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Learning In Short-Time Horizons With Measurable Costs, Patrick Bowen Mullen
Learning In Short-Time Horizons With Measurable Costs, Patrick Bowen Mullen
Theses and Dissertations
Dynamic pricing is a difficult problem for machine learning. The environment is noisy, dynamic and has a measurable cost associated with exploration that necessitates that learning be done in short-time horizons. These short-time horizons force the learning algorithms to make pricing decisions based on scarce data. In this work, various machine learning algorithms are compared in the context of dynamic pricing. These algorithms include the Kalman filter, artificial neural networks, particle swarm optimization and genetic algorithms. The majority of these algorithms have been modified to handle the pricing problem. The results show that these adaptations allow the learning algorithms to …
Particle Swarm Optimization In Dynamic Pricing, Christopher K. Monson, Patrick B. Mullen, Kevin Seppi, Sean C. Warnick
Particle Swarm Optimization In Dynamic Pricing, Christopher K. Monson, Patrick B. Mullen, Kevin Seppi, Sean C. Warnick
Faculty Publications
Dynamic pricing is a real-time machine learning problem with scarce prior data and a concrete learning cost. While the Kalman Filter can be employed to track hidden demand parameters and extensions to it can facilitate exploration for faster learning, the exploratory nature of Particle Swarm Optimization makes it a natural choice for the dynamic pricing problem. We compare both the Kalman Filter and existing particle swarm adaptations for dynamic and/or noisy environments with a novel approach that time-decays each particle's previous best value; this new strategy provides more graceful and effective transitions between exploitation and exploration, a necessity in the …