Periodic review multiperiod inventory control under a mean-variance optimization objective

Tsan Ming Choi, Chun Hung Chiu, Pei Lin Fu

Research output: Journal article publicationReview articleAcademic researchpeer-review

27 Citations (Scopus)

Abstract

We study in this correspondence paper a solution scheme which solves a periodic review multiperiod inventory problem under a mean-variance (MV) framework. We first investigate a primal inventory problem with an MV objective function. Owing to the nonseparable nature of variance, we construct an auxiliary problem which is separable. By solving the auxiliary problem, we identify the conditions under which the solutions of the primal and auxiliary problems converge. Hence, we propose the algorithm and show that a base-stock policy is optimal.
Original languageEnglish
Article number5659915
Pages (from-to)678-682
Number of pages5
JournalIEEE Transactions on Systems, Man, and Cybernetics Part A:Systems and Humans
Volume41
Issue number4
DOIs
Publication statusPublished - 1 Jul 2011

Keywords

  • Base-stock policy
  • inventory control
  • mean-variance (MV) analysis

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Software
  • Human-Computer Interaction
  • Computer Science Applications
  • Electrical and Electronic Engineering

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