Documents disponibles écrits par cet auteur

Bayesian dynamic pricing policies / J. Michael Harrison in Management science, Vol. 58 N° 3 (Mars 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 570-586 Titre : Bayesian dynamic pricing policies : Learning and earning under a binary prior distribution Type de document : texte imprimé Auteurs : J. Michael Harrison, Auteur ; N. Bora Keskin, Auteur ; Assaf Zeevi, Auteur Année de publication : 2012 Article en page(s) : pp. 570-586 Note générale : Management Langues : Anglais (eng) Mots-clés : Revenue  management  Pricing  Estimation  Bayesian  learning  Exploration–exploitation Résumé : Motivated by applications in financial services, we consider a seller who offers prices sequentially to a stream of potential customers, observing either success or failure in each sales attempt. The parameters of the underlying demand model are initially unknown, so each price decision involves a trade-off between learning and earning. Attention is restricted to the simplest kind of model uncertainty, where one of two demand models is known to apply, and we focus initially on performance of the myopic Bayesian policy (MBP), variants of which are commonly used in practice. Because learning is passive under the MBP (that is, learning only takes place as a by-product of actions that have a different purpose), it can lead to incomplete learning and poor profit performance. However, under one additional assumption, a constrained variant of the myopic policy is shown to have the following strong theoretical virtue: the expected performance gap relative to a clairvoyant who knows the underlying demand model is bounded by a constant as the number of sales attempts becomes large. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc [article] Bayesian dynamic pricing policies : Learning and earning under a binary prior distribution [texte imprimé] / J. Michael Harrison, Auteur ; N. Bora Keskin, Auteur ; Assaf Zeevi, Auteur . - 2012 . - pp. 570-586. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 570-586 Mots-clés : Revenue  management  Pricing  Estimation  Bayesian  learning  Exploration–exploitation Résumé : Motivated by applications in financial services, we consider a seller who offers prices sequentially to a stream of potential customers, observing either success or failure in each sales attempt. The parameters of the underlying demand model are initially unknown, so each price decision involves a trade-off between learning and earning. Attention is restricted to the simplest kind of model uncertainty, where one of two demand models is known to apply, and we focus initially on performance of the myopic Bayesian policy (MBP), variants of which are commonly used in practice. Because learning is passive under the MBP (that is, learning only takes place as a by-product of actions that have a different purpose), it can lead to incomplete learning and poor profit performance. However, under one additional assumption, a constrained variant of the myopic policy is shown to have the following strong theoretical virtue: the expected performance gap relative to a clairvoyant who knows the underlying demand model is bounded by a constant as the number of sales attempts becomes large. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc

Capacity sizing under parameter uncertainty / Achal Bassamboo in Management science, Vol. 56 N° 10 (Octobre 2010) 

Public ISBD [article]  in Management science > Vol. 56 N° 10 (Octobre 2010) . - pp. 1668-1686 Titre : Capacity sizing under parameter uncertainty : Safety staffing principles revisited Type de document : texte imprimé Auteurs : Achal Bassamboo, Auteur ; Ramandeep S. Randhawa, Auteur ; Assaf Zeevi, Auteur Année de publication : 2010 Article en page(s) : pp. 1668-1686 Note générale : Management Langues : Anglais (eng) Mots-clés : Service  systems  Capacity  sizing  Parameter  uncertainty Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We study a capacity sizing problem in a service system that is modeled as a single-class queue with multiple servers and where customers may renege while waiting for service. A salient feature of the model is that the mean arrival rate of work is random (in practice this is a typical consequence of forecasting errors). The paper elucidates the impact of uncertainty on the nature of capacity prescriptions, and relates these to well established rules-of-thumb such as the square-root safety staffing principle. We establish a simple and intuitive relationship between the incoming load (measured in Erlangs) and the extent of uncertainty in arrival rates (measured via the coefficient of variation) that characterizes the extent to which uncertainty dominates stochastic variability or vice versa. In the former case it is shown that traditional square-root safety staffing logic is no longer valid, yet simple capacity prescriptions derived via a suitable newsvendor problem are surprisingly accurate. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/56/10/1668 [article] Capacity sizing under parameter uncertainty : Safety staffing principles revisited [texte imprimé] / Achal Bassamboo, Auteur ; Ramandeep S. Randhawa, Auteur ; Assaf Zeevi, Auteur . - 2010 . - pp. 1668-1686. Management Langues : Anglais (eng) in Management science > Vol. 56 N° 10 (Octobre 2010) . - pp. 1668-1686 Mots-clés : Service  systems  Capacity  sizing  Parameter  uncertainty Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We study a capacity sizing problem in a service system that is modeled as a single-class queue with multiple servers and where customers may renege while waiting for service. A salient feature of the model is that the mean arrival rate of work is random (in practice this is a typical consequence of forecasting errors). The paper elucidates the impact of uncertainty on the nature of capacity prescriptions, and relates these to well established rules-of-thumb such as the square-root safety staffing principle. We establish a simple and intuitive relationship between the incoming load (measured in Erlangs) and the extent of uncertainty in arrival rates (measured via the coefficient of variation) that characterizes the extent to which uncertainty dominates stochastic variability or vice versa. In the former case it is shown that traditional square-root safety staffing logic is no longer valid, yet simple capacity prescriptions derived via a suitable newsvendor problem are surprisingly accurate. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/56/10/1668