Learning Newsvendor Problem with Intertemporal Dependence and Moderate Non-stationarities

55 Pages Posted: 11 Aug 2020

See all articles by Meng Qi

Meng Qi

Cornell SC Johnson College of Business

Zuo-Jun Max Shen

University of California, Berkeley - Department of Industrial Engineering & Operations Research (IEOR)

Zeyu Zheng

University of California, Berkeley

Date Written: July 10, 2020

Abstract

This work focuses on solving the data-driven contextual newsvendor problem with intertemporal dependence and non-stationarities. More specifically, we investigate learn the data-to-decision mapping for the newsvendor problem when observations of contexts and demands are available. The observations of both contexts and demands are generated sequentially in a fluctuate nature, thus exhibit an intertemporal dependence and even non-stationarities. However, most existing works that investigate the data-driven conditional Newsvendor problem adopt a common assumption that the data are independent and identically distributed (i.i.d.) to obtain performance guarantees such as generalization bounds. In this work, we develop performance guarantees in the form of out-of-sample generalization bounds for learning contextual newsvendor problem under comparatively more realistic assumptions including intertemporal dependence and moderate non-stationarities.

Keywords: Newsvendor problem, intertemporal dependent data, non-stationarity, generalization bound

Suggested Citation

Qi, Meng and Shen, Zuo-Jun Max and Zheng, Zeyu, Learning Newsvendor Problem with Intertemporal Dependence and Moderate Non-stationarities (July 10, 2020). Available at SSRN: https://ssrn.com/abstract=4238932 or http://dx.doi.org/10.2139/ssrn.3648615

Meng Qi (Contact Author)

Cornell SC Johnson College of Business ( email )

Ithaca, NY 14850
United States

HOME PAGE: http://https://alicemengqi.github.io/site/

Zuo-Jun Max Shen

University of California, Berkeley - Department of Industrial Engineering & Operations Research (IEOR) ( email )

IEOR Department
4135 Etcheverry Hall
Berkeley, CA 94720
United States

Zeyu Zheng

University of California, Berkeley ( email )

4125 Etcheverry Hall
Berkeley, CA 94720
United States

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