非参数信息下报摊问题的鲁棒数据驱动方法

Liang Xu, Yi Zheng, Li Jiang
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引用次数: 7

摘要

问题定义:对于需求分布未知的标准报贩问题,我们开发了一种方法,该方法使用数据输入来构建具有真实分布的非参数特征的分布模糊集,并使用它来做出鲁棒决策。学术/实践相关性:经验方法依赖于历史数据来估计真实分布。虽然估计分布收敛于真实分布,但在有限的数据下,其性能不能得到保证。我们的方法从分布模糊集生成鲁棒决策,该分布模糊集由数据驱动的非参数特征估计器构造,并包含具有期望概率的真实分布。它适用于数据大小较小的情况。方法:我们采用非参数信息的鲁棒优化方法。结果:在划分需求支持度的固定方法下,构造了一个分布模糊集,构建了保护曲线作为最坏情况分布的代理,并利用它获得了一个封闭形式的鲁棒库存数量。在实现方面,我们开发了一种自适应方法,以预先指定的无偏置信度持续向更新分区提供数据,并调整保护曲线以获得稳健的决策。我们从理论上和实验上比较了所提出的方法与现有方法。管理启示:我们在自适应划分下的非参数方法保证了实现的平均利润以高概率超过最坏情况下的预期利润。使用Kaggle.com的真实数据集,该方法在产生利润率和稳定产生利润方面优于现有方法,并且随着服务比率的降低,优势更加突出。在服务要求不太高的情况下,非参数信息在盈利方面比参数信息更有价值。此外,我们提出的方法提供了一种在鲁棒优化框架中结合非参数和参数信息的方法。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
A Robust Data-Driven Approach for the Newsvendor Problem with Nonparametric Information
Problem definition: For the standard newsvendor problem with an unknown demand distribution, we develop an approach that uses data input to construct a distribution ambiguity set with the nonparametric characteristics of the true distribution, and we use it to make robust decisions. Academic/practical relevance: Empirical approach relies on historical data to estimate the true distribution. Although the estimated distribution converges to the true distribution, its performance with limited data is not guaranteed. Our approach generates robust decisions from a distribution ambiguity set that is constructed by data-driven estimators for nonparametric characteristics and includes the true distribution with the desired probability. It fits situations where data size is small. Methodology: We apply a robust optimization approach with nonparametric information. Results: Under a fixed method to partition the support of the demand, we construct a distribution ambiguity set, build a protection curve as a proxy for the worst-case distribution in the set, and use it to obtain a robust stocking quantity in closed form. Implementation-wise, we develop an adaptive method to continuously feed data to update partitions with a prespecified confidence level in their unbiasedness and adjust the protection curve to obtain robust decisions. We theoretically and experimentally compare the proposed approach with existing approaches. Managerial implications: Our nonparametric approach under adaptive partitioning guarantees that the realized average profit exceeds the worst-case expected profit with a high probability. Using real data sets from Kaggle.com, it can outperform existing approaches in yielding profit rate and stabilizing the generated profits, and the advantages are more prominent as the service ratio decreases. Nonparametric information is more valuable than parametric information in profit generation provided that the service requirement is not too high. Moreover, our proposed approach provides a means of combining nonparametric and parametric information in a robust optimization framework.
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