Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/8823
Title: Periodic review multiperiod inventory control under a mean-variance optimization objective
Authors: Choi, TM 
Chiu, CH
Fu, PL
Keywords: Base-stock policy
inventory control
mean-variance (MV) analysis
Issue Date: 2011
Publisher: Institute of Electrical and Electronics Engineers
Source: IEEE transactions on systems, man, and cybernetics. Part A, Systems and humans, 2011, v. 41, no. 4, 5659915, p. 678-682 How to cite?
Journal: IEEE transactions on systems, man, and cybernetics. Part A, Systems and humans 
Abstract: We study in this correspondence paper a solution scheme which solves a periodic review multiperiod inventory problem under a mean-variance (MV) framework. We first investigate a primal inventory problem with an MV objective function. Owing to the nonseparable nature of variance, we construct an auxiliary problem which is separable. By solving the auxiliary problem, we identify the conditions under which the solutions of the primal and auxiliary problems converge. Hence, we propose the algorithm and show that a base-stock policy is optimal.
URI: http://hdl.handle.net/10397/8823
ISSN: 1083-4427
EISSN: 1083-4419
DOI: 10.1109/TSMCA.2010.2089515
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