We integrate machine learning with distributionally robust optimization to address a two-period problem for the joint pricing and production of multiple items. First, we generalize the additive demand model to capture both cross-product and cross-period effects as well as the demand dependence across periods. Next, we apply K-means clustering to the demand residual mapping based … Read more
To explore one impact of the information available by adding sensors in a classical production planning setting, we consider a continuous time infinite horizon lot-sizing model where a single product is manufactured on a single machine. Each time manufacturing restarts, a random production rate is realized, and production continues at this rate until the machine … Read more
Approximate linear programs (ALPs) are well-known models for computing value function approximations (VFAs) of intractable Markov decision processes (MDPs) arising in applications. VFAs from ALPs have desirable theoretical properties, define an operating policy, and provide a lower bound on the optimal policy cost, which can be used to assess the suboptimality of heuristic policies. However, … Read more
Demand forecasting plays an important role in many inventory control problems. To mitigate the potential harms of model misspecification in this context, various forms of distributionally robust optimization have been applied. Although many of these methodologies suffer from the problem of time-inconsistency, the work of Klabjan, Simchi-Levi and Song [85] established a general time-consistent framework … Read more
In this paper we address two models of non-deterministic discrete-time finite-horizon dynamic programs (DPs): implicit stochastic DPs – the information about the random events is given by value oracles to their CDFs; and sample-based DPs – the information about the random events is deduced via samples. In both models the single period cost functions are … Read more
We study the practical production planning problem of a food producer facing a non-stationary erratic demand for a perishable product with a fixed life time. In meeting the uncertain demand, the food producer uses a FIFO issuing policy. The food producer aims at meeting a certain service level at lowest cost. Every production run a … Read more
We study dynamic operational decision problems where risky cash flows are being resolved over a finite planning horizon. Financing decisions via lending and borrowing are available to smooth out consumptions over time with the goal of achieving some prescribed consumption targets. Our target-oriented decision criterion is based on the aggregation of Aumann and Serrano (2008) … Read more