Basic info:
Course schedule: Wednesdays 11:45am-2:15pm Uris 329
Tentative course outline:
Pricing
(1/24) Class 1: Single server, single class models ( Presenter: CM)
[1.] Mendelson, H . (1985), ``Pricing computer services: queueing effects," Comm. of the ACM, 28(3), 312-321. (paper )
[2.] Stidham, Jr., S. (1985), ``Optimal control of admission to a queueing system," IEEE Trans. on Aut. Control, 30(8), 705-713.
A related paper by P. Naor on "The regulation of the queue size by levying tolls" -- this is one of the first papers in the area and analyzes a simple model where the customers can observe the queue length. (paper )
A set of notes on queueing models and specifically, product
form networks (product_form.pdf
)
(1/31) Class 2: Single server, multi-class models (Presenter: Roy Mashal, Discussant: Joern Meissner)
[3.] Mendelson, H . and Whang, S . (1990), ``Optimal incentive-compatible priority pricing for the M/M/1 queue," Operations Research, 48(5), 870-883.
[4.]
Van Mieghem, J.
(2000), ``Price and service discrimination in queueing systems: incentive
compatibility of Gc$\mu$ policy," Management Science, 46(9), 1249-1267. (
paper
)
(2/7) Class 3: Multi-class network (Presenter: Ben Wang, Discussant: Roy Mashal)
[5.] Kelly, F.P. , Maullo, A.K., Tan, D.K.H. (1998), ``Rate control for communication networks: shadow prices, proportional fairness and stability," J. of Oper. Res. Soc., 49, 237-252. ( paper )
[6.] Kelly, F.P. (1997), ``Charging and rate control for elastic traffic," European Trans. On Telecommunications, 8, 33-37. (This paper contains an essential result used in [5].) (paper )
Many interesting papers and links can be found in Frank Kelly's
web page
.
Revenue management
(2/14) Class 4: Single leg models (Presenter: Joern Meissner, Discussant: Bin Yu)
[7.] Lee, T.C. and Herch, M. (1993), ``A model for dynamic airline seat inventory control with multiple seat bookings," Transportation Science, 27(3), 252-265.
[8.] Brumelle, S.L. and McGill, J.I. (1993), ``Airline seat allocation with multiple nested fare classes," Operations Research, 41(1), 127-137.
[9.] Gallego, G. and van Ryzin, G.J . (1993), ``Optimal Dynamic Pricing of Inventories with Stochastic Demand Over Finite Horizons", Management Science, 40, 999-1020.
(We will discuss [7,8] --these are typical revenue management
papers for the single class model. [9] formulates the problem in the spirit
of [10,11,12] that we cover next week.)
(Professor Avi Mandelabum's short course has been cancelled!!)
(2/21) Class 5: Network models (Presenter: CM, Discussant: Srini Krishnamoorthy)
[10.] Gallego, G. and van Ryzin, G.J. (1997), ``A Multiple Product Dynamic Pricing Problem with Applications to Network Yield Management," Operations Research, 45, 24-41.
[11.] Talluri, K. and van Ryzin, G.J. (1998), ``An Analysis of Bid-Price Controls for Network Revenue Management," Management Science, 44, 1577-1593. (paper )
[12.] Cooper, W. (2001), ``Asymptotic behavior of allocation policies for revenue management," preprint.
We will review the results in [10,11]; [12] is closely related to [10,11]. Finally, some RM applications. [13] studies congestion pricing for network resources, and [14] gives an MDP formulation for a related problem where the service provider for an M/M/1 queue dyamically adjusts the service rate of the system. See also the review paper by McGill and van Ryzin.
[13.] Paschalidis, I. and Tsitsiklis, J. (2000), ``Congestion-dependent procing of network services," IEEE/ACM Trans. on Networking, 8, 171-184. (paper )
[14.] George, J. and
Harrison, J.M
. (2001), ``Dynamic control of a queue with adjustable service rate," To
appear in Operations Research. (paper
)
(2/28) Class 6: Choice demand models (Presenter: Srini Krishnamoorthy, Discussant: Nan Yang)
[15.] Talluri, K. and van Ryzin, G.J . (2001), ``A discrete choice model os yield management," preprint.
[16.] Anderson, S.P., de Palma, A. and Thisee, J-F. (1996), ``Discrete choice theory of product differentiation" chapter 2, MIT Press, Cambridge MA.
We will go through [15] with some reference to the main
results presented in chapter 2 of [16].
(3/7) Class 7: Competition (Presenter: Bin Yu, Discussant:
Zhidong Wang)
[18.] Lederer P. and L. Li (1997), "Pricing, Production, Scheduling and
Delivery-Time Competition," OR Vol.45(3) p.407-420.
[19.] Netessine, S. and Shumsky, R. (2001), ``Revenue management games,", preprint .
[20.] Cachon, G.
and Harker, P.
(2001), ``Service competition, outsourcing, and co-production in a queueing
game," preprint.
We will cover [18], which is a natural extension of
[1,3] to a setting with perfect competition.
(3/21) Class 8: Dynamic pricing for a make-to-order queue (Presenter:
CM)
Working paper of CM. Discuss problem formulation, fluid +
diffusion approximations for state dependent queues, LQR.
Auctions
(3/28) Class 9: Introduction to auctions (Presenter:Jingyi Li, Discussant: Gustavo Vulcano)
[21.] Riley, J.G. and Samuelson, W.F. (1981), ``Optimal auctions," The American Economic Review, 71(3), 381-392. ( paper )
[22.] Wolfstetter, E. (1996), ``Auctions: an introduction,"
Journal of economic surveys,10(4), 367-420.
(4/4) Class 10: Introduction to auctions (cont.) (Presenter: CM)
Review [21,22], discuss [24], briefly mention common values and winner's curse, and review extensions to multi-unit, correlated (affiliated) values, etc.
[23.] Myerson 1981, Optimal Auiction Design, Math. O.R. Vol.
6 (1): 58-73,
(4/11) Class 11: Procurement auctions (Presenter: Gustavo Vulcano, Discussant: Jingyi Li)
[24.] Gallien J.
and Wein L.
(2001), ``Design and analysis of a smart market for industrial procurement,"
preprint. (paper
)
(4/18) Class 12: Smart markets for network pricing and control (Pres.:Zhidong Wang , Disc.: CM)
[25.] MacKie-Mason, J.K. and Varian, H. (1995), ``Pricing congestible network resources," IEEE J. Sel. Areas Communication, 13, 1141-1149. (paper )
[26.] Wellman, M.P., Walsh, W.E., Wuman, P.R. and
MacKie-Mason, J.K.
(2000), ``Auction protocols for decentralized scheduling," To appear in
Games and Economic Behavior. (paper
)
(4/25) Class 13: Project presentations
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