Technical Note—Robust Newsvendor Games with Ambiguity in Demand Distributions

Xuan Vinh Doan () and Tri-Dung Nguyen ()
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Xuan Vinh Doan: Warwick Business School, University of Warwick, Coventry CV4 7AL, United Kingdom
Tri-Dung Nguyen: Mathematical Sciences and Business School (CORMSIS), University of Southampton, Southampton SO17 1BJ, United Kingdom

Operations Research, 2019, vol. 68, issue 4, 1047-1062

Abstract: In classical newsvendor games, vendors collaborate to serve their aggregate demand whose joint distribution is assumed known with certainty. We investigate a new class of newsvendor games with ambiguity in the joint demand distributions, which is represented by a Fréchet class of distributions with some, possibly overlapping, marginal information. To model this new class of games, we use ideas from distributionally robust optimization to handle distributional ambiguity and study the robust newsvendor games. We provide conditions for the existence of core solutions of these games using the structural analysis of the worst-case joint demand distributions of the corresponding distributionally robust newsvendor optimization problem.

Keywords: cooperative games; uncertain payoffs; newsvendor games; robust optimization; stability (search for similar items in EconPapers)
Date: 2019
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