Robust multi-product newsvendor model with uncertain demand and substitution

Simple item page
dc.contributor.authorZhang, Jieen
dc.contributor.authorXie, Weijunen
dc.contributor.authorSarin, Subhash C.en
dc.contributor.departmentIndustrial and Systems Engineeringen
dc.date.accessioned2021-09-24T23:46:04Zen
dc.date.available2021-09-24T23:46:04Zen
dc.date.issued2021-08-16en
dc.date.updated2021-09-24T23:46:02Zen
dc.description.abstractThis work studies a Robust Multi-product Newsvendor Model with Substitution (R-MNMS), where the demand and the substitution rates are stochastic and are subject to cardinality-constrained uncertainty sets. The goal of this work is to determine the optimal order quantities of multiple products to maximize the worst-case total profit. To achieve this, we first show that for given order quantities, computing the worst-case total profit, in general, is NP-hard. Therefore, we derive the closed-form optimal solutions for the following three special cases: (1) if there are only two products, (2) if there is no substitution among different products, and (3) if the budget of demand uncertainty is equal to the number of products. For a general R-MNMS, we formulate it as a mixed-integer linear program with an exponential number of constraints and develop a branch and cut algorithm to solve it. For large-scale problem instances, we further propose a conservative approximation of R-MNMS and prove that under some certain conditions, this conservative approximation yields an exact optimal solution to R-MNMS. The numerical study demonstrates the effectiveness of the proposed approaches and the robustness of our model.en
dc.description.versionAccepted versionen
dc.format.extentPages 190-202en
dc.format.extent13 page(s)en
dc.format.mimetypeapplication/pdfen
dc.identifier1 (Article number)en
dc.identifier.doihttps://doi.org/10.1016/j.ejor.2020.12.023en
dc.identifier.eissn1872-6860en
dc.identifier.issn0377-2217en
dc.identifier.issue1en
dc.identifier.orcidXie, Weijun [0000-0001-5157-1194]en
dc.identifier.urihttp://hdl.handle.net/10919/105059en
dc.identifier.volume293en
dc.language.isoenen
dc.publisherElsevieren
dc.relation.urihttp://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000628803700014&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=930d57c9ac61a043676db62af60056c1en
dc.rightsIn Copyrighten
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/en
dc.subjectSocial Sciencesen
dc.subjectTechnologyen
dc.subjectManagementen
dc.subjectOperations Research & Management Scienceen
dc.subjectBusiness & Economicsen
dc.subjectStochastic programmingen
dc.subjectRobusten
dc.subjectCardinality-constrained uncertainty seten
dc.subjectMixed-integer programen
dc.subjectBranch and cut algorithmen
dc.subjectOperations Researchen
dc.titleRobust multi-product newsvendor model with uncertain demand and substitutionen
dc.title.serialEuropean Journal of Operational Researchen
dc.typeArticle - Refereeden
dc.type.dcmitypeTexten
dc.type.otherArticleen
dc.type.otherJournalen
pubs.organisational-group/Virginia Techen
pubs.organisational-group/Virginia Tech/Engineeringen
pubs.organisational-group/Virginia Tech/Engineering/Industrial and Systems Engineeringen
pubs.organisational-group/Virginia Tech/All T&R Facultyen
pubs.organisational-group/Virginia Tech/Engineering/COE T&R Facultyen

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
6891.pdf
Size:
782.14 KB
Format:
Adobe Portable Document Format
Description:
Accepted version
Download

Collections

All Faculty Deposits
Scholarly Works, Industrial and Systems Engineering