Stochastic Knapsack Problem Revisited: Switch-Over Policies and Dynamic Pricing
| dc.creator | Lin, Grace | |
| dc.creator | Lu, Yingdong | |
| dc.creator | Yao, David | |
| dc.date | 2007-08-08 | |
| dc.date.accessioned | 2026-07-07T12:05:21Z | |
| dc.date.available | 2026-07-07T12:05:21Z | |
| dc.description | The stochastic knapsack has been used as a model in wide ranging applications from dynamic resource allocation to admission control in telecommunication. In recent years, a variation of the model has become a basic tool in studying problems that arise in revenue management and dynamic/flexible pricing; and it is in this context that our study is undertaken. Based on a dynamic programming formulation and associated properties of the value function, we study in this paper a class of control that we call switch-over policies -- start from accepting only orders of the highest price, and switch to including lower prices as time goes by, with the switch-over times optimally decided via convex programming. We establish the asymptotic optimality of the switch-over policy, and develop pricing models based on this policy to optimize the price reductions over the decision horizon. | |
| dc.identifier | https://arxiv.org/abs/0708.1146 | |
| dc.identifier | http://arxiv.org/abs/0708.1146 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/208353 | |
| dc.subject | Pricing of Securities | |
| dc.subject | Optimization and Control | |
| dc.subject | Probability | |
| dc.title | Stochastic Knapsack Problem Revisited: Switch-Over Policies and Dynamic Pricing | |
| dc.type | text |