{"72476":{"#nid":"72476","#data":{"type":"event","title":"APS Seminar - Convergence rates for MLE estimators and dynamic pricing applications","body":[{"value":"\u003Cp\u003ETITLE: Convergence rates for MLE estimators and dynamic pricing applications\n\u003C\/p\u003E\u003Cp\u003ESPEAKER: Dr. Bert Zwart\u003C\/p\u003E\u003Cp\u003EABSTRACT:\u003C\/p\u003E\u003Cp\u003EWe consider a generalized linear model where data may be collected in an\nadapted fashion.  Even in the linear case, consistency of MLE\/regression\nestimators is a nontrivial problem, and sufficient conditions are\ntypically\ngiven in terms of eigenvalues of the design matrix.\nThis setting has been studied extensively by economists,\nstatisticians and control theorists, but has gained renewed\ninterest given the recent activities on dynamic pricing under\ndemand uncertainty.\n\nIn terms of dynamic pricing, it can be shown that the so-called\n\u0027certainty equivalent pricing\u0027 policy does not lead to consistent\nresults, and price dispersion is necessary.\n\nWe establish general L2 convergence rates for MLE estimators in\nterms of eigenvalues of the design matrix and apply these on\ndynamic pricing problems. We develop algorithms that are\ncomputationally tractable and give guaranteed bounds on the regret\n(the loss in profit related to parameter uncertainty).\n\u003C\/p\u003E\u003Cp\u003E\nJoint work with Arnoud den Boer (CWI)\n\u003C\/p\u003E","summary":null,"format":"limited_html"}],"field_subtitle":"","field_summary":"","field_summary_sentence":[{"value":"Convergence rates for MLE estimators and dynamic pricing applications"}],"uid":"27187","created_gmt":"2011-11-09 09:38:57","changed_gmt":"2016-10-08 01:56:37","author":"Anita Race","boilerplate_text":"","field_publication":"","field_article_url":"","field_event_time":{"event_time_start":"2011-11-11T12:00:00-05:00","event_time_end":"2011-11-11T13:00:00-05:00","event_time_end_last":"2011-11-11T13:00:00-05:00","gmt_time_start":"2011-11-11 17:00:00","gmt_time_end":"2011-11-11 18:00:00","gmt_time_end_last":"2011-11-11 18:00:00","rrule":null,"timezone":"America\/New_York"},"extras":[],"groups":[{"id":"1242","name":"School of Industrial and Systems Engineering (ISYE)"}],"categories":[],"keywords":[],"core_research_areas":[],"news_room_topics":[],"event_categories":[{"id":"1795","name":"Seminar\/Lecture\/Colloquium"}],"invited_audience":[],"affiliations":[],"classification":[],"areas_of_expertise":[],"news_and_recent_appearances":[],"phone":[],"contact":[{"value":"\u003Cp\u003EDavid Goldberg\u003C\/p\u003E","format":"limited_html"}],"email":[],"slides":[],"orientation":[],"userdata":""}}}