Inventory management with partially observed nonstationary demand
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Abstract: We consider a continuous-time model for inventory management with Markov modulated non-stationary demands. We introduce active learning by assuming that the state of the world is unobserved and must be inferred by the manager. We also assume that demands are observed only when they are completely met. We first derive the explicit filtering equations and pass to an equivalent fully observed impulse control problem in terms of the sufficient statistics, the a posteriori probability process and the current inventory level. We then solve this equivalent formulation and directly characterize an optimal inventory policy. We also describe a computational procedure to calculate the value function and the optimal policy and present two numerical illustrations.
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Cited in
(17)- Optimal trade execution in illiquid markets
- Inventory management with overlapping shrinkages and demands
- A new stopping time model: a solution to a free-boundary problem
- \((s,S)\) inventory systems with correlated demands
- On a stochastic inventory system with partially observed level and demand
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- Filtering of a Partially Observed Inventory System
- Adaptive inventory control for nonstationary demand and partial information
- Inventory control with modulated demand and a partially observed modulation process
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- Modelling of hydrological persistence for hidden state Markov decision processes
- Bayesian quickest detection in sensor arrays
- Bayesian switching multiple disorder problems
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- Constraint programming for stochastic inventory systems under shortage cost
- Optimal control of partially observable piecewise deterministic Markov processes
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