EXPRESS: Learning Newsvendor Problems with Intertemporal Dependence and Moderate Non-stationarities

Abstract

This work provides performance guarantees for solving data-driven contextual newsvendor problems, when the contextual data contains intertemporal dependence and non-stationarities. While machine learning tools have observed increasing use in data-driven inventory management problems, most of existing work assumes that the contextual data are independent and identically distributed (often referred to as i.i.d.). However, such assumptions are often violated in real operational environments where the contextual data are sequentially generated with intertemporal correlations and possible non-stationarities. By accommodating these naturally arised operational environments, our work adopts comparatively more realistic assumptions and develops out-of-sample performance bounds for learning data-driven contextual newsvendor problems.