We consider a single product revenue management problem where, given an initial inventory, the objective is to dynamically adjust prices over a finite sales horizon to maximize expected revenues. Realized demand is observed over time, but the underlying functional relationship between price and...

We consider a multi-period single product pricing problem with an unknown demand curve. The seller's objective is to adjust prices in each period so as to maximize cumulative expected revenues over a given finite time horizon; in doing so, the seller needs to resolve the tension between learning...

We consider a pricing problem in an environment where the customers' willingness-to-pay (WtP) distribution may change at some point over the selling horizon. Customers arrive sequentially and make purchase decisions based on a quoted price and their private reservation price. The seller knows...

In a multi-armed bandit (MAB) problem a gambler needs to choose at each round of play one of K arms, each characterized by an unknown reward distribution. Reward realizations are only observed when an arm is selected, and the gambler's objective is to maximize cumulative expected earnings over...

We consider a non-stationary variant of a sequential stochastic optimization problem, where the underlying cost functions may change along the horizon. We propose a measure, termed variation budget, that controls the extent of said change, and study how restrictions on this budget impact...