Dynamic Pricing Under Model Uncertainty
Location: Building OCC, 1st Floor, Rooms C120-C122
Organizers: Aleksandrs Slivkins and Assaf Zeevi
Abstract: We consider sequential pricing problems when the underlying demand model is unknown and the market response to any given price is confounded by statistical noise. The basic version dates back at least 40 years, is relatively simple in structure, is widely considered fundamental, and (through generalizations) has numerous manifestations across multiple application domains and academic disciplines. While significant progress has been made throughout the last several decades, including a flurry of recent work, many variants of this problem class remain essentially unsolved.
We cover in detail the basic version of the problem, and use this version to showcase some of the major themes and techniques in this problem space. We map out the problem space, outlining the various ``modeling dimensions" thereof, and highlight several key results. Along the way, we emphasize the contributions, influences and perspectives from different areas (economics, OR/MS and computer science), and hint at connections to other areas such as adaptive control and dynamical systems. We conclude with some open questions. |