Optimal inventory decisions in a multiperiod newsvendor problem with partially observed Markovian supply capacities |
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Authors: | Haifeng Wang Bocheng Chen Houmin Yan |
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Affiliation: | Department of Automation, Tsinghua University, Beijing 100084, China; Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Shatin, N.T., Hong Kong; Graduate School at Shenzhen, Tsinghua University, China |
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Abstract: | This paper considers a multi-period news-vendor problem with partially observed supply-capacity information which evolves as a Markovian Process. The supply capacity is fully observed by the buyer when the capacity is smaller than the buyer’s ordering quantity. Otherwise, the buyer knows that the current-period supply capacity is greater than its ordering quantity. Based on these two observations, the buyer updates the future supply-capacity forecasting accordingly. With a dynamic programming formulation, we prove the existence of an optimal ordering policy. We also prove that the optimal order quantity is greater than the myopic order quantity. |
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Keywords: | Partial information Markovian process Inventory planning and control Capacity learning |
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