Technical Note-Stochastic Optimization with Decisions Truncated by Positively Dependent Random Variables

• 成果类型: Article
• 署名作者: Chen, Xin; Gao, Xiangyu
• 署名单位: University of Illinois System; University of Illinois Urbana-Champaign; Chinese University of Hong Kong
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.2018.1815
• 发表日期: 2019
• 页码: 1321-1327
• 关键词: dynamic capacity management; inventory; demand

摘要

We study stochastic optimization problems with decisions truncated by random variables. This paper extends existing results in the literature by allowing positively dependent random variables and a two-part fee structure. We develop a transformation technique to convert the original nonconvex problems to equivalent convex ones. We apply our transformation technique to an inventory substitution model with random supply capacities and a two-part fee cost structure. In addition, we extend our results to incorporate the decision maker's risk attitude.