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A Computational Method for Solving the Stochastic Joint Replenishment Problem in High Dimensions
Barış Ata, Wouter van Eekelen, Yuan Zhong
We consider a discrete-time formulation for a class of high-dimensional stochastic joint replenishment problems. First, we approximate the problem by a continuous-time impulse cont…
Robust knapsack ordering for a partially-informed newsvendor with budget constraint
Guus Boonstra, Wouter J. E. C. van Eekelen, Johan S. H. van Leeuwaarden
This paper studies the multi-item newsvendor problem with a constrained budget and information about demand limited to its range, mean and mean absolute deviation. We consider a mi…
Tight tail probability bounds for distribution-free decision making
Ernst Roos, Ruud Brekelmans, Wouter van Eekelen +2
Chebyshev's inequality provides an upper bound on the tail probability of a random variable based on its mean and variance. While tight, the inequality has been criticized for only…