Technical Note: Data-driven newsvendor problem: Performance of the sample average approximation

• Main Authors: LIN, Meichun, HUH, Woonhee Tim, KRISHNAN, H
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2022
• Subjects: sample average approximation; newsvendor problem; data-driven decision making; regret analysis; finite-time performance; Operations and Supply Chain Management; Operations Research, Systems Engineering and Industrial Engineering
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/7313
• Institution: Singapore Management University

We consider the data-driven newsvendor problem in which a manager makes inventory decisions sequentially and learns the unknown demand distribution based on observed samples of continuous demand (no truncation). We study the widely used sample average approximation (SAA) approach and analyze its per...