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arXiv · 2403.11443

On Linear Threshold Policies for Continuous-Time Dynamic Yield Management

Dipayan Banerjee·Alan Erera·Alejandro Toriello
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Abstract

We study the finite-horizon continuous-time dynamic yield management problem with stationary arrival rates and two customer types. We consider a class of linear threshold policies proposed by Hodge (2008), in which each less-profitable customer is accepted if and only if the remaining inventory exceeds a threshold that linearly decreases over the horizon. We use a Markov chain representation to show that such policies achieve uniformly bounded regret. We then generalize this result to analogous policies for arbitrarily many customer types.

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Dipayan Banerjee, Alan Erera, Alejandro Toriello. 2024-03-18. On Linear Threshold Policies for Continuous-Time Dynamic Yield Management. https://arxiv.org/abs/2403.11443

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