Management Science and Financial Engineering

The Korean Operations Research and Management Science Society (한국경영과학회)
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Min-Max Stochastic Optimization with Applications to the Single-Period Inventory Control Problem

  • Received : 2015.02.04
  • Accepted : 2015.04.28
  • Published : 2015.05.31
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Abstract

Min-max stochastic optimization is an approach to address the distribution ambiguity of the underlying random variable. We present a unified approach to the problem which utilizes the theory of convex order on the random variables. First, we consider a general framework for the problem and give a condition under which the convex order can be utilized to transform the min-max optimization problem into a simple minimization problem. Then extremal distributions are presented for some interesting classes of distributions. Finally, applications to the single-period inventory control problems are given.

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References

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