Near optimality guarantees for data-driven newsvendor with temporally dependent demand: A Monte Carlo approach.
Alp AkcayBahar BillerSridhar R. TayurPublished in: WSC (2013)
Keyphrases
- monte carlo
- data driven
- stochastic demand
- inventory models
- single item
- lost sales
- information asymmetry
- inventory control
- markov chain
- lead time
- monte carlo simulation
- monte carlo tree search
- infinite horizon
- demand function
- stochastic inventory
- expected profit
- importance sampling
- single period
- adaptive sampling
- lot sizing
- order quantity
- particle filter
- inventory systems
- average cost
- multi item
- risk averse
- monte carlo methods
- learning algorithm
- markovian decision
- stochastic approximation
- optimal solution
- variance reduction
- service level
- optimal strategy
- point processes
- lower bound
- matrix inversion
- temporal difference
- markov chain monte carlo
- random variables
- optimal policy
- least squares
- computational cost
- demand uncertainty
- reinforcement learning