Time inconsistency of optimal policies of distributionally robust inventory models

In this paper, we investigate optimal policies of distributionally robust (risk averse) inventory models. We demonstrate that if the respective risk measures are not strictly monotone, then there may exist infinitely many optimal policies which are not base-stock and not time consistent. This is in a sharp contrast with the risk neutral formulation of the … Read more

Time (in)consistency of multistage distributionally robust inventory models with moment constraints

Recently, there has been a growing interest in developing inventory control policies which are robust to model misspecification. One approach is to posit that nature selects a worst-case distribution for any relevant stochastic primitives from some pre-specified family. Several communities have observed that a subtle phenomena known as time inconsistency can arise in this framework. … Read more