Revenue maximization through dynamic pricing under unknown market behaviour

Sergio Morales-Enciso & Jürgen Branke
We consider the scenario of a multimodal memoryless market to sell one product, where a customer�s probability to actually buy the product depends on the price. We would like to set the price for each customer in a way that maximizes our overall revenue. In this case, an exploration vs. exploitation problem arises. If we explore customer responses to different prices, we get a pretty good idea of what customers are willing to pay. On...