Technical Note-Robust Newsvendor Games with Ambiguity in Demand Distributions

• 成果类型: Article
• 署名作者: Xuan Vinh Doan; Tri-Dung Nguyen
• 署名单位: University of Warwick; University of Southampton
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.2019.1955
• 发表日期: 2020
• 页码: 1047-1062
• 关键词: Cooperative games; uncertain payoffs; newsvendor games; robust optimization; STABILITY

摘要

In classical newsvendor games, vendors collaborate to serve their aggregate demand whose joint distribution is assumed known with certainty. We investigate a new class of newsvendor games with ambiguity in the joint demand distributions, which is represented by a Frechet class of distributions with some, possibly overlapping, marginal information. To model this new class of games, we use ideas from distributionally robust optimization to handle distributional ambiguity and study the robust newsvendor games. We provide conditions for the existence of core solutions of these games using the structural analysis of the worst-case joint demand distributions of the corresponding distributionally robust newsvendor optimization problem.