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Distributionally robust multi-item newsvendor problems with multimodal demand distributions
2014
Mathematical programming
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We present a risk-averse multi-dimensional newsvendor model for a class of products whose demands are strongly correlated and subject to fashion trends that are not fully understood at the time when orders ...
We assume that the newsvendor hedges against distributional ambiguity by minimizing the worstcase risk of the order portfolio over all distributions that are compatible with the given modality information ...
IEEE Transactions on Automatic Control, 56(12):2809-2824, 2011.[8] S. Choi, A. Ruszczyński, and Y. Zhao. A multiproduct risk-averse newsvendor with law-invariant coherent measures of risk. ...
doi:10.1007/s10107-014-0776-y
fatcat:pqjlhtwj4ffbfbw5bbuqwinufa
Distributionally Robust Newsvendor with Moment Constraints
[article]
2020
arXiv
pre-print
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This paper expands the work on distributionally robust newsvendor to incorporate moment constraints. The use of Wasserstein distance as the ambiguity measure is preserved. ...
To investigate this, some theory is developed and a case study in auto sales is performed. We conclude with some comments on directions for further research. ...
Introduction and Overview
Newsvendor Model The newsvendor model is a classical problem in inventory control that has been extensively studied under a variety of settings. ...
arXiv:2010.16369v1
fatcat:uelxs42sf5dwvmcwbepft5vdwy
Pull-to-center is not just for newsvendors
2022
PLoS ONE
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Our laboratory experiments replicate the standard results for newsvendors and yield the equivalent pattern in the price gouging game. ...
This suggests previously observed newsvendor behavior is driven by structural aspects of the task consistent with models like prospect theory and impulse balance rather than context specific explanations ...
PLOS ONE
Acknowledgments We thank Elena Katok for sharing materials from [20] and we thank her as well as John Aloysius, Stephen Leider, and the anonymous reviewers for helpful comments. ...
doi:10.1371/journal.pone.0264183
pmid:35192669
pmcid:PMC8863238
fatcat:rf2ivvsktnbt7lj2mzqpznuwmq
Risk Mitigation in Newsvendor Networks: Resource Diversification, Flexibility, Sharing, and Hedging
2007
Management science
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In contrast to single-resource settings, risk-averse newsvendors may invest more in networks than risk-neutral newsvendors: some resources and even total spending may exceed risk-neutral levels. ...
With normally distributed demand, risk-averse newsvendors change resource levels roughly proportionally to demand variance, while risk-neutral agents adjust only proportionally to standard deviation. ...
The author greatly benefited from the excellent comments and questions from three peer reviewers and the associate editor, which substantially improved this paper. ...
doi:10.1287/mnsc.1070.0700
fatcat:h2myylxaovajpbfwynu2nlolsa
Determination of start times and ordering plans for two-period projects with interdependent demand in project-oriented organizations: A case study on molding industry
2017
Journal of Project Management
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The main innovation of the present research is to develop a model that is mainly based on the two-period newsvendor problem, but assumes that demand is interdependent, i.e. it is actually a combination ...
Results show that the proposed model with interdependent demand provides a better solution than independent demand. ...
This increases the complexity of inventory control models like the twoperiod newsvendor problem and has received little attention in the literature. ...
doi:10.5267/j.jpm.2017.9.001
fatcat:5lvsj2ncnzfobgibzildpbpmiq
Asymmetry and Ambiguity in Newsvendor Models
2018
Management science
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A basic assumption of the classical newsvendor model is that the probability distribution of the random demand is known. ...
the mean and covariance of demands. ...
Acknowledgement The authors would like to thank the Associate Editor and three reviewers for their comments that helped improve the paper significantly. ...
doi:10.1287/mnsc.2017.2773
fatcat:75q3ghkyn5cujgshv3g3tm2dae
Operational Investment and Capital Structure Under Asset Based Lending: A One Period Model
2012
Social Science Research Network
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We model the new business as a single-period inventory (newsvendor) model. ...
In this solution, asset based lending leads to an upper limit on the potential loss faced by the bank, and thus, helps manage bankruptcy risk. ...
Despite this evidence, the relationship between risk and leverage is ambiguous in the tradeoff theory and the pecking order theory models (Frank and Goyal (2008) and references therein). ...
doi:10.2139/ssrn.1716925
fatcat:tnoiaxgp4vaq7nf2zxky2jigg4
Commissioned Paper: Capacity Management, Investment, and Hedging: Review and Recent Developments
2003
Manufacturing & Service Operations Management
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and multiple risk-neutral decision makers in a stationary environment where capacity remains constant. ...
After discussing general issues in capacity investment problems, the paper reviews models of capacity investment under uncertainty in three settings: The first reviews optimal capacity investment by single ...
