TY - DATA
T1 - LiBiT algorithm to solve static pricing problems under mixed multinomial logit demand
PY - 2020/08/24
AU - Ahmadreza Marandi
AU - Virginie Lurkin
UR - https://data.4tu.nl/articles/dataset/LiBiT_algorithm_to_solve_static_pricing_problems_under_mixed_multinomial_logit_demand/12852824/1
DO - 10.4121/12852824.v1
KW - static multi-product pricing
KW - mixed logit model
KW - nonlinear optimization model
KW - Branching Methods
KW - convex optimization
KW - Convex Relaxation
N2 - Price differentiation is a common strategy for many operators. We study a static multiproduct price optimization problem with demand given by a continuous mixed multinomial logit model. To solve this new problem, we design an efficient iterative optimization algorithm that asymptotically converges to the optimal solution. To this end, a linear optimization (LO) problem is formulated, based on the trust-region approach, to find a "good" feasible solution and approximate the problem from below. Another LO problem is designed using piecewise linear relaxations to approximate the optimization problem from above. Then, we develop a new branching method to tighten the optimality gap.
ER -