Management Science and Financial Engineering

  • 제16권3호
  • /
  • Pages.95-102
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  • 2010
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  • 2287-2043(pISSN)
  • /
  • 2287-2361(eISSN)
한국경영과학회 (The Korean Operations Research and Management Science Society)
권호 표지

A Generalization of the Robust Inventory Problem with Non-Stationary Costs

  • Park, Kyung-Chul (School of Business, Myongji University) ;
  • Lee, Kyung-Sik (Department of Industrial & Management Engineering, Hankuk University of Foreign Studies)
  • 투고 : 2010.10.18
  • 심사 : 2010.11.02
  • 발행 : 2010.11.30
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초록

This paper considers the robust inventory control problem introduced by Bertsimas and Thiele [4]. In their paper, they have shown that the robust version of the inventory control problem can be solved by solving a nominal inventory problem which is formulated as a mixed integer program. As a proper generalization of the model, we consider the problem with non-stationary cost. In this paper, we show that the generalized version can also be solved by solving a nominal inventory problem. Furthermore, we show that the problem can be solved efficiently.

키워드

참고문헌

  1. Aggarwal, A. and J. K. Park, "Improved Algorithms for Economic Lot Sizing Problems," Operations Research 41 (1993), 549-571. https://doi.org/10.1287/opre.41.3.549
  2. Ben-Tal, A., L. E. Ghaoui, and A. Nemirovski, Robust Optimization, Princeton University Press, 2009.
  3. Bertsekas, D., Dynamic Programming and Optimal Control, Athena Scientific, Belmont, MA, 1 (1995).
  4. Bertsimas, D. and A. Thiele, "A Robust Approach to Inventory Theory," Operations Research 54 (2006), 150-168. https://doi.org/10.1287/opre.1050.0238
  5. Bertsimas, D. and M. Sim, "The Price of Robustness," Operations Research 52 (2004), 35-53. https://doi.org/10.1287/opre.1030.0065
  6. Clark, A. and H. Scarf, "Optimal Policies for a Multi-echelon Inventory Problem," Management Science 6 (1960), 475-490. https://doi.org/10.1287/mnsc.6.4.475