Acknowledgments The author is grateful to the former Editor-in-Chief Leroy B. Schwarz for encouraging him to start, improve, and finish (!) this review paper. ...
doi:10.1287/msom.5.4.269.24882
fatcat:s2neyr4n3rfylkitnupkbbz23y
Conic reformulations for Kullback-Leibler divergence constrained distributionally robust optimization and applications
2021
An International Journal of Optimization and Control: Theories & Applications
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We specialize our generic formulation to two classical optimization problems, namely, the Newsvendor Problem and the Uncapacitated Facility Location Problem. ...
This model considers an ambiguity set that consists of all distributions whose Kullback-Leibler divergence to an empirical distribution is bounded. ...
Under this probabilistic setting, we define the ambiguity set P i (q i , ǫ i ) := {p i ∈ ∆ S i : D KL (p i ||q i ) ≤ ǫ i }, for i ∈ [m] , where ǫ i ∈ R + controls the divergence from the historical data ...
doi:10.11121/ijocta.01.2021.001001
fatcat:apxhcak4lbftfkpthby76d4l7a
Bounded Rationality in Newsvendor Models
2007
Social Science Research Network
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In contrast, this paper takes a descriptive approach and considers bounded rationality, in the sense that decision makers are prone to errors and biases. ...
We apply this framework to the classic newsvendor model and characterize the ordering decisions made by a boundedly rational decision maker. ...
Acknowledgments The author is indebted to Elena Katok and Gary Bolton for sharing the data from their paper, Bolton and Katok (2005) . ...
doi:10.2139/ssrn.944155
fatcat:bbllgiajh5dpxmsj4gqxn5idce
Bounded Rationality in Newsvendor Models
2008
Manufacturing & Service Operations Management
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In contrast, this paper takes a descriptive approach and considers bounded rationality, in the sense that decision makers are prone to errors and biases. ...
We apply this framework to the classic newsvendor model and characterize the ordering decisions made by a boundedly rational decision maker. ...
Acknowledgments The author is indebted to Elena Katok and Gary Bolton for sharing the data from their paper, Bolton and Katok (2005) . ...
doi:10.1287/msom.1070.0200
fatcat:bejyj5zikbckbkoyoqsvtet44m
Conic Reformulations for Kullback-Leibler Divergence Constrained Distributionally Robust Optimization and Applications
[article]
2020
arXiv
pre-print
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In this paper, we consider a distributionally robust optimization (DRO) model in which the ambiguity set is defined as the set of distributions whose Kullback-Leibler (KL) divergence to an empirical distribution ...
We specialize our generic formulation to two classical optimization problems, namely, the Newsvendor Problem and the Uncapacitated Facility Location Problem. ...
demand and c h is the inventory cost. ...
arXiv:2007.05966v1
fatcat:ikcmsinnmvaxjlwamrgizwizzm
Interdependent demand in the two-period newsvendor problem
2017
Journal of Industrial and Management Optimization
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This model can be used in a number of applications, such as procurement of raw materials in projects (e.g., construction, bridge-building and molding) where demand of different periods is interdependent ...
The present paper considers a two-period newsvendor problem where demand of different periods is interdependent (not independent), and seeks to follow this approach to develop a two-period newsvendor problem ...
[12] developed a risk-averse multi-dimensional newsvendor model for multiple products with strongly correlated demand. ...
doi:10.3934/jimo.2018143
fatcat:xyhrnvk3zfc2xfnzqtknugtmie
چکیده انگلیسی مقالات تابستان 96، دوره33/1، شماره 1/2
2017
Sharif
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And thus the model can be used in the project, for progress tracking, risk analysis, and predictions for the future of performance targets. ...
A comprehensive model presented for an actual project implementation is described and its results will be compared with the standard methods of project management. ...
In this paper, we present two models for a constrained multi-product inventory control problem with stochastic demand under periodic review policy. ...
doi:10.24200/j65.2017.5600
fatcat:wbju5lcbjzae5k2alzjfs2rdqq
Modeling Newsvendor Behavior: A Prospect Theory Approach
2018
Manufacturing & Service Operations Management
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This paper takes a more comprehensive approach in building several prospect theory-based newsvendor models, and evaluates their competence in representing the observed newsvendor behavior. ...
Moreover, our novel approach to model building and testing could serve as a template for selecting appropriate prospect theory models in contexts other than the newsvendor problem. ...
Prospect Theory: For Risk and Ambiguity. Cambridge University Press. Wakker, P., A. Tversky. 1993. An Axiomatization of Cumulative Prospect Theory. Journal of Risk and
Uncertainty 7(2) 147-75. ...
doi:10.1287/msom.2017.0701
fatcat:tg7lvglsj5foxl2uny37a6xtze
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