Solving operational statistics via a Bayesian analysis

Authors:
Leon Yang Chu;J.George Shanthikumar;Zuo-Jun Max Shen
Affiliations:
Department of Information and Operations Management, Marshall School of Business, University of Southern California, Los Angeles, CA 90089, USA;Department of Industrial Engineering and Operations Research, University of California at Berkeley, Berkeley, CA 94720, USA;Department of Industrial Engineering and Operations Research, University of California at Berkeley, Berkeley, CA 94720, USA
Venue:
Operations Research Letters
Year:
2008

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Abstract

For the newsvendor problem with ambiguous demand, it is known that integrating parameter estimation and optimization using operational statistics leads to better solutions compared with the traditional approach. However, it is an open question how to find the optimal operational statistic. We show how to do it in this paper.