Practical Decision Rules for Risk-Averse Revenue Management Using Simulation-Based Optimization PDF Download
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Author: Sebastian Koch
Publisher:
ISBN:
Category :
Languages : en
Pages : 28
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Book Description
In practice, human-decision makers often feel uncomfortable with the risk-neutral revenue management systems' output. Reasons include a low number of repetitions of similar events, a critical impact of the achieved revenue for economic survival, or simply business constraints imposed by management. However, solving capacity control problems is a challenging task for many risk measures and the approaches are often not compatible with existing software systems.In this paper, we propose a flexible framework for risk-averse capacity control under customer choice behavior. Existing risk-neutral decision rules are augmented by the integration of adjustable parameters. Our key idea is the application of simulation-based optimization (SBO) to calibrate these parameters. This allows to easily tailor the resulting capacity control mechanism to almost every risk measure and customer choice behavior.In an extensive simulation study, we analyze the impact of our approach on expected utility, conditional value-at-risk (CVaR), and expected value. The results show a superior performance in comparison to risk-neutral approaches from literature.
Author: Sebastian Koch
Publisher:
ISBN:
Category :
Languages : en
Pages : 28
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Book Description
In practice, human-decision makers often feel uncomfortable with the risk-neutral revenue management systems' output. Reasons include a low number of repetitions of similar events, a critical impact of the achieved revenue for economic survival, or simply business constraints imposed by management. However, solving capacity control problems is a challenging task for many risk measures and the approaches are often not compatible with existing software systems.In this paper, we propose a flexible framework for risk-averse capacity control under customer choice behavior. Existing risk-neutral decision rules are augmented by the integration of adjustable parameters. Our key idea is the application of simulation-based optimization (SBO) to calibrate these parameters. This allows to easily tailor the resulting capacity control mechanism to almost every risk measure and customer choice behavior.In an extensive simulation study, we analyze the impact of our approach on expected utility, conditional value-at-risk (CVaR), and expected value. The results show a superior performance in comparison to risk-neutral approaches from literature.
Author: Rainer Schlosser
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
In many revenue management applications risk-averse decision-making is crucial. In dynamic settings, however, it is challenging to find the right balance between maximizing expected rewards and avoiding poor performances. In this paper, we consider time-consistent mean-semivariance (MSV) optimization for dynamic pricing problems within a discrete MDP framework, which are shown to be NP hard. We present a novel fixpoint-based dynamic programming approach to compute risk-sensitive feedback policies with Pareto-optimal combinations of mean and semivariance. We illustrate the effectiveness and the applicability of our concepts compared to state-of-the-art heuristics. For various numerical examples the results show that our approach clearly outperforms all other heuristics and obtains a performance guarantee with less then 0.2% optimality gap. Our approach is general and can be applied to MDPs beyond dynamic pricing.
Author: Roger B. Myerson
Publisher: MIT Press
ISBN: 0262043122
Category : Business & Economics
Languages : en
Pages : 569
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Book Description
An introduction to the use of probability models for analyzing risk and economic decisions, using spreadsheets to represent and simulate uncertainty. This textbook offers an introduction to the use of probability models for analyzing risks and economic decisions. It takes a learn-by-doing approach, teaching the student to use spreadsheets to represent and simulate uncertainty and to analyze the effect of such uncertainty on an economic decision. Students in applied business and economics can more easily grasp difficult analytical methods with Excel spreadsheets. The book covers the basic ideas of probability, how to simulate random variables, and how to compute conditional probabilities via Monte Carlo simulation. The first four chapters use a large collection of probability distributions to simulate a range of problems involving worker efficiency, market entry, oil exploration, repeated investment, and subjective belief elicitation. The book then covers correlation and multivariate normal random variables; conditional expectation; optimization of decision variables, with discussions of the strategic value of information, decision trees, game theory, and adverse selection; risk sharing and finance; dynamic models of growth; dynamic models of arrivals; and model risk. New material in this second edition includes two new chapters on additional dynamic models and model risk; new sections in every chapter; many new end-of-chapter exercises; and coverage of such topics as simulation model workflow, models of probabilistic electoral forecasting, and real options. The book comes equipped with Simtools, an open-source, free software used througout the book, which allows students to conduct Monte Carlo simulations seamlessly in Excel.
