Time (in)consistency of multistage distributionally robust inventory models with moment constraints
Author
Abstract
Suggested Citation
DOI: 10.1016/j.ejor.2020.07.041
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Homem-de-Mello, Tito & Pagnoncelli, Bernardo K., 2016. "Risk aversion in multistage stochastic programming: A modeling and algorithmic perspective," European Journal of Operational Research, Elsevier, vol. 249(1), pages 188-199.
- Johanna Etner & Meglena Jeleva & Jean‐Marc Tallon, 2012.
"Decision Theory Under Ambiguity,"
Journal of Economic Surveys, Wiley Blackwell, vol. 26(2), pages 234-270, April.
- Johanna Etner & Meglena Jeleva & Jean-Marc Tallon, 2009. "Decision theory under uncertainty," Post-Print halshs-00429573, HAL.
- Johanna Etner & Meglena Jeleva & Jean-Marc Tallon, 2009. "Decision theory under uncertainty," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00429573, HAL.
- Johanna Etner & Meglena Jeleva & Jean-Marc Tallon, 2012. "Decision theory under ambiguity," PSE-Ecole d'économie de Paris (Postprint) halshs-00643580, HAL.
- Johanna Etner & Meglena Jeleva & Jean-Marc Tallon, 2009. "Decision theory under uncertainty," Documents de travail du Centre d'Economie de la Sorbonne 09064, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2009.
- Johanna Etner & Meglena Jeleva & Jean-Marc Tallon, 2012. "Decision theory under ambiguity," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00643580, HAL.
- Ioana Popescu, 2005. "A Semidefinite Programming Approach to Optimal-Moment Bounds for Convex Classes of Distributions," Mathematics of Operations Research, INFORMS, vol. 30(3), pages 632-657, August.
- Lars Peter Hansen & Thomas J Sargent, 2014.
"Robust Control and Model Uncertainty,"
World Scientific Book Chapters, in: UNCERTAINTY WITHIN ECONOMIC MODELS, chapter 5, pages 145-154,
World Scientific Publishing Co. Pte. Ltd..
- Thomas J. Sargent & LarsPeter Hansen, 2001. "Robust Control and Model Uncertainty," American Economic Review, American Economic Association, vol. 91(2), pages 60-66, May.
- Awi Federgruen & Ziv Katalan, 1999. "The Impact of Adding a Make-to-Order Item to a Make-to-Stock Production System," Management Science, INFORMS, vol. 45(7), pages 980-994, July.
- William S. Lovejoy, 1992. "Stopped Myopic Policies in Some Inventory Models with Generalized Demand Processes," Management Science, INFORMS, vol. 38(5), pages 688-707, May.
- R. Jagannathan, 1978. "A Minimax Ordering Policy for the Infinite Stage Dynamic Inventory Problem," Management Science, INFORMS, vol. 24(11), pages 1138-1149, July.
- Philip Kaminsky & Onur Kaya, 2009. "Combined make-to-order/make-to-stock supply chains," IISE Transactions, Taylor & Francis Journals, vol. 41(2), pages 103-119.
- Dan A. Iancu & Nikolaos Trichakis, 2014. "Pareto Efficiency in Robust Optimization," Management Science, INFORMS, vol. 60(1), pages 130-147, January.
- R. H. Strotz, 1955. "Myopia and Inconsistency in Dynamic Utility Maximization," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 23(3), pages 165-180.
- Epstein, Larry G. & Schneider, Martin, 2003.
"Recursive multiple-priors,"
Journal of Economic Theory, Elsevier, vol. 113(1), pages 1-31, November.
- Larry G. Epstein & Martin Schneider, 2001. "Recursive Multiple-Priors," RCER Working Papers 485, University of Rochester - Center for Economic Research (RCER).
- Dimitris Bertsimas & Dan A. Iancu & Pablo A. Parrilo, 2010. "Optimality of Affine Policies in Multistage Robust Optimization," Mathematics of Operations Research, INFORMS, vol. 35(2), pages 363-394, May.
- Retsef Levi & Georgia Perakis & Joline Uichanco, 2015. "The Data-Driven Newsvendor Problem: New Bounds and Insights," Operations Research, INFORMS, vol. 63(6), pages 1294-1306, December.
