Optimizing (s, S) policies for multi-period inventory models with demand distribution uncertainty: Robust dynamic programming approaches

Author

Ruozhen QIU, Northeastern University
Minghe SUN, University of Texas at San Antonio
Yun Fong LIM, Singapore Management UniversityFollow

Publication Type

Journal Article

Version

submittedVersion

Publication Date

9-2017

Abstract

We consider a finite-horizon single-product periodic-review inventory managementproblem with demand distribution uncertainty. We formulate the problemas a dynamic program and prove the existence of an optimal (s, S) policy. Thecorresponding dynamic robust counterpart models are then developed for thebox and the ellipsoid uncertainty sets. These counterpart models are transformedinto tractable linear and second-order cone programs, respectively. Weillustrate the effectiveness and practicality of the proposed robust optimizationapproaches through a numerical study.

Keywords

inventory, periodic-review (s, S) policy, robust optimization, demand distribution uncertainty, dynamic programming

Discipline

Operations and Supply Chain Management

Research Areas

Operations Management

Publication

European Journal of Operational Research

Volume

261

Issue

3

First Page

880

Last Page

892

ISSN

0377-2217

Identifier

10.1016/j.ejor.2017.02.027

Publisher

Elsevier

Citation

QIU, Ruozhen; SUN, Minghe; and LIM, Yun Fong. Optimizing (s, S) policies for multi-period inventory models with demand distribution uncertainty: Robust dynamic programming approaches. (2017). European Journal of Operational Research. 261, (3), 880-892.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/5110

Copyright Owner and License

Authors

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.

Additional URL

https://doi.org/10.1016/j.ejor.2017.02.027