Author: Alexis Papathanassis
Publisher: Springer Science & Business Media
ISBN: 3834971596
Category : Business & Economics
Languages : en
Pages : 253
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Book Description
Increasingly, cruise operators are utilising information and communication technologies (ICTs) to improve service-effectiveness and process efficiency, both on- and off-board. Therefore, it is worth initiating a discussion on the potential and challenges ICTs entail for both cruise operators’ back-offices and for cruisers’ consumption experiences. This book documents the proceedings of the 1st e-Cruising Conference (Bremerhaven, Germany), which was aimed at discussing the possibilities and applicability of ICTs and mobile services in various aspects of cruise operations. Following a rigorous double-blind review, the best papers were chosen to be incorporated in this volume.
Author: Kalyan T. Talluri
Publisher: Springer Science & Business Media
ISBN: 0387273913
Category : Business & Economics
Languages : en
Pages : 731
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Book Description
Revenue management (RM) has emerged as one of the most important new business practices in recent times. This book is the first comprehensive reference book to be published in the field of RM. It unifies the field, drawing from industry sources as well as relevant research from disparate disciplines, as well as documenting industry practices and implementation details. Successful hardcover version published in April 2004.
Author: Institute for Operations Research and the Management Sciences. National Meeting
Publisher:
ISBN:
Category : Industrial management
Languages : en
Pages : 290
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Book Description
Author: National Research Council
Publisher: National Academies Press
ISBN: 0309180538
Category : Science
Languages : en
Pages : 124
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Book Description
Uncertainty is a fundamental characteristic of weather, seasonal climate, and hydrological prediction, and no forecast is complete without a description of its uncertainty. Effective communication of uncertainty helps people better understand the likelihood of a particular event and improves their ability to make decisions based on the forecast. Nonetheless, for decades, users of these forecasts have been conditioned to receive incomplete information about uncertainty. They have become used to single-valued (deterministic) forecasts (e.g., "the high temperature will be 70 degrees Farenheit 9 days from now") and applied their own experience in determining how much confidence to place in the forecast. Most forecast products from the public and private sectors, including those from the National Oceanographic and Atmospheric Administration's National Weather Service, continue this deterministic legacy. Fortunately, the National Weather Service and others in the prediction community have recognized the need to view uncertainty as a fundamental part of forecasts. By partnering with other segments of the community to understand user needs, generate relevant and rich informational products, and utilize effective communication vehicles, the National Weather Service can take a leading role in the transition to widespread, effective incorporation of uncertainty information into predictions. "Completing the Forecast" makes recommendations to the National Weather Service and the broader prediction community on how to make this transition.
Author: Vasileios S. Zeimpekis
Publisher: Springer Science & Business Media
ISBN: 0387717226
Category : Business & Economics
Languages : en
Pages : 249
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Book Description
This book focuses on real time management of distribution systems, integrating the latest results in system design, algorithm development and system implementation to capture the state-of-the art research and application trends. The book important topics such as goods dispatching, couriers, rescue and repair services, taxi cab services, and more. The book includes real-life case studies that describe the solution to actual distribution problems by combining systemic and algorithmic approaches.
Author: Robert Phillips
Publisher: Stanford University Press
ISBN: 0804781648
Category : Business & Economics
Languages : en
Pages : 470
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Book Description
This is the first comprehensive introduction to the concepts, theories, and applications of pricing and revenue optimization. From the initial success of "yield management" in the commercial airline industry down to more recent successes of markdown management and dynamic pricing, the application of mathematical analysis to optimize pricing has become increasingly important across many different industries. But, since pricing and revenue optimization has involved the use of sophisticated mathematical techniques, the topic has remained largely inaccessible to students and the typical manager. With methods proven in the MBA courses taught by the author at Columbia and Stanford Business Schools, this book presents the basic concepts of pricing and revenue optimization in a form accessible to MBA students, MS students, and advanced undergraduates. In addition, managers will find the practical approach to the issue of pricing and revenue optimization invaluable. Solutions to the end-of-chapter exercises are available to instructors who are using this book in their courses. For access to the solutions manual, please contact
[email protected].
Author: Institute for Operations Research and the Management Sciences. National Meeting
Publisher:
ISBN:
Category : Industrial management
Languages : en
Pages : 416
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Book Description
