Markov Decision Process in the Problem of Dynamic Pricing Policy

Markov decision processes (MDP) are widely used in problems whose solutions may be represented by a certain series of actions. A lot of papers demonstrate successful MDP use in model problems, robotic control problems, planning problems, etc. In addition, economic problems have the property of multistep motion towards a goal as well. This paper is dedicated to MDP application to the problem of pricing policy management. The problem of dynamic pricing is stated in terms of MDP. Additional attention is paid to the method of constructing an MDP model based on data mining. Based on the data on sales of an actual industrial plant, construction of an MDP model that includes the searching for and generalization of regularities is demonstrated.