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Robust newsvendor problem with autoregressive demand

Opened Access Robust newsvendor problem with autoregressive demand


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Autor: Carrizosa Priego, Emilio José
Olivares Nadal, Alba Victoria
Ramírez Cobo, Josefa
Departamento: Universidad de Sevilla. Departamento de Estadística e Investigación Operativa
Fecha: 2016-04
Publicado en: Computers and Operations Research, 68 (C), 123-133.
Tipo de documento: Artículo
Resumen: This paper explores the classic single-item newsvendor problem under a novel setting which combines temporal dependence and tractable robust optimization. First, the demand is modeled as a time series which follows an autoregressive process AR(p), p ≥ 1. Second, a robust approach to maximize the worst-case revenue is proposed: a robust distribution-free autoregressive forecasting method, which copes with non-stationary time series, is formulated. A closed-form expression for the optimal solution is found for the problem for p = 1; for the remaining values of p, the problem is expressed as a nonlinear convex optimization program, to be solved numerically. The optimal solution under the robust method is compared with those obtained under two versions of the classic approach, in which either the demand distribution is unknown, and assumed to have no autocorrelation, or it is assumed to follow an AR(p) process with normal error terms. Numerical experiments show that our proposal usually o...
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Cita: Carrizosa Priego, E.J., Olivares Nadal, A.V. y Ramírez Cobo, J. (2016). Robust newsvendor problem with autoregressive demand. Computers and Operations Research, 68 (C), 123-133.
Tamaño: 575.3Kb
Formato: PDF


DOI: 10.1016/j.cor.2015.11.002

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