Newsvendor Under Ambiguity and Misspecification

• 成果类型: Article; Early Access
• 署名作者: Liu, Feng; Chen, Zhi; Wang, Ruodu; Wang, Shuming
• 署名单位: Chinese Academy of Sciences; University of Chinese Academy of Sciences, CAS; Chinese University of Hong Kong; University of Waterloo
• 刊物名称: M&SOM-MANUFACTURING & SERVICE OPERATIONS MANAGEMENT
• ISSN/ISSBN: 1523-4614
• DOI: 10.1287/msom.2025.0197
• 发表日期: 2026
• 关键词: Robust Optimization; RISK; uncertainty; MODEL

摘要

Problem definition: We consider a newsvendor problem with unknown demand distribution, where we distinguish ambiguity under which the newsvendor does not differentiate demand distributions of common characteristics (e.g., mean and variance) and misspecification under which such characteristics might be misspecified (because of, e.g., estimation error and/or distribution shift). Methodology/results: The newsvendor hedges against ambiguity and misspecification by maximizing the worst-case expected profit regularized by a distribution's distance to an ambiguity set of distributions with some specified characteristics. Focusing on the popular mean-variance ambiguity set and optimal-transport cost for the misspecification, we show that the decision criterion of misspecification aversion possesses insightful interpretations as distributional transforms. We derive the closed-form optimal order quantity that generalizes the solution of the seminal Scarf model under only ambiguity aversion. We establish finite-sample performance guarantees that consist of two parts: an in-sample optimal value and an out-of-sample effect of misspecification, which can be further decoupled into estimation error and distribution shift. We also extend the framework to multiple products, distributional characteristics specified via optimal transport, and misspecification measured by total variation distance and derive analytical optimal solutions. Managerial implications: The closed-form solution highlights the impact of misspecification aversion; the optimal order quantity under misspecification aversion can decrease as the price or variance increases, reversing the monotonicity of that under only ambiguity aversion. Hence, ambiguity and misspecification, as different layers of distributional uncertainty, can result in distinct operational consequences. The finite-sample performance guarantee theoretically justifies the need to incorporate misspecification aversion in a nonstationary environment, as demonstrated in our experiments with real-world data.