev. Econom. Stud. (1991) 58(4):621–654CrossrefGoogle Scholar
  • Araman V, Caldentey R. Dynamic pricing for nonperishable products with demand learning. Oper. Res. (2009) 57(5):1169–1188LinkGoogle Scholar
  • Ata B. Dynamic control of a multiclass queue with thin arrival streams. Oper. Res. (2006) 54(5):876–892LinkGoogle Scholar
  • Aviv Y, Pazgal A. A partially observed Markov decision process for dynamic pricing. Management Sci. (2005) 51(9):1400–1416LinkGoogle Scholar
  • Azoury KS. Bayes solution to dynamic inventory models under unknown demand distribution. Management Sci. (1985) 31(9):1150–1160LinkGoogle Scholar
  • Banks JS, Sundaram RK. Denumarable-armed bandits. Econometrica (1992) 60(5):1071–1096CrossrefGoogle Scholar
  • Bertsekas D. Dynamic Programming and Optimal Control (1995) 2(Athena Scientific, Nashua, NH) Google Scholar
  • Besbes O, Maglaras C. Revenue optimization of a make-to-order queue in an uncertain market environment. Oper. Res. (2009) 57(6):1438–1450LinkGoogle Scholar
  • Besbes O, Zeevi A. Dynamic pricing without knowing the demand function: Risk bounds and near-optimal algorithms. Oper. Res. (2009) 57(6):1407–1420LinkGoogle Scholar
  • Brezzi M, Lai TL. Optimal learning and experimentation in bandit problems. J. Econom. Dynam. Control (2002) 27(1):87–108CrossrefGoogle Scholar
  • Broder J, Rusmevichientong P. Dynamic pricing under a general parametric choice model. Oper. Res. (2012) 60(4):965–980LinkGoogle Scholar
  • Chen H, Frank M. State dependent pricing with a queue. IIE Trans. (2001) 33(10):847–860CrossrefGoogle Scholar
  • Chen L, Plambeck EL. Dynamic inventory management with learning about the demand distribution and substitution probability. Manufacturing Service Oper. Management (2008) 10(2):236–256LinkGoogle Scholar
  • den Boer AV, Zwart B. Simultaneously learning and optimizing using controlled variance pricing. (2011) . Working paper, Centrum Wiskunde and Informatica, AmsterdamGoogle Scholar
  • Easley D, Kiefer NM. Controlling a stochastic process with unknown parameters. Econometrica (1988) 56(5):1045–1064CrossrefGoogle Scholar
  • Farias V, van Roy B. Dynamic pricing with a prior on market response. Oper. Res. (2010) 58(1):16–29LinkGoogle Scholar
  • Harpaz G, Lee W, Winkler R. Learning, experimentation, and the optimal output decisions of a competitive firm. Management Sci. (1982) 28(6):589–603LinkGoogle Scholar
  • Harrison JM, Keskin NB, Zeevi A. Bayesian dynamic pricing policies: Learning and earning under a binary prior distribution. Management Sci. (2012a) 58(3):570–586LinkGoogle Scholar
  • Harrison JM, Keskin NB, Zeevi A. Dynamic pricing with an unknown linear demand model: Asymptotically optimal semi-myopic policies. (2012b) . Working paper, Stanford University, Stanford, CAGoogle Scholar
  • Hassin R, Haviv M. To Queue or Not to Queue: Equilibrium Behavior in Queueing Systems (2003) (Kluwer, Boston) CrossrefGoogle Scholar
  • Haviv M, Randhawa R. Pricing queues without demand information. (2012) . Working paper, University of Southern California, Los AngelesCrossrefGoogle Scholar
  • Karlin S, Taylor H. A First Course in Stochastic Processes (1975) 2nd ed.(Academic Press)Google Scholar
  • Keller G, Rady S. Optimal experimentation in a changing environment. Rev. Econom. Stud. (1999) 66(3):475–507CrossrefGoogle Scholar
  • Lobo MS, Boyd S. Pricing and learning with uncertain demand. (2003) . Working paper, Stanford University, Stanford, CAGoogle Scholar
  • Lovejoy W. Myopic policies for some inventory models with uncertain demand distribution. Management Sci. (1990) 36(6):724–738LinkGoogle Scholar
  • Masuda Y, Whang S. Dynamic pricing for network service: Equilibrium and stability. Management Sci. (1999) 45(6):857–869LinkGoogle Scholar
  • Mersereau AJ, Rusmevichientong P, Tsitsiklis JN. A structured multiarmed bandit problem and the greedy policy. IEEE Trans. Automatic Control (2009) 54(12):2787–2802CrossrefGoogle Scholar
  • Naor P. On the regulation of queue size by levying tolls. Econometrica (1969) 37(1):15–24CrossrefGoogle Scholar
  • Petruzzi NC, Dada M. Dynamic pricing and inventory control with learning. Naval Res. Logist. (2002) 49(3):303–325CrossrefGoogle Scholar
  • Ritt RK, Sennott LI. Optimal stationary policies in general state space Markov decision chains with finite action sets. Math. Oper. Res. (1992) 17(4):901–909LinkGoogle Scholar
  • Rothschild M. A two-armed bandit theory of market pricing. J. Econom. Theory (1974) 9(2):185–202CrossrefGoogle Scholar
  • Scarf H. Bayes solution of the statistical inventory problem. Ann. Math. Statist. (1959) 17(4):901–909Google Scholar
  • Tsitsiklis JN. A short proof of the Gittins index theorem. Ann. App. Probab. (1994) 4(1):194–199CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.