Optimal Multiperiod Inventory Decisions with Partially Observed Markovian Supply Information

This paper considers a multiperiod newsvendor problem with partially observed supply capacity information that evolves as a Markovian process. The supply capacity is fully observed by the buyer when the capacity is smaller than the buyer´s ordering quantity. Otherwise, the buyer knows that the current-period supply capacity is greater than its ordering quantity. Based on these two observations, the buyer updates the future supply-capacity forecasting accordingly. With a dynamic programming formulation, we prove the existence of a unique optimal ordering policy.