Time Inconsistency of Optimal Policies of Distributionally Robust Inventory Models

• 成果类型: Article
• 署名作者: Shapiro, Alexander; Xin, Linwei
• 署名单位: University System of Georgia; Georgia Institute of Technology; University of Chicago
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.2019.1932
• 发表日期: 2020
• 页码: 1576-1584
• 关键词: Inventory model; Base-Stock Policy; time consistency; distributional robustness; moment constraints; spectral risk measures; STRICTLY MONOTONE

摘要

In this paper, we investigate optimal policies of distributionally robust (risk averse) inventory models. We demonstrate that if the respective risk measures are not strictly monotone, then there may exist infinitely many optimal policies that are not basestock and not time consistent. This is in a sharp contrast with the risk neutral formulation of the inventory model where all optimal policies are time consistent. This also extends previous studies of time inconsistency in the robust setting.