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• W3128715451 abstract "We consider a periodic-review single-product inventory system with fixed cost under censored demand. Under full demand distributional information, it is well known that the celebrated (s, S) policy is optimal. In this paper, we assume the firm does not know the demand distribution a priori and makes adaptive inventory ordering decisions in each period based only on the past sales (a.k.a. censored demand). Our performance measure is regret, which is the cost difference between a feasible learning algorithm and the clairvoyant (full-information) benchmark. Compared with prior literature, the key difficulty of this problem lies in the loss of joint convexity of the objective function as a result of the presence of fixed cost. We develop the first learning algorithm, termed the [Formula: see text] policy, that combines the power of stochastic gradient descent, bandit controls, and simulation-based methods in a seamless and nontrivial fashion. We prove that the cumulative regret is [Formula: see text], which is provably tight up to a logarithmic factor. We also develop several technical results that are of independent interest. We believe that the developed framework could be widely applied to learning other important stochastic systems with partial convexity in the objectives. This paper was accepted by Chung Piaw Teo, optimization." @default.
• W3128715451 created "2021-02-15" @default.
• W3128715451 creator A5023311569 @default.
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• W3128715451 date "2021-10-01" @default.
• W3128715451 modified "2023-10-10" @default.
• W3128715451 title "Marrying Stochastic Gradient Descent with Bandits: Learning Algorithms for Inventory Systems with Fixed Costs" @default.
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• W3128715451 doi "https://doi.org/10.1287/mnsc.2020.3799" @default.
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