OPTIMAL STRUCTURAL POLICIES FOR AMBIGUITY AND RISK AVERSE INVENTORY AND PRICING MODELS

被引：13

作者：

Chen, Xin ^{[1
]}

Sun, Peng ^{[2
]}

机构：

[1] Univ Illinois, Dept Ind & Enterprise Syst Engn, Urbana, IL 61801 USA

[2] Duke Univ, Fuqua Sch Business, Durham, NC 27708 USA

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2012年 / 50卷 / 01期

基金：

美国国家科学基金会;

关键词：

risk averse; ambiguity averse; inventory and pricing; infinite horizon dynamic program; (s; S); policy; FIXED ORDERING COST; INFINITE-HORIZON; RANDOM DEMAND; S POLICIES; STRATEGIES;

D O I：

10.1137/100791488

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

This paper discusses multiperiod stochastic joint inventory and pricing models when the decision maker is risk and ambiguity averse. We study infinite horizon models with discounted and long run average optimization criteria. The main result of this paper is establishing the optimality of stationary (s, S, p) policies for the infinite horizon inventory and pricing models.

引用

页码：133 / 146

页数：14

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