报告题目：Data-driven Distributionally Robust Multiproduct Pricing Problems under Pure Characteristics Demand

报 告 人：孙海琳，南京师范大学

报告摘要：This paper considers a multiproduct pricing problem under pure characteristics demand and the ambiguity of the true probability distribution. We formulate this problem as a distributionally robust optimization (DRO) problem based on a constructive approach to estimating pure characteristics demand models with pricing by Pang, Su and Lee. We show that the DRO problem is well-defined, and the objective function is upper semicontinuous by using an equivalent hierarchical form and the sparse solution in the consumers' purchase decision problem. We also analyze the data-driven approach when the ambiguity set is given by a general moment-based case. We give convergence results as the data size tends to infinity and analyze the quantitative statistical robustness in view of the possible contamination of driven data. Furthermore, we use the Lagrange  duality to reformulate the DRO problem as a mathematical program with complementarity constraints, and give a numerical procedure for finding a global solution of the DRO problem under certain specific settings. Finally, we report numerical results that validate the effectiveness of our approach for the distributionally robust multiproduct pricing problem.

报告人简介：孙海琳，南京师范大学数学科学学院教授、博导，主持国家自然科学基金优秀青年科学基金项目、面上项目、青年科学基金项目和江苏省自然科学基金青年基金项目各一项，2018年获中国运筹学会青年科技奖和江苏省数学成就奖。研究领域包括随机优化，分布鲁棒优化、随机变分不等式及其在投资组合、风险管理和经济学模型上的应用，代表作发表在Mathematical Programming、SIAM Journal on Optimization、Mathematics of Operations Research等国际权威期刊，担任《运筹学学报》编委和多个国际权威学术期刊的审稿人。

报告时间：2023年10月29日 13:30-14:30

报告地点：文渊楼B208教室

主办单位：伟德国际1946源自英国