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

Tsan Ming Choi; Chun Hung Chiu; Pei Lin Fu

doi:10.1109/TSMCA.2010.2089515

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

Tsan Ming Choi, Chun Hung Chiu, Pei Lin Fu

The Hong Kong Polytechnic University

Research output: Journal article publication › Review article › Academic research › peer-review

32 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 language	English
Article number	5659915
Pages (from-to)	678-682
Number of pages	5
Journal	IEEE Transactions on Systems, Man, and Cybernetics Part A:Systems and Humans
Volume	41
Issue number	4
DOIs	https://doi.org/10.1109/TSMCA.2010.2089515
Publication status	Published - 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

More information

10.1109/TSMCA.2010.2089515

Cite this

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Periodic review multiperiod inventory control under a mean-variance optimization objective. / Choi, Tsan Ming; Chiu, Chun Hung; Fu, Pei Lin.
In: IEEE Transactions on Systems, Man, and Cybernetics Part A:Systems and Humans, Vol. 41, No. 4, 5659915, 01.07.2011, p. 678-682.

Research output: Journal article publication › Review article › Academic research › peer-review

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

Abstract

Keywords

ASJC Scopus subject areas

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