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1、MANAGEMENTSCIENCEinforms®Vol.51,No.9,September2005,pp.1400–1416doi10.1287/mnsc.1050.0393issn0025-1909eissn1526-55010551091400©2005INFORMSAPartiallyObservedMarkovDecisionProcessforDynamicPricingYossiAviv,AmitPazgalOlinSchoolofBusiness,WashingtonUniversity,S
2、t.Louis,Missouri63130{aviv@wustl.edu,pazgal@wustl.edu}Inthispaper,wedevelopastylizedpartiallyobservedMarkovdecisionprocess(POMDP)frameworktostudyadynamicpricingproblemfacedbysellersoffashion-likegoods.Weconsideraretailerthatplanstosellagivenstockofitemsduringa
3、finitesalesseason.Theobjectiveoftheretaileristodynamicallypricetheproductinawaythatmaximizesexpectedrevenues.Ourmodelbringstogethervarioustypesofuncertaintiesaboutthedemand,someofwhichareresolvablethroughsalesobservations.Wedeveloparigorousupperboundfortheselle
4、r’soptimaldynamicdecisionproblemanduseittoproposeanactive-learningheuristicpricingpolicy.Weconductanumericalstudytotesttheperformanceoffourdifferentheuristicdynamicpricingpoliciesinordertogaininsightintoseveralimportantmanagerialquestionsthatariseinthecontexto
5、frevenuemanagement.Keywords:learning;partiallyobservedMarkovdecisionprocesses;pricing;revenuemanagementHistory:AcceptedbyWilliamS.Lovejoy,operationsandsupplychainmanagement;receivedNovember15,2002.Thispaperwaswiththeauthors1yearfor2revisions.1.Introductionfash
6、ion-likeornewproducts,theevolutionofcus-Retailersofseasonal,fashion-likeproductsarefacedtomerperceptionsoftheirvalueswilldeterminethewiththecomplextaskofdynamicallysettingpriceslevelofsales.Tomodeldemandprocessesinfluc-inawaythatmaximizestheirexpectedrevenues.I
7、ntuatingbusinessenvironments,researchershavesug-thispaperwefocusouranalysisontherevenueman-gestedtheuseofasetofstatesoftheworld.Eachagementprocess,whichstartsatthebeginningofthestateincludesalltherelevantinformationaboutthesalesseason,afterthesellersalreadypur
8、chasedthedemand,andthetransitionbetweenstatesisgov-goodsandareeagerlybeginningtoselltocustomers.ernedbyaMarkovchain(see,e.g.,SethiandChengTheglobalnatureofsupplychainsofproductssuc