- Edward Ignall & Arthur F. Veinott, Jr., 1969. "Optimality of Myopic Inventory Policies for Several Substitute Products," Management Science, INFORMS, vol. 15(5), pages 284-304, January.
- Aharon Ben-Tal & Boaz Golany & Arkadi Nemirovski & Jean-Philippe Vial, 2005. "Retailer-Supplier Flexible Commitments Contracts: A Robust Optimization Approach," Manufacturing & Service Operations Management, INFORMS, vol. 7(3), pages 248-271, February.
- Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera, 2018. "A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time," Mathematics of Operations Research, INFORMS, vol. 43(1), pages 204-221, February.
- Wolfram Wiesemann & Daniel Kuhn & Berç Rustem, 2013. "Robust Markov Decision Processes," Mathematics of Operations Research, INFORMS, vol. 38(1), pages 153-183, February.
- Herbert E. Scarf, 1960. "Some remarks on bayes solutions to the inventory problem," Naval Research Logistics Quarterly, John Wiley & Sons, vol. 7(4), pages 591-596, December.
- Roorda, Berend & Schumacher, J.M., 2007. "Time consistency conditions for acceptability measures, with an application to Tail Value at Risk," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 209-230, March.
- Pierre Carpentier & Jean-Philippe Chancelier & Guy Cohen & Michel Lara & Pierre Girardeau, 2012. "Dynamic consistency for stochastic optimal control problems," Annals of Operations Research, Springer, vol. 200(1), pages 247-263, November.
- Dimitris Bertsimas & Aurélie Thiele, 2006. "A Robust Optimization Approach to Inventory Theory," Operations Research, INFORMS, vol. 54(1), pages 150-168, February.
- Dan A. Iancu & Marek Petrik & Dharmashankar Subramanian, 2015. "Tight Approximations of Dynamic Risk Measures," Mathematics of Operations Research, INFORMS, vol. 40(3), pages 655-682, March.
- Kang Boda & Jerzy Filar, 2006. "Time Consistent Dynamic Risk Measures," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 63(1), pages 169-186, February.
- Ahmed, Shabbir & Cakmak, Ulas & Shapiro, Alexander, 2007. "Coherent risk measures in inventory problems," European Journal of Operational Research, Elsevier, vol. 182(1), pages 226-238, October.
- Shapiro, Alexander, 2012. "Minimax and risk averse multistage stochastic programming," European Journal of Operational Research, Elsevier, vol. 219(3), pages 719-726.
- Georgia Perakis & Guillaume Roels, 2008. "Regret in the Newsvendor Model with Partial Information," Operations Research, INFORMS, vol. 56(1), pages 188-203, February.
- Johanna Etner & Meglena Jeleva & Jean‐Marc Tallon, 2012.
"Decision Theory Under Ambiguity,"
Journal of Economic Surveys, Wiley Blackwell, vol. 26(2), pages 234-270, April.
- Johanna Etner & Meglena Jeleva & Jean-Marc Tallon, 2012. "Decision theory under ambiguity," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00643580, HAL.
- Johanna Etner & Meglena Jeleva & Jean-Marc Tallon, 2012. "Decision theory under ambiguity," Post-Print halshs-00643580, HAL.
- Johanna Etner & Meglena Jeleva & Jean-Marc Tallon, 2012. "Decision theory under ambiguity," PSE-Ecole d'économie de Paris (Postprint) halshs-00643580, HAL.
- Garud N. Iyengar, 2005. "Robust Dynamic Programming," Mathematics of Operations Research, INFORMS, vol. 30(2), pages 257-280, May.
- Jinfeng Yue & Bintong Chen & Min-Chiang Wang, 2006. "Expected Value of Distribution Information for the Newsvendor Problem," Operations Research, INFORMS, vol. 54(6), pages 1128-1136, December.
- De Lara, Michel & Leclère, Vincent, 2016. "Building up time-consistency for risk measures and dynamic optimization," European Journal of Operational Research, Elsevier, vol. 249(1), pages 177-187.
- Wenqing Chen & Melvyn Sim, 2009. "Goal-Driven Optimization," Operations Research, INFORMS, vol. 57(2), pages 342-357, April.
