A Multiordering Newsvendor Model with Dynamic Forecast Evolution

• 成果类型: Article
• 署名作者: Wang, Tong; Atasu, Atalay; Kurtulus, Muemin
• 署名单位: National University of Singapore; University System of Georgia; Georgia Institute of Technology; Vanderbilt University
• 刊物名称: M&SOM-MANUFACTURING & SERVICE OPERATIONS MANAGEMENT
• ISSN/ISSBN: 1523-4614
• DOI: 10.1287/msom.1120.0387
• 发表日期: 2012
• 页码: 472-484
• 关键词: Newsvendor; MMFE; forecast evolution; dynamic ordering

摘要

We consider a newsvendor who dynamically updates her forecast of the market demand over a finite planning horizon. The forecast evolves according to the martingale model of forecast evolution (MMFE). The newsvendor can place multiple orders with increasing ordering cost over time to satisfy demand that realizes at the end of the planning horizon. In this context, we explore the trade-off between improving demand forecast and increasing ordering cost. We show that the optimal ordering policy is a state-dependent base-stock policy and analytically characterize that the base-stock level depends on the information state in a linear (log-linear) fashion for additive (multiplicative) MMFE. We also study a benchmark model where the newsvendor is restricted to order only once. By comparing the multiordering and single-ordering models, we quantify the impact of the multiordering strategy on the newsvendor's expected profit and risk exposure.