| Author: | Godfrey, G. A. Powell, W. B. |
| Title: | An Adaptive, Distribution-Free Algorithm for the Newsvendor Problem with Censored Demands, with Applications to Inventory and Distribution |
| Journal: | Management Science
2001 : AUG, VOL. 47:8, p. 1101-1112 |
| Index terms: | STOCHASTIC PROGRAMMING DYNAMIC PROGRAMMING DEMAND |
| Language: | eng |
| Abstract: | The authors consider the problem of optimizing inventories for problems where the demand distribution is unknown, and where it does not necessarily follow a standard form such as the normal. The authors address problems where the process of deciding the inventory, and then realizing the demand, occurs repeatedly. The only information the authors use is the amount of inventory left over. Rather than attempting to estimate the demand distribution, the authors directly estimate the value function using a technique called the Concave, Adaptive Value Estimation (CAVE) algorithm. CAVE constructs a sequence of concave piecewise linear approximations using sample gradients of the recourse function at different points in the domain. Since it is a sampling-based method, CAVE does not require knowledge of the underlying sample distribution. |
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