Dynamic pricing using flexible heterogeneous sales response models
提出一种结合非参数价格反应建模与动态定价的方法，通过贝叶斯半参数模型估计非线性异质性价格效应，并利用离散动态规划优化品牌价格路径，实证表明能提升预期利润。
Abstract We combine nonparametric price response modeling and dynamic pricing. In particular, we model sales response for fast-moving consumer goods sold by a physical retailer using a Bayesian semiparametric approach and incorporate the price of the previous period as well as further time-dependent covariates. All nonlinear effects including the one-period lagged price dynamics are modeled via P-splines, and embedding the semiparametric model into a Hierarchical Bayesian framework enables the estimation of nonlinear heterogeneous (i.e., store-specific) immediate and lagged price effects. The nonlinear heterogeneous model specification is used for price optimization and allows the derivation of optimal price paths of brands for individual stores of retailers. In an empirical study, we demonstrate that our proposed model can provide higher expected profits compared to competing benchmark models, while at the same time not seriously suffering from boundary problems for optimized prices and sales quantities. Optimal price policies for brands are determined by a discrete dynamic programming algorithm.