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 language | English (US) |
|---|---|
| Pages (from-to) | 133-146 |
| Number of pages | 14 |
| Journal | SIAM Journal on Control and Optimization |
| Volume | 50 |
| Issue number | 1 |
| DOIs | |
| State | Published - 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