Continuous-Time Revenue Managment in Carparks - Part two: Refining the PDE

Andreas, Papayiannis and Paul, Johnson and Dmitry, Yumashev and Peter, Duck (2013) Continuous-Time Revenue Managment in Carparks - Part two: Refining the PDE. In: 2nd International Conference on Operations Research and Enterprise Systems, 16-18 February, Barcelona, Spain.

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In this paper, we study optimal revenue management applied to carparks, with the primary objective to maximize revenues under a continuous-time framework. This work is an extension to Papayiannis et al (2012) where the authors developed a Partial Differential Equation (PDE) model that could solve for the rate at which cash is generated through an infinitesimal time. However, in practice, carpark managers charge customers per day or per hour which is a finite period of time. Unfortunately, this situation was currently not captured by this previous work. Therefore, our current work attempts to reformulate the existing PDE in a way that it does capture the revenue that is generated within any finite time interval of length $\Delta T$. The new model is compared against the Monte Carlo (MC) approach for several choices of $\Delta T$; the results are remarkable as the improvement in computation speed and efficiency are significant. Since, the algorithm in the PDE still does not solve the `exact' problem, a method is proposed to marry the benefits of the PDE with those of the MC approach. Our results are prominent as the optimal values generated in this case have shown to be extremely close to the MC ones while the computation times are kept to a minimum.

Item Type: Conference or Workshop Item (Paper)
Subjects: MSC 2010, the AMS's Mathematics Subject Classification > 35 Partial differential equations
MSC 2010, the AMS's Mathematics Subject Classification > 49 Calculus of variations and optimal control; optimization
Date Deposited: 24 Jun 2013
Last Modified: 20 Oct 2017 14:13

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