RSOME案例：基于Wasserstein含糊集合的多产品报童模型

RSOME: Robust Stochastic Optimization Made Easy

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Multi-Item Newsvendor Problem with Wasserstein Ambiguity Sets

In this example, we consider the multi-item newsvendor problem discussed in the paper Chen et al. (2020). This newsvendor problem determines the order quantity $w_i$ of each of the $I$ products under a total budget $d$. The unit selling price and ordering cost for each product item are denoted by $p_i$ and $c_i$, respectively. The uncertain demand of each product item is denoted by the random variable ${\tilde{z}}_i$. Once the demand realizes, the selling quantity $y_i$ is expressed as min ⁡ { x i , z i } \min\{x_i, z_i\} min{ xi​,zi​}, and the newsvendor problem can be written as the following distributionally robust optimization model,

$$\begin{array}{rl}\min & -{p\text{p}p}^{\top }x\text{x}x+\underset{\mathbb{P}\in \mathcal{F}(\theta )}{\sup }{\mathbb{E}}_{\mathbb{P}}[{p\text{p}p}^{\top }y\text{y}y(\\ \text{s.t.}& \\ & \\ & \end{array}$$