INDIGO Home University of Illinois at Urbana-Champaign logo uic building uic pavilion uic student center

Dynamic pricing and inventory control: robust vs. stochastic uncertainty models-a computational study

Show simple item record

Bookmark or cite this item: http://hdl.handle.net/10027/7627

Files in this item

File Description Format
PDF stoch vs robust dec 2009.pdf (238KB) (no description provided) PDF
Title: Dynamic pricing and inventory control: robust vs. stochastic uncertainty models-a computational study
Author(s): Adida, Elodie; Perakis, Georgia
Subject(s): robust optimization pricing
Abstract: In this paper, we consider a variety of models for dealing with demand uncertainty for a joint dynamic pricing and inventory control problem in a make-to-stock manufacturing system. We consider a multi-product capacitated, dynamic setting, where demand depends linearly on the price. Our goal is to address demand uncertainty using various robust and stochastic optimization approaches. For each of these approaches, we first introduce closed-loop formulations (adjustable robust and dynamic programming), where decisions for a given time period are made at the beginning of the time period, and uncertainty unfolds as time evolves. We then describe models in an open-loop setting, where decisions for the entire time horizon must be made at time zero. We conclude that the affine adjustable robust approach performs well (when compared to the other approaches such as dynamic programming, stochastic programming and robust openloop approaches) in terms of realized profits and protection against constraint violation while at the same time it is computationally tractable. Furthermore, we compare the complexity of these models and discuss some insights on a numerical example.
Issue Date: 2010-12
Publisher: Springer Verlag
Citation Info: Adida, E. & Perakis, G. 2010. Dynamic pricing and inventory control: robust vs. stochastic uncertainty models-a computational study. Annals of Operations Research, 181(1): 125-157. DOI: 10.1007/s10479-010-0706-1
Type: Article
Description: The original publication is available at www.springerlink.com; DOI: 10.1007/s10479-010-0706-1
URI: http://hdl.handle.net/10027/7627
ISSN: 0254-5330
Sponsor: Preparation of this paper was supported, in part, by award 0556106-CMII from the National Science Foundation and the Singapore MIT Alliance Program. 29
Date Available in INDIGO: 2011-05-12
 

This item appears in the following Collection(s)

Show simple item record

Statistics

Country Code Views
United States of America 114
China 18
United Kingdom 6
Russian Federation 3
France 2

Browse

My Account

Information

Access Key