Simultaneously Learning and Optimizing Using Controlled Variance Pricing
提出受控方差定价策略，通过在平均价格周围设置禁忌区间来平衡价格探索与收益，保证学习最优价格并控制后悔上界，适用于多种需求模型。
Price experimentation is an important tool for firms to find the optimal selling price of their products. It should be conducted properly, since experimenting with selling prices can be costly. A firm, therefore, needs to find a pricing policy that optimally balances between learning the optimal price and gaining revenue. In this paper, we propose such a pricing policy, called controlled variance pricing (CVP). The key idea of the policy is to enhance the certainty equivalent pricing policy with a taboo interval around the average of previously chosen prices. The width of the taboo interval shrinks at an appropriate rate as the amount of data gathered gets large; this guarantees sufficient price dispersion. For a large class of demand models, we show that this procedure is strongly consistent, which means that eventually the value of the optimal price will be learned, and derive upper bounds on the regret, which is the expected amount of money lost due to not using the optimal price. Numerical tests indicate that CVP performs well on different demand models and time scales. This paper was accepted by Assaf Zeevi, stochastic models and simulation.