Convexity and feedback in approximate dynamic programming for delivery time slot pricing

We consider the revenue management problem of finding profit-maximising prices for delivery time slots in the context of attended home delivery. This multi-stage optimal control problem admits a dynamic programming formulation that is intractable for realistic problem sizes due to the socalled “curs...

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Asıl Yazarlar: Lebedev, D, Margellos, K, Goulart, P
Materyal Türü: Journal article
Dil:English
Baskı/Yayın Bilgisi: IEEE 2021
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author Lebedev, D
Margellos, K
Goulart, P
author_facet Lebedev, D
Margellos, K
Goulart, P
author_sort Lebedev, D
collection OXFORD
description We consider the revenue management problem of finding profit-maximising prices for delivery time slots in the context of attended home delivery. This multi-stage optimal control problem admits a dynamic programming formulation that is intractable for realistic problem sizes due to the socalled “curse of dimensionality”. Therefore, we study three approximate dynamic programming algorithms both from a control-theoretical perspective and numerically. Our analysis is based on real-world data, from which we generate multiple scenarios to stress-test the robustness of the pricing policies to errors in model parameter estimates. Our theoretical analysis and numerical benchmark tests indicate that one of these algorithms, namely gradient-bounded dynamic programming, dominates the others with respect to computation time and profit-generation capabilities of the pricing policies that it generates.
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spelling oxford-uuid:4655b59c-142f-4b8f-966c-7a1a7dc2653c2022-05-04T08:20:00ZConvexity and feedback in approximate dynamic programming for delivery time slot pricingJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:4655b59c-142f-4b8f-966c-7a1a7dc2653cEnglishSymplectic ElementsIEEE2021Lebedev, DMargellos, KGoulart, PWe consider the revenue management problem of finding profit-maximising prices for delivery time slots in the context of attended home delivery. This multi-stage optimal control problem admits a dynamic programming formulation that is intractable for realistic problem sizes due to the socalled “curse of dimensionality”. Therefore, we study three approximate dynamic programming algorithms both from a control-theoretical perspective and numerically. Our analysis is based on real-world data, from which we generate multiple scenarios to stress-test the robustness of the pricing policies to errors in model parameter estimates. Our theoretical analysis and numerical benchmark tests indicate that one of these algorithms, namely gradient-bounded dynamic programming, dominates the others with respect to computation time and profit-generation capabilities of the pricing policies that it generates.
spellingShingle Lebedev, D
Margellos, K
Goulart, P
Convexity and feedback in approximate dynamic programming for delivery time slot pricing
title Convexity and feedback in approximate dynamic programming for delivery time slot pricing
title_full Convexity and feedback in approximate dynamic programming for delivery time slot pricing
title_fullStr Convexity and feedback in approximate dynamic programming for delivery time slot pricing
title_full_unstemmed Convexity and feedback in approximate dynamic programming for delivery time slot pricing
title_short Convexity and feedback in approximate dynamic programming for delivery time slot pricing
title_sort convexity and feedback in approximate dynamic programming for delivery time slot pricing
work_keys_str_mv AT lebedevd convexityandfeedbackinapproximatedynamicprogrammingfordeliverytimeslotpricing
AT margellosk convexityandfeedbackinapproximatedynamicprogrammingfordeliverytimeslotpricing
AT goulartp convexityandfeedbackinapproximatedynamicprogrammingfordeliverytimeslotpricing