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Optimal inventory decisions in a multiperiod newsvendor problem with partially observed Markovian supply capacities. (English) Zbl 1175.90037

Summary: This paper considers a multi-period news-vendor problem with partially observed supply-capacity information which evolves as a Markovian Process. The supply capacity is fully observed by the buyer when the capacity is smaller than the buyer’s ordering quantity. Otherwise, the buyer knows that the current-period supply capacity is greater than its ordering quantity. Based on these two observations, the buyer updates the future supply-capacity forecasting accordingly. With a dynamic programming formulation, we prove the existence of an optimal ordering policy. We also prove that the optimal order quantity is greater than the myopic order quantity.

MSC:

90B05 Inventory, storage, reservoirs
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