For citation:
Kurganskii A. N., Maksimova A. J., Kornev S. A. Dynamic pricing model without negative examples based on gradient-free convex optimization with inexact oracle. Izvestiya of Saratov University. Mathematics. Mechanics. Informatics, 2026, vol. 26, iss. 1, pp. 139-144. DOI: 10.18500/1816-9791-2026-26-1-139-144, EDN: YOXDEJ
Dynamic pricing model without negative examples based on gradient-free convex optimization with inexact oracle
The paper proposes an approach based on gradient-free stochastic convex optimization with an inexact oracle of zero-order to solve a special case of the dynamic pricing problem with a variable flow of customers when the training data contains information about purchases made, but the number of refusals to purchase at the given price is unknown. The paper considers a model with one customer segment and one type of product as a possible element of more complex, hierarchical dynamic pricing models. In the unavailability of data on rejections for reduction to a convex non-gradient optimization problem, the work uses the technique of logarithmization of the objective function and random division of the customer segment into two subsegments at each iteration.
- Perakis G., Singhvi D. Dynamic pricing with unknown nonparametric demand and limited price changes. Operations Research, 2023, vol. 72, iss. 6, pp. 1123–1145. DOI: http://dx.doi.org/10.1287/opre.2020.0445, EDN: RGGZRJ
- Pasechnyuk D., Dvurechensky P., Omelchenko S., Gasnikov A. Stochastic optimization for dynamic pricing. In: Olenev N. N., Evtushenko Y. G., Jaćimović M., Khachay M., Malkova V. (eds.) Advances in optimization and applications. OPTIMA 2021. Communications in Computer and Information Science, vol. 1514. Cham, Springer, 2021, pp. 82–94. DOI: http://dx.doi.org/10.1007/978-3-030-92711-0_6, EDN: ZWJGID
- Lin T., Zheng Z., Jordan M. I. Gradient-free methods for deterministic and stochastic nonsmooth nonconvex optimization. Advances in Neural Information Processing Systems, 2022, vol. 35, pp. 26160–26175.
- Duchi J. C., Jordan M. I., Wainwright M. J., Wibisono A. Optimal rates for zero order convex optimization: The power of two function evaluations. IEEE Transactions on Information Theory, 2015, vol. 61, iss. 5, pp. 2788–2806. DOI: https://doi.org/10.1109/TIT.2015.2409256
- Nesterov Yu. Random gradient-free minimization of convex functions. Technical Report 2011001, Center for Operations Research and Econometrics (CORE), Catholic University of Louvain (UCL), 2011, vol. 16. 32 p. EDN: GEPEMD
- Devolder O., Glineur F., Nesterov Yu. First-order methods of smooth convex optimization with inexact oracle. Mathematical Programming, 2014, vol. 146, iss. 1–2, pp. 37–75. DOI: http://dx.doi.org/10.1007/s10107-013-0677-5, EDN: CPTOLC
- Gasnikov A.V., Nesterov Yu. E. Universal method for stochastic composite optimization problems. Computational Mathematics and Mathematical Physics, 2018, vol. 58, iss. 1, pp. 48–64. DOI: http://dx.doi.org/10.1134/S0965542518010050, EDN: XXGXEL
- Bayandina A. S., Gasnikov A. V., Lagunovskaya A. A. Gradient-free two-point methods for solving stochastic nonsmooth convex optimization problems with small non-random noises. Automation and Remote Control, 2018, vol. 79, iss. 8, pp. 1399–1408. DOI: http://dx.doi.org/10.1134/S0005117918080039, EDN: VBKOAV
- 28 reads