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Distributionally robust multi-item newsvendor problems with multimodal demand distributions

Grani A. Hanasusanto, Daniel Kuhn, Stein W. Wallace, Steve Zymler
2014 Mathematical programming  
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]

Derek Singh, Shuzhong Zhang
2020 arXiv   pre-print
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

Zuzana Brokesova, Cary Deck, Jana Peliova, Behzad Behdani
2022 PLoS ONE  
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

Jan A. Van Mieghem
2007 Management science  
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

Reza Lotfi, Majid Amin Nayeri, S. Mehdi Sajadifar, Nooshin Mardani
2017 Journal of Project Management  
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

Karthik Natarajan, Melvyn Sim, Joline Uichanco
2018 Management science  
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

Yasin Alan, Vishal Gaur
2012 Social Science Research Network  
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

Jan A. Van Mieghem
2003 Manufacturing & Service Operations Management  
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

Burak Kocuk
2021 An International Journal of Optimization and Control: Theories & Applications  
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

Xuanming Su
2007 Social Science Research Network  
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

Xuanming Su
2008 Manufacturing & Service Operations Management  
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]

Burak Kocuk
2020 arXiv   pre-print
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

Reza Lotfi, ,Department of Industrial Engineering, Yazd University, Yazd, Iran, Gerhard-Wilhelm Weber, S. Mehdi Sajadifar, Nooshin Mardani, ,Poznan University of Technology, Faculty of Engineering, Management, Poznan, Poland, IAM, METU, Ankara, Turkey, ,Department of Industrial Engineering, University of Science and Culture, Tehran, Iran, ,Department of Environment, College of Agriculture, Takestan Branch, Islamic Azad University, Takestan, Iran
2017 Journal of Industrial and Management Optimization  
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  
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

Bhavani Shanker Uppari, Sameer Hasija
2018 Manufacturing & Service Operations Management  
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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