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1、RevenueManagementUnderaGeneralDiscreteChoiceModelofConsumerBehaviorKalyanTalluri∗GarrettvanRyzin†October21,2001AbstractCustomerchoicebehavior,suchas“buy-up”and“buy-down”,isanimportantphe-nomenoninawiderangeofrevenuemanagementcontexts.Yetmostrevenuemanage-mentmethodolo
2、giesignorethisphenomenon-oratbestapproximateitinaheuristicway.Inthispaper,weprovideanexactandquitegeneralanalysisofthisproblem.Specifically,weanalyzeasingle-legyieldmanagementprobleminwhichthebuyers’choicebehaviorismodeledexplicitly.Thechoicemodelisperfectlygeneralands
3、implyspecifiestheprobabilityofpurchasingeachfareproductasfunctionofthesetoffareproductsoffered.Thecontrolproblemistodecidewhichsubsetoffareproductstoofferateachpointintime.Weshowthattheoptimalpolicyisofasimpleform.Namely,itconsistsof1)identifyingtheorderedfamilyof“nondom
4、inated”subsetsS1,...,Sm,and2)ateachpointintimeopeningoneofthesesetsSk,wheretheoptimalindexkisin-creasingintheremainingcapacityx.Thatis,themorecapacitywehaveavailable,thefurthertheoptimalsetisalongthissequence.Moreover,weshowthattheoptimalpol-icyisnestedifandonlyiftheo
5、rderedsetsareincreasing,thatisS1⊆S2⊆...⊆Sn,andwegiveacompletecharacterizationofwhennestingbyfareorderisoptimal.Wethenshowthattwoimportantmodels,theindependentdemandmodelandthemultinomiallogitmodel(MNL),satisfythislaterconditionandhencenested-by-fare-orderpoliciesareop
6、timalinthesecases.Wealsodevelopanestimationprocedureforthissettingbasedontheexpectation-maximization(EM)methodthatjointlyestimatesarrivalratesandchoicemodelparameterswhenno-purchaseoutcomesareunobservable.Numericalresultsaregiventoillustrateboththemodelandestimationpr
7、ocedure.Keywords.yieldmanagement,revenuemanagement,discretechoicetheory,airlines,dynamicprogramming,maximumlikelihoodestimation,EMmethod∗KalyanTalluri,DepartmentofEconomicsandBusiness,UniversitatPompeuFabra,RamonTriasFargas25-27,08005Barcelona,Spain,email:talluri@upf.
8、es†GarrettvanRyzin,GraduateSchoolofBusiness,ColumbiaUniversity,NewYork,email:gjv1@columbia.edu1IntroductionandOverviewYield(
