Research Seminar

Seminar: Dynamic Pricing with Varying Cost

Abstract:	We consider a dynamic pricing problem where the firm tries to maximize the profit upon selling a product over the course of T periods. We do not assume decision maker’s foreknowledge on the demand. Traditionally, the cost is fixed and the problem may be formulated as a multi armed bandit problem, which is known to have an O(log T) lower bound on the expected regret. In this paper, we consider a setting where the cost may change over time and the optimal price is thus a function of the cost. We develop an upper confidence bound like (UCB-Like) algorithm to solve the problem. We show that our algorithm is robust and efficient in terms of the upper bound on the expected regret.
Date:	13 October 2017 (Friday)
Time:	11:00AM - 12:30PM
Speaker:	Mr Ying Zhong PhD Student Department of Management Sciences City University of Hong Kong
Venue:	Room 6-213, 6/F, Lau Ming Wai Academic Building