- Henri G'erard & Michel de Lara & Jean-Philippe Chancelier, 2017. "Equivalence Between Time Consistency and Nested Formula," Papers 1711.08633, arXiv.org, revised May 2019.
- Guillermo Gallego, 1998. "New Bounds and Heuristics for (Q, r) Policies," Management Science, INFORMS, vol. 44(2), pages 219-233, February.
- Gabrel, Virginie & Murat, Cécile & Thiele, Aurélie, 2014. "Recent advances in robust optimization: An overview," European Journal of Operational Research, Elsevier, vol. 235(3), pages 471-483.
- repec:hal:pseose:halshs-00643580 is not listed on IDEAS
- S. Rajagopalan, 2002. "Make to Order or Make to Stock: Model and Application," Management Science, INFORMS, vol. 48(2), pages 241-256, February.
- Alexander Shapiro, 2016. "Rectangular Sets of Probability Measures," Operations Research, INFORMS, vol. 64(2), pages 528-541, April.
- Aharon, Ben-Tal & Boaz, Golany & Shimrit, Shtern, 2009. "Robust multi-echelon multi-period inventory control," European Journal of Operational Research, Elsevier, vol. 199(3), pages 922-935, December.
- Arthur F. Veinott, Jr., 1965. "Optimal Policy for a Multi-Product, Dynamic, Nonstationary Inventory Problem," Management Science, INFORMS, vol. 12(3), pages 206-222, November.
- Arnab Nilim & Laurent El Ghaoui, 2005. "Robust Control of Markov Decision Processes with Uncertain Transition Matrices," Operations Research, INFORMS, vol. 53(5), pages 780-798, October.
- Xin Chen & Melvyn Sim & David Simchi-Levi & Peng Sun, 2007. "Risk Aversion in Inventory Management," Operations Research, INFORMS, vol. 55(5), pages 828-842, October.
- Williams, T. M., 1984. "Special products and uncertainty in production/inventory systems," European Journal of Operational Research, Elsevier, vol. 15(1), pages 46-54, January.
- Chuen-Teck See & Melvyn Sim, 2010. "Robust Approximation to Multiperiod Inventory Management," Operations Research, INFORMS, vol. 58(3), pages 583-594, June.
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath & Hyejin Ku, 2007. "Coherent multiperiod risk adjusted values and Bellman’s principle," Annals of Operations Research, Springer, vol. 152(1), pages 5-22, July.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Roos, Ernst & Brekelmans, Ruud & van Eekelen, Wouter & den Hertog, Dick & van Leeuwaarden, Johan S.H., 2022. "Tight tail probability bounds for distribution-free decision making," European Journal of Operational Research, Elsevier, vol. 299(3), pages 931-944.
- Adrián Esteban-Pérez & Juan M. Morales, 2022. "Partition-based distributionally robust optimization via optimal transport with order cone constraints," 4OR, Springer, vol. 20(3), pages 465-497, September.
- Wouter van Eekelen & Dick den Hertog & Johan S.H. van Leeuwaarden, 2022. "MAD Dispersion Measure Makes Extremal Queue Analysis Simple," INFORMS Journal on Computing, INFORMS, vol. 34(3), pages 1681-1692, May.
- Arrigo, Adriano & Ordoudis, Christos & Kazempour, Jalal & De Grève, Zacharie & Toubeau, Jean-François & Vallée, François, 2022. "Wasserstein distributionally robust chance-constrained optimization for energy and reserve dispatch: An exact and physically-bounded formulation," European Journal of Operational Research, Elsevier, vol. 296(1), pages 304-322.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Andrew J. Keith & Darryl K. Ahner, 2021. "A survey of decision making and optimization under uncertainty," Annals of Operations Research, Springer, vol. 300(2), pages 319-353, May.
- Dan A. Iancu & Marek Petrik & Dharmashankar Subramanian, 2015. "Tight Approximations of Dynamic Risk Measures," Mathematics of Operations Research, INFORMS, vol. 40(3), pages 655-682, March.
- Bakker, Hannah & Dunke, Fabian & Nickel, Stefan, 2020. "A structuring review on multi-stage optimization under uncertainty: Aligning concepts from theory and practice," Omega, Elsevier, vol. 96(C).
