Robust newsvendor games with ambiguity in demand distributions
Robust newsvendor games with ambiguity in demand distributions
In classical newsvendor games, vendors collaborate to serve their aggregate demand whose joint distribution is assumed known with certainty. We investigate a new class of newsvendor games with ambiguity in the joint demand distributions, which is represented by a Fr\'echet class of distributions with some, possibly overlapping, marginal information. To model this new class of games, we use ideas from distributionally robust optimization to handle distributional ambiguity and study the robust newsvendor games. We provide conditions for the existence of core solutions of these games using the structural analysis of the worst-case joint demand distributions of the corresponding distributionally robust newsvendor optimization problem.
Cooperative games, Newsvendor games, Robust optimization, Stability, Uncertain payoffs
965-1284
Doan, Xuan Vinh
dea2304c-ddb6-4eba-9ac8-09c2a82b0c1f
Nguyen, Tri-Dung
a6aa7081-6bf7-488a-b72f-510328958a8e
July 2020
Doan, Xuan Vinh
dea2304c-ddb6-4eba-9ac8-09c2a82b0c1f
Nguyen, Tri-Dung
a6aa7081-6bf7-488a-b72f-510328958a8e
Doan, Xuan Vinh and Nguyen, Tri-Dung
(2020)
Robust newsvendor games with ambiguity in demand distributions.
Operations Research, 68 (4), .
(doi:10.1287/opre.2019.1955).
Abstract
In classical newsvendor games, vendors collaborate to serve their aggregate demand whose joint distribution is assumed known with certainty. We investigate a new class of newsvendor games with ambiguity in the joint demand distributions, which is represented by a Fr\'echet class of distributions with some, possibly overlapping, marginal information. To model this new class of games, we use ideas from distributionally robust optimization to handle distributional ambiguity and study the robust newsvendor games. We provide conditions for the existence of core solutions of these games using the structural analysis of the worst-case joint demand distributions of the corresponding distributionally robust newsvendor optimization problem.
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Accepted/In Press date: 18 September 2019
e-pub ahead of print date: 29 June 2020
Published date: July 2020
Keywords:
Cooperative games, Newsvendor games, Robust optimization, Stability, Uncertain payoffs
Identifiers
Local EPrints ID: 431832
URI: http://eprints.soton.ac.uk/id/eprint/431832
ISSN: 0030-364X
PURE UUID: 6bb1256b-4f2e-46e5-aafa-1b3d89bd8f4f
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Date deposited: 19 Jun 2019 16:30
Last modified: 16 Mar 2024 04:06
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Author:
Xuan Vinh Doan
Author:
Tri-Dung Nguyen
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