Robust Dynamic Pricing Over Infinite Horizon in The Presence of Model Uncertainty( 2* Journal)

This paper studies a problem of dynamic pricing faced by a retailer with limited inventory, uncertain about the demand rate model, aiming to maximize expected discounted revenue over an infinite time horizon. The retailer doubts his demand model which is generated by historical data and views it as an approximation. Uncertainty in the demand rate model is represented by a notion of generalized relative entropy process, and the robust pricing problem is formulated as a two-player zero-sum stochastic differential game. The pricing policy is obtained through the Hamilton-Jacobi-Isaacs (HJI) equation. The existence and uniqueness of the solution of the HJI equation is shown and a verification theorem is proved to show that the solution of the HJI equation is indeed the value function of the pricing problem. The results are illustrated by an example with exponential nominal demand rate.

Dynamic pricing models for used products in remanufacturing with lost-sales and uncertain quality

In this paper, we investigate the remanufacturing problem of pricing single-class used products (cores) in the face of random price-dependent returns and random demand. Specifically, we propose a dynamic pricing policy for the cores and then model the problem as a continuous-time Markov decision process. Our models are designed to address three objectives: finite horizon total cost minimization, infinite horizon discounted cost, and average cost minimization. Besides proving optimal policy uniqueness and establishing monotonicity results for the infinite horizon problem, we also characterize the structures of the optimal policies, which can greatly simplify the computational procedure. Finally, we use computational examples to assess the impacts of specific parameters on optimal price and reveal the benefits of a dynamic pricing policy. © 2013 Elsevier B.V. All rights reserved.

Dynamic pricing for used products in remanufacturing with back orders(ABS 3* Journal, Accepted with Revision on 2nd December 2011).

In remanufacturing, the supply of used products and the demand for remanufactured products are usually mismatched because of the great uncertainties on both sides. In this paper, we propose a dynamic pricing policy to balance this uncertain supply and demand. Specifically, we study a remanufacturer’s problem of pricing a single class of cores with random price-dependent returns and random demand for the remanufactured products with backlogs. We model this pricing task as a continuous-time Markov decision process, which addresses both the finite and infinite horizon problems, and provide managerial insights by analyzing the structural properties of the optimal policy. We then use several computational examples to illustrate the impacts of particular system parameters on pricing policy.

On Infinite Time Performance of Nonlinear Model Predictive Controllers

This paper addresses the problem of infinite time performance of model predictive controllers applied to constrained nonlinear systems. The total performance is compared with a finite horizon optimal cost to reveal performance limits of closed-loop model predictive control systems. Based on the Principle of Optimality, an upper and a lower bound of the ratio between the total performance and the finite horizon optimal cost are obtained explicitly expressed by the optimization horizon. The results also illustrate, from viewpoint of performance, how model predictive controllers approaches to infinite optimal controllers as the optimization horizon increases.

Coupled consolidation of a solid, infinite cylinder using a Terzaghi formulation

Axisymmetric consolidation is a classical boundary value problem for geotechnical engineers. Under some circumstances an analysis in which the changes in pore pressure, effective stress and displacement can be uncoupled from each other is sufficient, leading to a Terzaghi formulation of the axisymmetric consolidation equation in terms of the pore pressure. However, representation of the Mandel-Cryer effect usually requires more complex, coupled, Biot formulations. A new coupled formulation for the plane strain, axisymmetric consolidation problem is presented for small, linear elastic deformations. A single, easily evaluated parameter couples changes in pore pressure to changes in effective stress, and the resulting differential equation for pore pressure dissipation is very similar to Terzaghi’s classic formulation. The governing equations are then solved using finite differences and the consolidation of a solid infinite cylinder analysed, calculating the variation with time and with radius of the excess pore pressure and the radial displacement. Comparison with a previously published semi-analytical solution indicates that the formulation successfully embodies the Mandel-Cryer effect.

Whitney's type theorems for infinite dimensional spaces

It is proved that for any $f$ is an element of $C^k(L,R)$, where k is a natural number and L is a closed linear subspace of a nuclear Frechet space $X$, the function $f$ can be extended to a function of class $C^{k-1}$ defined on the entire space $X$. It is also proved that for any $f$ is an element of $C^k(L, R)$, where $k$ is a natural number of infinity and L is a closed linear subspace of a dual $X$ of a nuclear Frechet space, the function $f$ can be extended to a function of class $C^k$ defined on the entire space $X$. In addition, it is proved that under these conditions, the existence of a linear extension operator is equivalent to the complementability of the subspace.