On the Minimax Complexity of Pricing in a Changing Environment

References

• Bayraktar E., Dayanik S., Karatzas I. The standard Poisson disorder problem revisited. Stochastic Processes Appl. (2005) 115(9):1437–1450Crossref, Google Scholar
• Besbes O., Zeevi A. Dynamic pricing without knowing the demand function: Risk bounds and near-optimal algorithms. Oper. Res. (2009) 57(6):1407–1420Link, Google Scholar
• Besbes O., Phillips R., Zeevi A. Testing the validity of a demand model: An operations perspective. Manufacturing Service Oper. Management (2010) 12(1):162–183Link, Google Scholar
• Borovkov A.Mathematical Statistics (1998) (Gordon and Breach Science Publishers, Amsterdam) Google Scholar
• Cesa-Bianchi N., Lugosi G.Prediction, Learning, and Games (2006) (Cambridge University Press, Cambridge, UK) Crossref, Google Scholar
• Gallego G., van Ryzin G. A multiproduct dynamic pricing problem and its applications to network yield management. Oper. Res. (1997) 45(1):24–41Link, Google Scholar
• Hannan J. Approximation to Bayes risk in repeated play. Contributions to the Theory of Games (1957) III(Princeton University Press, Princeton, NJ) 97–139Google Scholar
• Keller G., Rady S. Optimal experimentation in a changing environment. Rev. Econom. Stud. (1999) 66(3):475–507Crossref, Google Scholar
• Lai T. L. Sequential analysis: Some classical problems and new challenges. Statistica Sinica (2001) 11(2):303–408Google Scholar
• Levina T., Levin Y., McGill J., Nediak M. Dynamic pricing with online learning and strategic consumers. An application of the aggregating algorithm. Oper. Res. (2009) 57(2):327–341Link, Google Scholar
• Lobo M. S. The value of dynamic pricing. (2007) . Working paper, Duke University, Durham, NCGoogle Scholar
• Page E. S. Continuous inspection schemes. Biometrika (1954) 41(1–2):100–115Crossref, Google Scholar
• Phillips R.Pricing and Revenue Optimization (2005) (Stanford University Press, Palo Alto, CA) Crossref, Google Scholar
• Polyak B. T., Tsybakov A. Optimal order of accuracy of search algorithms in stochastic optimization. Problems Inform. Transmission (1990) 26(2):126–133Google Scholar
• Roberts S. W. A comparison of some control chart procedures. Technometrics (1966) 8(3):411–430Crossref, Google Scholar
• Shewhart W. A.The Economic Control of the Quality of Manufactured Product (1931) (Van Nostrand, New York) Google Scholar
• Shiryayev A. N. On optimum methods in quickest detection problems. Theory Probab. Its Appl. (1963) 8(1):22–46Crossref, Google Scholar
• Shiryayev A. N.Optimal Stopping Rules (1978) (Springer-Verlag, Berlin) Google Scholar
• Siegmund D.Sequential Analysis (1985) (Springer-Verlag, New York) Crossref, Google Scholar
• Talluri K. A finite-population revenue management model and a risk-ratio procedure for the joint estimation of population size and parameters. (2009) . Working paper, Universitat Pompeu Fabra, Barcelona, SpainCrossref, Google Scholar
• Talluri K. T., van Ryzin G. J.Theory and Practice of Revenue Management (2005) (Springer-Verlag, New York) Crossref, Google Scholar