Optimal dynamic pricing of inventories with stochastic demand over finite horizons
Optimal dynamic pricing of inventories with stochastic demand over finite horizons
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DOI：
10.1287/mnsc.40.8.999
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发表时间：
1994-08
影响因子：
5.4
通讯作者：
G. Gallego;G. V. Ryzin
中科院分区：
文献类型：
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作者：
G. Gallego;G. V. Ryzin
在许多行业，管理者面临着在截止日期前销售给定库存商品的问题。当需求对价格敏感且随机且公司的目标是最大化预期收入时，我们研究动态定价此类库存的问题。符合这一框架的例子包括销售时尚和季节性商品的零售商以及旅游和休闲行业，该行业销售的空间包括航空公司航班的座位、度假游轮的客舱以及酒店的房间，如果不在特定时间售出，这些空间就会变得一文不值。我们使用强度控制来制定这个问题，并获得最佳强度和价格作为库存水平和期限长度的函数的结构单调性结果。对于特定的需求函数指数族，我们找到封闭形式的最优定价策略。对于一般需求函数，我们通过分析问题的确定性版本找到预期收入的上限，并使用该上限来证明当预期销量趋于无穷大时，简单的固定价格政策是渐近最优的。最后，我们将结果扩展到需求为复合泊松的情况；只允许有限数量的价格；需求率随时间变化；持有成本发生且现金流量贴现；初始库存是决策变量；允许重新订购、超额预订和随机取消。
In many industries, managers face the problem of selling a given stock of items by a deadline. We investigate the problem of dynamically pricing such inventories when demand is price sensitive and stochastic and the firm's objective is to maximize expected revenues. Examples that fit this framework include retailers selling fashion and seasonal goods and the travel and leisure industry, which markets space such as seats on airline flights, cabins on vacation cruises, and rooms in hotels that become worthless if not sold by a specific time. We formulate this problem using intensity control and obtain structural monotonicity results for the optimal intensity resp., price as a function of the stock level and the length of the horizon. For a particular exponential family of demand functions, we find the optimal pricing policy in closed form. For general demand functions, we find an upper bound on the expected revenue based on analyzing the deterministic version of the problem and use this bound to prove that simple, fixed price policies are asymptotically optimal as the volume of expected sales tends to infinity. Finally, we extend our results to the case where demand is compound Poisson; only a finite number of prices is allowed; the demand rate is time varying; holding costs are incurred and cash flows are discounted; the initial stock is a decision variable; and reordering, overbooking, and random cancellations are allowed.