Robust Optimal Decision for the Newsvendor Problem with Uncertain Market Demand

@inproceedings{Xiao2017RobustOD,
  title={Robust Optimal Decision for the Newsvendor Problem with Uncertain Market Demand},
  author={Lei Xiao and Yanju Chen},
  year={2017}
}
This paper considers a newsvendor problem with uncertain market demand. In the problem, the exact probability distribution is not known. The uncertain legacy loss includes the loss for overstock and the shortage penalty for stockout. The robust optimal decision is desired to minimize the expected legacy loss and the conditional value-at-risk (CVaR) about the legacy loss. Firstly three robust mean-CVaR models are built when the distribution varies in a box uncertainty set. Then the equivalent… CONTINUE READING
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