eprintid: 10205508
rev_number: 6
eprint_status: archive
userid: 699
dir: disk0/10/20/55/08
datestamp: 2025-03-03 14:54:44
lastmod: 2025-03-03 14:54:44
status_changed: 2025-03-03 14:54:44
type: article
metadata_visibility: show
sword_depositor: 699
creators_name: Ahn, Hyun-Soo
creators_name: Ryan, Christopher
creators_name: Uichanco, Joline
creators_name: Zhang, Mengzhenyu
title: Certainty-Equivalent Pricing with Dependent Demand and Limited Price-Changing Opportunities
ispublished: inpress
divisions: UCL
divisions: B04
divisions: F49
note: This version is the author accepted manuscript. For information on re-use, please refer to the publisher's terms and conditions.
abstract: When underlying demand follows a complex stochastic process, pricing problems are difficult to solve. In such cases, certainty equivalent (CE) policies, based on the solution to the deterministic relaxation of the stochastic pricing problem, can be used as practical alternatives. CE policies have lighter computational and informational requirements compared with solving the problem to optimality. Although the effectiveness of CE pricing policies has been theoretically studied when demands are independent, performance is not well known when demands are state-dependent and price-changing opportunities are limited. This paper analyzes the performance of CE policies in a pricing problem where future demand depends on sales and inventory, and the firm has limited opportunities to change prices. We show that CE policies are asymptotically optimal; as the problem scale (denoted by m) becomes large, the percentage revenue loss decreases at the rate of Θ⁢(1/√
date: 2025-02-28
date_type: published
publisher: INFORMS
official_url: https://doi.org/10.1287/moor.2022.0330
oa_status: green
full_text_type: other
language: eng
primo: open
primo_central: open_green
verified: verified_manual
elements_id: 2365333
doi: 10.1287/moor.2022.0330
lyricists_name: Zhang, Mengzhenyu
lyricists_id: MZHAH52
actors_name: Zhang, Mengzhenyu
actors_id: MZHAH52
actors_role: owner
full_text_status: public
publication: Mathematics of Operations Research
citation:        Ahn, Hyun-Soo;    Ryan, Christopher;    Uichanco, Joline;    Zhang, Mengzhenyu;      (2025)    Certainty-Equivalent Pricing with Dependent Demand and Limited Price-Changing Opportunities.                   Mathematics of Operations Research        10.1287/moor.2022.0330 <https://doi.org/10.1287/moor.2022.0330>.    (In press).    Green open access   
 
document_url: https://discovery.ucl.ac.uk/id/eprint/10205508/1/Zhenyu_Paper_2___MathOR_revision_2__for_minor_revision_-2.pdf