报告题目：An Approximate Dynamic Programming Approach to Dynamic Pricing for Network Revenue Management
报 告 人：郑欢（上海交通大学 教授）
主 持 人：傅科（中山大学岭南学院 教授）
时 间： 2018年12月14日（周五）下午3:30-5:00
地 点： 岭南堂汪道涵会议室
We propose an approximate dynamic programming approach to the dynamic pricing problem for network revenue management. The approximate linear program (ALP) are semi-infinite linear programs and can be solved to any desired accuracy with a column generation algorithm. For the affine approximation under a linear independent demand model, we show that the ALP can be reformulated as a compact second order cone program (SOCP). The size of the SOCP formulation is linear in the number of resources, products, and periods. Numerical experiments show that solving the SOCP formulation is orders of magnitude faster and the ensuing pricing policies perform well.
Huan Zheng is a Professor of Management Science at Antai College of Economics & Management, Shanghai Jiao Tong University. She received her Ph.D. in Decision Sciences from National University of Singapore. Her main research interests include process flexibility, supply chain management and optimization. She has published in Operations Research, Productions and Operations Management, INFORMS Journal on Computing, and other academic journals.