In this talk we shall discuss several issues associated with dynamic pricing models in competitive and uncertain environments. The first part of the talk will be devoted to discuss how the mathematical formalism of differential variational inequalities (DVIs) may be employed to develop dynamic game-theoretic models based on extensions of the notion of Nash equilibrium. We develop efficient algorithms for solving those models, specifically using the theory of gap functions for DVIs. Next, we apply these theory and algorithms for modeling dynamic pricing problem and demand learning processes supported by evolutionary dynamics and Kalman filter. The second part of the talk will be devoted to discuss development of a robust optimization formulation for a dynamic pricing and inventory control problem under uncertainty. We begin our discussion by developing a general nonlinear robust optimal control problem and then proceed to the application in the dynamic pricing and inventory control problem. We discuss quantitative and qualitative properties of the model.

Changhyun Kwon is a doctoral candidate in the Department of Industrial and Manufacturing Engineering at the Pennsylvania State University. He received his B.S. in Mechanical Engineering from KAIST and M.S. in Industrial Engineering and Operations Research from Penn State. His research interests are dynamic pricing, service and operations management, distribution and transportation.