ACCUEIL

Consignes aux
auteurs et coordonnateurs
Nos règles d'éthique
Autres revues >>
European Journal of Economic and Social Systems
1292-8895
Parution abandonnée
 

 ARTICLE VOL 22/1 - 2009  - pp.19-41  - doi:10.3166/ejess.22.19-41
TITLE
Stochastic Adaptive Dynamics of a Simple Market as a Non-Stationary Multi-Armed Bandit Problem

ABSTRACT
We develop a dynamic monopoly pricing model as a non-stationary multi-armed bandit problem. At each time, the monopolist chooses a price in a finite set and each customer decides stochastically but independently to visit or not his store. Each customer is characterized by two parameters, an ability-to-pay and a probability to visit. Our problem is non-stationary for the monopolist because each customer modifies his probability with experience. We define an ex-ante optimal price for our problem and then look at two different ways of learning this optimal price. In the first part, assuming the monopolist knows everything but the ability-topay, we suggest a simple counting rule based on purchase behavior which allows him to obtain enough information to compute the optimal price. In the second part, assuming no particular knowledge, we consider the case in which the monopolist uses an adaptive stochastic algorithm. When learning is easy (difficult), our simulations suggest that the monopolist (does not) choose the optimal price on each sample path.


AUTEUR(S)
Yann BRAOUEZEC

KEYWORDS
Multi-armed Bandit Problem, Adaptive Learning, Stochastic Market Dynamics, Exploration-exploitation Trade-off, Non-stationarity

LANGUE DE L'ARTICLE
Anglais

 PRIX
• Abonné (hors accès direct) : 25.0 €
• Non abonné : 50.0 €
|
|
--> Tous les articles sont dans un format PDF protégé par tatouage 
   
ACCÉDER A L'ARTICLE COMPLET  (402 Ko)



Mot de passe oublié ?

ABONNEZ-VOUS !

CONTACTS
Comité de
rédaction
Conditions
générales de vente

 English version >> 
Lavoisier