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A hybrid approach to the solution of a pricing model with continuous demand segmentation. (English) Zbl 1299.91045

Summary: Price optimization fits naturally the framework of bilevel programming, where a leader integrates within its decision process the reaction of rational customers. This paper addresses the situation where the users of a transportation network minimize a weighted sum of travel delay and out-of-pocket cost, each user having its own monetary valuation of travel delay. The resulting infinite-dimensional problem is solved by a hybrid algorithm that alternates between global (combinatorial) and local (descent) phases, and achieves near-optimal solutions under reasonable assumptions.

MSC:

91B25 Asset pricing models (MSC2010)
91A65 Hierarchical games (including Stackelberg games)
91A80 Applications of game theory
91B42 Consumer behavior, demand theory
90C26 Nonconvex programming, global optimization
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