Mike Harrison, Stanford University

Event Details
  • Date/Time:
    • Thursday February 18, 2010
      10:00 am - 11:00 am
  • Location: TBD
  • Phone:
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  • Email:
  • Fee(s):
    N/A
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Contact

Ton Dieker
ISyE
Contact Ton Dieker
404-385-3140

Summaries

Summary Sentence: Mike Harrison, Stanford University

Full Summary: Joint Statistics/OR Colloquium Dynamic policies to learn and earn in a customized pricing context

Speaker
Michael Harrison
Adams Distinguished Professor of Management
Stanford University

Abstract
Motivated by applications in financial services, we consider the following customized pricing problem. A seller of some good or service (like auto loans or small business loans) confronts a sequence of potential customers numbered 1, 2, … , T. These customers are drawn at random from a population characterized by a price-response function ρ(p). That is, if the seller offers price p, then the probability of a successful sale is ρ(p). The profit realized from a successful sale is Ï€(p) = p − c, where c > 0 is known.

If the price-response function ρ(-) were also known, then the problem of finding a price p* to maximize ρ(p)π(p) would be simple, and the seller would offer price p* to each of the T customers. We consider the more complicated case where ρ(-) is fixed but initially unknown: roughly speaking, the seller wants to choose prices sequentially so as to maximize the total profit earned from the T potential customers; each successive choice involves a trade-off between refined estimation of the unknown price-response function (learning) and immediate profit (earning).

* Joint work with Bora Keskin and Assaf Zeevi

Additional Information

In Campus Calendar
No
Groups

School of Industrial and Systems Engineering (ISYE)

Invited Audience
No audiences were selected.
Categories
Seminar/Lecture/Colloquium
Keywords
customized pricing, Dynamic policies
Status
  • Created By: Barbara Christopher
  • Workflow Status: Published
  • Created On: Feb 18, 2010 - 9:30am
  • Last Updated: Oct 7, 2016 - 9:49pm