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
A joint chance constrained optimization problem involves multiple uncertain constraints, i.e., constraints with stochastic parameters, that are jointly required to be satisfied with probability exceeding a prespecified threshold. In a distributionally robust joint chance constrained optimization problem (DRCCP), the joint chance constraint is required to hold for all probability distributions of the stochastic parameters from … Read more
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