Optimal Hidden-Target Learning for Online Inventory Optimization on General Convex Sets
Online inventory optimization (OIO) is online convex optimization with physical memory: inventory carryover makes the feasible action set depend on the past. A natural principle, used in stochastic inventory learning and recently in OIO under a single linear capacity constraint, is to maintain a hidden target chosen by an online learner and implement its projection onto the currently feasible order-up-to set. We prove that this simple principle is optimal for OIO on arbitrary bounded convex capacity sets. With […]