Optimizing (s, S) policies, for multi-period inventory models with demand distribution uncertainty: Robust dynamic programing approaches

This study considers a finite-horizon single-product periodic-review inventory management problem with demand distribution uncertainty. The problem is formulated as a dynamic program and the existence of an optimal (s, S) policy is proved. The corresponding dynamic robust counterpart models are then developed for the box and the ellipsoid uncertainty sets. These counterpart models are transformed into tractable linear and second-order cone programs, respectively. The effectiveness and practicality of the proposed robust optimization approaches are validated through a numerical study. (C) 2017 Elsevier B.V. All rights reserved.