Optimal structural policies for ambiguity and risk averse inventory and pricing models

Xin Chen, Peng Sun

Research output: Contribution to journalArticlepeer-review

Abstract

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.

Original languageEnglish (US)
Pages (from-to)133-146
Number of pages14
JournalSIAM Journal on Control and Optimization
Volume50
Issue number1
DOIs
StatePublished - Mar 26 2012

Keywords

  • (S,s) policy
  • Ambiguity averse
  • Infinite horizon dynamic program
  • Inventory and pricing
  • Risk averse

ASJC Scopus subject areas

  • Control and Optimization
  • Applied Mathematics

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