- Qiu, Ruozhen & Sun, Minghe & Lim, Yun Fong, 2017. "Optimizing (s, S) policies for multi-period inventory models with demand distribution uncertainty: Robust dynamic programing approaches," European Journal of Operational Research, Elsevier, vol. 261(3), pages 880-892.
- Qiu, Ruozhen & Shang, Jennifer & Huang, Xiaoyuan, 2014. "Robust inventory decision under distribution uncertainty: A CVaR-based optimization approach," International Journal of Production Economics, Elsevier, vol. 153(C), pages 13-23.
- Mengshi Lu & Zuo‐Jun Max Shen, 2021. "A Review of Robust Operations Management under Model Uncertainty," Production and Operations Management, Production and Operations Management Society, vol. 30(6), pages 1927-1943, June.
- Serrano, Breno & Minner, Stefan & Schiffer, Maximilian & Vidal, Thibaut, 2024. "Bilevel optimization for feature selection in the data-driven newsvendor problem," European Journal of Operational Research, Elsevier, vol. 315(2), pages 703-714.
- Metzker Soares, Paula & Thevenin, Simon & Adulyasak, Yossiri & Dolgui, Alexandre, 2024. "Adaptive robust optimization for lot-sizing under yield uncertainty," European Journal of Operational Research, Elsevier, vol. 313(2), pages 513-526.
- Xie, Chen & Wang, Liangquan & Yang, Chaolin, 2021. "Robust inventory management with multiple supply sources," European Journal of Operational Research, Elsevier, vol. 295(2), pages 463-474.
- Shin, Youngchul & Lee, Sangyoon & Moon, Ilkyeong, 2021. "Robust multiperiod inventory model with a new type of buy one get one promotion: “My Own Refrigerator”," Omega, Elsevier, vol. 99(C).
- Hamed Mamani & Shima Nassiri & Michael R. Wagner, 2017. "Closed-Form Solutions for Robust Inventory Management," Management Science, INFORMS, vol. 63(5), pages 1625-1643, May.
- Viktoryia Buhayenko & Dick den Hertog, 2017. "Adjustable Robust Optimisation approach to optimise discounts for multi-period supply chain coordination under demand uncertainty," International Journal of Production Research, Taylor & Francis Journals, vol. 55(22), pages 6801-6823, November.
- Saghafian, Soroush, 2018. "Ambiguous partially observable Markov decision processes: Structural results and applications," Journal of Economic Theory, Elsevier, vol. 178(C), pages 1-35.
- Henri G'erard & Michel de Lara & Jean-Philippe Chancelier, 2017. "Equivalence Between Time Consistency and Nested Formula," Papers 1711.08633, arXiv.org, revised May 2019.
- Alexander Shapiro, 2016. "Rectangular Sets of Probability Measures," Operations Research, INFORMS, vol. 64(2), pages 528-541, April.
- Yongchao Liu & Alois Pichler & Huifu Xu, 2019. "Discrete Approximation and Quantification in Distributionally Robust Optimization," Mathematics of Operations Research, INFORMS, vol. 44(1), pages 19-37, February.
- Yanıkoğlu, İhsan & Gorissen, Bram L. & den Hertog, Dick, 2019. "A survey of adjustable robust optimization," European Journal of Operational Research, Elsevier, vol. 277(3), pages 799-813.
- Michal Melamed & Aharon Ben-Tal & Boaz Golany, 2016. "On the average performance of the adjustable RO and its use as an offline tool for multi-period production planning under uncertainty," Computational Management Science, Springer, vol. 13(2), pages 293-315, April.
- Henri Gérard & Michel Lara & Jean-Philippe Chancelier, 2020. "Equivalence between time consistency and nested formula," Annals of Operations Research, Springer, vol. 292(2), pages 627-647, September.
- Zhi Chen & Weijun Xie, 2021. "Regret in the Newsvendor Model with Demand and Yield Randomness," Production and Operations Management, Production and Operations Management Society, vol. 30(11), pages 4176-4197, November.
More about this item
Keywords
Supply chain management; Inventory; News vendor; Multistage distributionally robust optimization; Rectangularity; Moment constraints; Time consistency; Dynamic programming; Base-stock policy;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:289:y:2021:i:3:p:1127-1141. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eor .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.