讲座主题：An Approximate Dynamic Programming Approach to Dynamic Pricing for Network Revenue Management

　　主讲人：柯剑男

　　讲座地点：C373b

　　讲座时间：2019年 3月11日上午10点00 分

　　主办单位：武汉大学经济与管理学院管理科学与工程系

　　讲座摘要：Much of the network revenue management literature considers capacity control problems where product prices are fixed and the product availability is controlled over time. However, for industries with imperfect competition, firms typically retain some pricing power and dynamic pricing models are more realistic than capacity control models. Dynamic pricing problems are more challenging to solve; even the deterministic version is typically nonlinear. In this paper, we consider a dynamic programming model and use approximate linear programs (ALPs) to solve the problem. Unlike capacity control problems, the ALPs are semi-infinite linear programs, for which we propose a column generation algorithm. Furthermore, for the affine approximation under a linear independent demand model, we show that the ALPs can be reformulated as compact second order cone programs (SOCPs). The size of the SOCP formulation is linear in model primitives, including the number of resources, the number of products, and the number of periods. In addition, we consider a version of the model with discrete price sets and show that the resulting ALPs admit compact reformulations. We report numerical results on computational and policy performance on a set of hub-and-spoke problem instances.

　　个人简介：

　　柯剑男，上海交通大学安泰经济与管理学院管理科学与工程专业博士。本科毕业于华中科技大学信息管理与信息系统专业，美国科罗拉多大学博尔德分校利兹商学院访问学者。目前主要研究方向为收益管理和近似动态规划方法，包括机票和酒店的动态定价、零售业的产品组合优化等，荣获服务系统与服务管理国际会议最佳论文奖。