RSOME案例：多阶段库存控制

RSOME: Robust Stochastic Optimization Made Easy

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Multi-Stage Inventory Control

In this example we consider a multi-stage inventory control problem to showcase how different distributionally
robust models can be deployed in RSOME with little switching cost. The inventory control problem assumes that at the beginning of each time period $t\in [T]$, the decision maker starts with $I_0$ units of product in inventory and selects a production quantity $x_t\in [0,{\bar{x}}_t]$ with zero lead time at a unit cost $c_t$. After realization of demand $d_t\ge 0$, the inventory is updated to $I_t=I_{t-1}+x_t-d_t$ and it may incur a holding cost of h t max ⁡ { I t , 0 } h_t \max\{I_t, 0\} ht​max{ It​,0} or a backorder cost of b t max ⁡ { − I t , 0 } b_t \max\{−I_t, 0\} bt​max{ −It​,0}. We use the same parameters and data generation as in See and Sim (2010). Specifically, the demand follows a non-stationary autoregressive stochastic process of the form:

$${\tilde{d}}_t(v\text{v}v)={\tilde{v}}_t+\alpha {\tilde{v}}_{t-1}+\alpha {\tilde{v}}_{t-2}+\cdots +\alpha {\tilde{v}}_1+\mu =d_{t-1}(\widetilde{v\text{v}v})-(1-\alpha ){\tilde{v}}_{t-1}+{\tilde{v}}_t\forall t\in [T],$$

where ${\tilde{v}}_1,\dots ,{\tilde{v}}_T$ are independent and identically distributed uniform random variables in $[-\bar{v},\bar{v}]$, and other parameters are given as:

• Number of time steps: $T=10$.
• Constant in the autoregressive process: $\alpha =0.25$.
• Initial inventory status: $I_0=0$.
• Bounds of each random variable: $\bar{v}=10$.
• Mean demand: ${\mu }_t=200$.
• Upper bound of the order quantity: ${\bar{x}}_t=260$.
• Order cost: $c_t=0.1$.
• Holding cost: $h_t=0.02$.
• Backorder cost: $b_t=0.4$ if $t=1,2,\cdots ,T-1$, and $b_T=4.0$.

These parameters are defined by the code segment below.

import numpy as np

T = 10		
alpha = 0.25
I0 = 0
vbar = 10
mu = 200 * np.ones(T)
xbar = 260 * np.ones(T)
c = 0.1 * np.ones(T)
h = 0.02 * np.ones(T)
b = 0.4 * np.ones(T)
b[T-1] = 4.0

With a null inventory on hand (i.e, $I_0=0$), the decision maker dynamically selects production quantities to minimize the expected total cost over the entire planning horizon, given by

$$\begin{array}{rl}\underset{\mathbf{x},\mathbf{y}}{\min }& \underset{\mathbb{P}\in \mathcal{F}}{\sup }{\mathbb{E}}_{\mathbb{P}}[c_{}\\ \text{s.t.}& \\ & \\ & \\ & \\ & \\ & \\ & \\ & \end{array}$$