Note: Optimal Policies for Serial Inventory Systems Under Fill Rate Constraints

Optimal Inventory Policies for Assembly Systems Under Random Demands

Optimal market making strategies under inventory constraints

We study the problem of a market-maker acting as a liquidity provider by continuously setting bid and ask prices for an illiquid asset. We assume that the market maker has a contractual obligation to permanently quote bid and ask prices for the security and therefore to satisfy any sell or buy order from the asset’s investors. On the opposite side of the trades, there are investors who act as l...

Single-Stage Bounds for Optimal Policies in Serial Inventory Systems with Non-stationary Demand

Clark and Scarf (1960) consider a two-stage inventory system in a finite horizon. They show that echelon base-stock policies are optimal. The optimal base-stock levels can be obtained by solving two sets of recursive, functional equations. Nevertheless, finding the upstream base-stock level is more complex because the functional equation depends on the downstream base-stock level. This paper pr...

Single-Stage Approximations for Optimal Policies in Serial Inventory Systems with Nonstationary Demand

C often face nonstationary demand due to product life cycles and seasonality, and nonstationary demand complicates supply chain managers’ inventory decisions. This paper proposes a simple heuristic for determining stocking levels in a serial inventory system. Unlike the exact optimization algorithm, the heuristic generates a near-optimal solution by solving a series of independent single-stage ...

Fill rate of single-stage general periodic review inventory systems

We consider a single-stage inventory system supplying external demands and receiving stocks from an ample supply. Time is divided into periods of …xed length; a period can be a day or a week depending on the situation. In each period, demands arrive and are either …lled or backlogged. The system operates under a general periodic-review base-stock policy. Under this policy, the inventory positio...