Xinyi Guan

Randomized Robust Price Optimization

  • Xinyi Guan
  • Velibor Mišić
    • Categories Applications - OR and Management Sciences, Linear, Cone and Semidefinite Programming, Robust Optimization Tags , ,

    The robust multi-product pricing problem is to determine the prices of a collection of products so as to maximize the worst-case revenue, where the worst case is taken over an uncertainty set of demand models that the firm expects could be realized in practice. A tacit assumption in this approach is that the pricing decision … Read more

    Randomized Policy Optimization for Optimal Stopping

  • Xinyi Guan
  • Velibor Mišić
    • Categories Dynamic Programming, Finance and Economics, Unconstrained Optimization Tags , , , ,

    Optimal stopping is the problem of determining when to stop a stochastic system in order to maximize reward, which is of practical importance in domains such as finance, operations management and healthcare. Existing methods for high-dimensional optimal stopping that are popular in practice produce deterministic linear policies — policies that deterministically stop based on the … Read more