Technical note: Finite‐time regret analysis of Kiefer‐Wolfowitz stochastic approximation algorithm and nonparametric multi‐product dynamic pricing with unknown demand

We consider the problem of nonparametric multi‐product dynamic pricing with unknown demand and show that the problem may be formulated as an online model‐free stochastic program, which can be solved by the classical Kiefer‐Wolfowitz stochastic approximation (KWSA) algorithm. We prove that the expect...

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Bibliographic Details

Published in:	Naval research logistics Vol. 67; no. 5; pp. 368 - 379
Main Authors:	Hong, L. Jeff, Li, Chenghuai, Luo, Jun
Format:	Journal Article
Language:	English
Published:	Hoboken, USA John Wiley & Sons, Inc 01.08.2020 Wiley Subscription Services, Inc
Subjects:	Algorithms Approximation Constants dynamic pricing and learning Kiefer‐Wolfowitz algorithm Lower bounds Market prices Mathematical analysis nonparametric pricing policy Nonparametric statistics Policies Pricing Pricing policies revenue management stochastic approximation
ISSN:	0894-069X, 1520-6750
Online Access:	Get full text
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