An Approximate Dynamic Programming Approach to Network Revenue Management
نویسندگان
چکیده
We develop an approximation algorithm for a dynamic capacity allocation problem with Markov modulated customer arrival rates. For each time period and each state of the modulating process, the algorithm approximates the dynamic programming value function using a concave function that is separable across resource inventory levels. We establish via computational experiments that our algorithm increases expected revenue, in some cases by close to 8%, relative to a deterministic linear program that is widely used for bid-price control.
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