Bid Price Controls for Network Revenue Management
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Date: 10-26-2006
Start Time:
1:00pm
End Time: 2:00pm
Speaker: Baris Ata, Northwestern University
Location: Uris 333
Abstract
We consider a continuous-time model of network revenue management. Under mild assumptions, we first show that there exists an optimal generalized bid-price control where the bid-price process forms a martingale and is used in conjunction with a permissible capacity process. We also discuss its connection to the bid-price controls in the Talluri and van Ryzin (1998) sense, and provide sufficient conditions for the (near) optimality of the latter. Second, we construct an epsilon-optimal bid-price control, where the associated bid-price process forms a martingale. Moreover, the epsilon-optimal bid-price control can be viewed as a perturbation of a bid-price control in the Talluri and Van Ryzin (1998) sense. Third, we show how an epsilon-optimal bid-price control and the corresponding solution to the continuous-time network revenue management problem can be characterized as a solution to a forward-backward stochastic differential equation. Finally, we discuss the important special case of continuous information, where one can employ the machinery of Ito calculus.
Joint work with Mustafa Akan.
Bio
Baris Ata is an assistant professor of operations management at Kellogg School of Management, Northwestern University, where he has been since 2003. He received a B.S. in industrial engineering (1997) from Bilkent University, Ankara, Turkey, and an M.S. in EES and OR (1999), business research (2000), mathematics (2001), and statistics (2002), and a Ph.D. in business administration (2003) from Stanford University. His research focuses on two areas: dynamic control of manufacturing, service, and communication systems; and revenue management.