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On the single-leg airline revenue management problem in continuous time

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On the single-leg airline revenue management problem in continuous time. / Arslan, Alp; Frenk, J.B.G.; Sezer, Semih O.
In: Mathematical Methods of Operational Research, Vol. 81, 28.02.2015, p. 27-52.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Arslan, A, Frenk, JBG & Sezer, SO 2015, 'On the single-leg airline revenue management problem in continuous time', Mathematical Methods of Operational Research, vol. 81, pp. 27-52. https://doi.org/10.1007/s00186-014-0485-6

APA

Arslan, A., Frenk, J. B. G., & Sezer, S. O. (2015). On the single-leg airline revenue management problem in continuous time. Mathematical Methods of Operational Research, 81, 27-52. https://doi.org/10.1007/s00186-014-0485-6

Vancouver

Arslan A, Frenk JBG, Sezer SO. On the single-leg airline revenue management problem in continuous time. Mathematical Methods of Operational Research. 2015 Feb 28;81:27-52. Epub 2015 Jan 8. doi: 10.1007/s00186-014-0485-6

Author

Arslan, Alp ; Frenk, J.B.G. ; Sezer, Semih O. / On the single-leg airline revenue management problem in continuous time. In: Mathematical Methods of Operational Research. 2015 ; Vol. 81. pp. 27-52.

Bibtex

@article{af0d0c4ea586412ca84a42b7b599bb40,
title = "On the single-leg airline revenue management problem in continuous time",
abstract = "We consider the single-leg airline revenue management problem in continuous time with Poisson arrivals. Earlier work on this problem generally uses the Hamilton–Jacobi–Bellman equation to find an optimal policy whenever the value function is differentiable and is a solution to this equation. In this paper, we employ a different probabilistic approach, which does not rely on the smoothness of the value function. Instead, we use a continuous-time discrete-event dynamic programming operator to construct the value function and study its properties. A by-product of this approach is the analysis of the differentiability of the value function. We show that differentiability may break down for example with discontinuous arrival intensities. Therefore, one should exercise caution in using arguments based on the differentiability of the value function and the Hamilton–Jacobi–Bellman equation in general.",
author = "Alp Arslan and J.B.G. Frenk and Sezer, {Semih O.}",
year = "2015",
month = feb,
day = "28",
doi = "10.1007/s00186-014-0485-6",
language = "English",
volume = "81",
pages = "27--52",
journal = "Mathematical Methods of Operational Research",
issn = "1432-2994",
publisher = "Physica-Verlag",

}

RIS

TY - JOUR

T1 - On the single-leg airline revenue management problem in continuous time

AU - Arslan, Alp

AU - Frenk, J.B.G.

AU - Sezer, Semih O.

PY - 2015/2/28

Y1 - 2015/2/28

N2 - We consider the single-leg airline revenue management problem in continuous time with Poisson arrivals. Earlier work on this problem generally uses the Hamilton–Jacobi–Bellman equation to find an optimal policy whenever the value function is differentiable and is a solution to this equation. In this paper, we employ a different probabilistic approach, which does not rely on the smoothness of the value function. Instead, we use a continuous-time discrete-event dynamic programming operator to construct the value function and study its properties. A by-product of this approach is the analysis of the differentiability of the value function. We show that differentiability may break down for example with discontinuous arrival intensities. Therefore, one should exercise caution in using arguments based on the differentiability of the value function and the Hamilton–Jacobi–Bellman equation in general.

AB - We consider the single-leg airline revenue management problem in continuous time with Poisson arrivals. Earlier work on this problem generally uses the Hamilton–Jacobi–Bellman equation to find an optimal policy whenever the value function is differentiable and is a solution to this equation. In this paper, we employ a different probabilistic approach, which does not rely on the smoothness of the value function. Instead, we use a continuous-time discrete-event dynamic programming operator to construct the value function and study its properties. A by-product of this approach is the analysis of the differentiability of the value function. We show that differentiability may break down for example with discontinuous arrival intensities. Therefore, one should exercise caution in using arguments based on the differentiability of the value function and the Hamilton–Jacobi–Bellman equation in general.

U2 - 10.1007/s00186-014-0485-6

DO - 10.1007/s00186-014-0485-6

M3 - Journal article

VL - 81

SP - 27

EP - 52

JO - Mathematical Methods of Operational Research

JF - Mathematical Methods of Operational Research

SN - 1432-2994

ER -